/**
* 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.google.common.collect.Sets;
import com.opengamma.analytics.financial.greeks.Greek;
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.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.SimpleChooserOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
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 SimpleChooserOptionModelTest {
private static final double EPS = 1e-4;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry CHOOSE_DATE = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25));
private static final Expiry UNDERLYING_EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final double STRIKE = 50;
private static final double SPOT = 50;
private static final SimpleChooserOptionDefinition DEFINITION = new SimpleChooserOptionDefinition(CHOOSE_DATE, STRIKE, UNDERLYING_EXPIRY);
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.08)), 0.08, new VolatilitySurface(ConstantDoublesSurface.from(0.25)),
SPOT, DATE);
private static final AnalyticOptionModel<SimpleChooserOptionDefinition, StandardOptionDataBundle> MODEL = new SimpleChooserOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BSM = new BlackScholesMertonModel();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(DEFINITION).evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
double strike = SPOT;
final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
SimpleChooserOptionDefinition chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
strike = SPOT / 2;
chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
strike = SPOT * 2;
chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, false);
assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
assertEquals(MODEL.getGreeks(DEFINITION, DATA, Sets.newHashSet(Greek.FAIR_PRICE)).get(Greek.FAIR_PRICE), 6.1071, EPS);
}
}