/**
* 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.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SupershareOptionDefinition;
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 SupershareOptionModelTest {
private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(0.1));
private static final double B = 0.;
private static final VolatilitySurface SURFACE = new VolatilitySurface(ConstantDoublesSurface.from(0.2));
private static final double SPOT = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final double LOWER = 90;
private static final double UPPER = 110;
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25));
private static final SupershareOptionDefinition OPTION = new SupershareOptionDefinition(EXPIRY, LOWER, UPPER);
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final AnalyticOptionModel<SupershareOptionDefinition, StandardOptionDataBundle> MODEL = new SupershareOptionModel();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(OPTION).evaluate((StandardOptionDataBundle) null);
}
@Test
public void testZeroVol() {
StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(1e-15))).withSpot(LOWER - 1);
assertEquals(MODEL.getPricingFunction(OPTION).evaluate(data), 0, 0);
data = data.withSpot(UPPER + 1);
assertEquals(MODEL.getPricingFunction(OPTION).evaluate(data), 0, 0);
}
@Test
public void test() {
assertEquals(MODEL.getPricingFunction(OPTION).evaluate(DATA), 0.7389, 1e-4);
}
}