/**
* 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.fourier;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.model.volatility.BlackImpliedVolatilityFormula;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.util.monitor.OperationTimer;
/**
*
*/
public class CGMYFourierPricerTest {
private static final Logger s_logger = LoggerFactory.getLogger(CGMYFourierPricerTest.class);
private static final int WARMUP_CYCLES = 0;
private static final int BENCHMARK_CYCLES = 1;
private static final boolean TEST_TIMING = false;
private static final double FORWARD = 1;
private static final double T = 2.0;
private static final double DF = 0.93;
private static final double C = 0.03;
private static final double G = 0.001;
private static final double M = 1.001;
private static final double Y = 1.5;
private static final MartingaleCharacteristicExponent CGMY_CE = new CGMYMartingaleCharacteristicExponent(C, G, M, Y);
private static final BlackImpliedVolatilityFormula BLACK_IMPLIED_VOL = new BlackImpliedVolatilityFormula();
@Test
public void testCGMY() {
final FourierPricer pricer = new FourierPricer();
final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0);
for (int i = 0; i < 21; i++) {
final double k = 0.01 + 0.14 * i / 20.0;
final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
final double price = pricer.price(data, option, CGMY_CE, -0.5, 1e-6);
@SuppressWarnings("unused")
final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, option, price);
//System.out.println(k + "\t" + impVol);
}
}
//TODO nothing is being tested in here
@Test
public void testIntegrandCGMY() {
final EuropeanPriceIntegrand integrand = new EuropeanPriceIntegrand(CGMY_CE, -0.5, true);
final EuropeanVanillaOption option = new EuropeanVanillaOption(0.25 * FORWARD, T, true);
final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0.5);
final Function1D<Double, Double> function = integrand.getFunction(data, option);
if (TEST_TIMING) {
double res = 0;
for (int count = 0; count < WARMUP_CYCLES; count++) {
for (int i = 0; i < 100; i++) {
final double x = -15. + i * 30. / 200.0;
res += function.evaluate(x);
}
}
res *= 2;
if (BENCHMARK_CYCLES > 0) {
final OperationTimer timer = new OperationTimer(s_logger, "processing {} cycles on integral", BENCHMARK_CYCLES);
for (int count = 0; count < BENCHMARK_CYCLES; count++) {
for (int i = 0; i < 100; i++) {
final double x = -15. + i * 30. / 200.0;
res += function.evaluate(x);
}
}
timer.finished();
}
res *= 2;
}
}
}