/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.analytic;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
public class HullWhiteStochasticVolatilityModelTest {
private static final AnalyticOptionModel<OptionDefinition, HullWhiteStochasticVolatilityModelDataBundle> MODEL = new HullWhiteStochasticVolatilityModel();
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25));
private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(0.08));
private static final double B = 0;
private static final VolatilitySurface SURFACE = new VolatilitySurface(ConstantDoublesSurface.from(Math.sqrt(0.09)));
private static final double SPOT = 100;
private static final double LAMBDA = 0.1;
private static final double SIGMA_LR = Math.sqrt(0.0625);
private static final double VOL_OF_VOL = 0.5;
private static final double EPS = 1e-4;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY, true)).evaluate((HullWhiteStochasticVolatilityModelDataBundle) null);
}
@Test
public void test() {
HullWhiteStochasticVolatilityModelDataBundle data = new HullWhiteStochasticVolatilityModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, LAMBDA, SIGMA_LR, VOL_OF_VOL, -0.75);
OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
assertModel(0.0904, definition, data);
data = data.withCorrelation(-0.5);
definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
assertModel(0.4278, definition, data);
data = data.withCorrelation(-0.25);
definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
assertModel(1.6982, definition, data);
data = data.withCorrelation(0.);
definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
assertModel(5.3061, definition, data);
definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
assertModel(5.3061, definition, data);
data = data.withCorrelation(0.25);
definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
assertModel(2.1274, definition, data);
data = data.withCorrelation(0.5);
definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
assertModel(0.8881, definition, data);
data = data.withCorrelation(0.75);
definition = new EuropeanVanillaOptionDefinition(130, EXPIRY, true);
assertModel(0.4287, definition, data);
}
private void assertModel(final double value, final OptionDefinition definition, final HullWhiteStochasticVolatilityModelDataBundle data) {
assertEquals(value, MODEL.getPricingFunction(definition).evaluate(data), EPS);
}
}