/**
* 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.twoasset;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle;
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 EuropeanExchangeAssetOptionModelTest {
private static final double S1 = 22;
private static final double S2 = 20;
private static final double Q1 = 1;
private static final double Q2 = 1;
private static final double B1 = 0.04;
private static final double B2 = 0.06;
private static final YieldCurve R = YieldCurve.from(ConstantDoublesCurve.from(0.1));
private static final VolatilitySurface SIGMA1 = new VolatilitySurface(ConstantDoublesSurface.from(0.2));
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 1, 1);
private static final EuropeanExchangeAssetOptionModel MODEL = new EuropeanExchangeAssetOptionModel();
private static final Expiry EXPIRY1 = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.1));
private static final Expiry EXPIRY2 = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final EuropeanExchangeAssetOptionDefinition OPTION1 = new EuropeanExchangeAssetOptionDefinition(EXPIRY1, Q1, Q2);
private static final EuropeanExchangeAssetOptionDefinition OPTION2 = new EuropeanExchangeAssetOptionDefinition(EXPIRY2, Q1, Q2);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(new EuropeanExchangeAssetOptionDefinition(EXPIRY1, Q1, Q2)).evaluate((StandardTwoAssetOptionDataBundle) null);
}
@Test
public void test() {
final double eps = 1e-4;
StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, new VolatilitySurface(ConstantDoublesSurface.from(0.15)), S1, S2, -0.5, DATE);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1251, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.7619, eps);
data = data.withCorrelation(0);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0446, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.4793, eps);
data = data.withCorrelation(0.5);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9736, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.2)));
data = data.withCorrelation(-0.5);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.9881, eps);
data = data.withCorrelation(0.);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0913, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
data = data.withCorrelation(0.5);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9891, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.25)));
data = data.withCorrelation(-0.5);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 3.2272, eps);
data = data.withCorrelation(0.);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1520, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.8472, eps);
data = data.withCorrelation(0.5);
assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0189, eps);
assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.3736, eps);
}
}