/**
* 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.montecarlo;
import static org.testng.AssertJUnit.assertEquals;
import java.util.Collections;
import org.testng.annotations.Test;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.greeks.Greek;
import com.opengamma.analytics.financial.greeks.GreekResultCollection;
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.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.stochastic.BlackScholesArithmeticBrownianMotionProcess;
import com.opengamma.analytics.financial.model.stochastic.StochasticProcess;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
import com.opengamma.analytics.math.random.RandomNumberGenerator;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
*
*/
public class MonteCarloOptionModelTest {
private static final int N = 100;
private static final int STEPS = 1000;
private static final StochasticProcess<OptionDefinition, StandardOptionDataBundle> PROCESS = new BlackScholesArithmeticBrownianMotionProcess<>();
private static final RandomNumberGenerator GENERATOR = new NormalRandomNumberGenerator(0, 1);
private static final DummyModel MODEL = new DummyModel(N, STEPS, PROCESS, GENERATOR);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeN() {
new DummyModel(-N, STEPS, PROCESS, GENERATOR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeSteps() {
new DummyModel(N, -STEPS, PROCESS, GENERATOR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullProcess() {
new DummyModel(N, STEPS, null, GENERATOR);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullGenerator() {
new DummyModel(N, STEPS, PROCESS, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getGreeks(null, new StandardOptionDataBundle(null, 0, null, 100, DateUtils.getUTCDate(2010, 1, 1)), Sets.newHashSet(Greek.FAIR_PRICE));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getGreeks(new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getUTCDate(2010, 1, 1)), true), null, Sets.newHashSet(Greek.FAIR_PRICE));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullGreeks() {
MODEL.getGreeks(new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getUTCDate(2010, 1, 1)), true), new StandardOptionDataBundle(null, 0, null, 100, DateUtils.getUTCDate(2010, 1, 1)),
null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyGreeks() {
MODEL.getGreeks(new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getUTCDate(2010, 1, 1)), true), new StandardOptionDataBundle(null, 0, null, 100, DateUtils.getUTCDate(2010, 1, 1)),
Collections.<Greek> emptySet());
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testWrongGreeks() {
MODEL.getGreeks(new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getUTCDate(2010, 1, 1)), true), new StandardOptionDataBundle(null, 0, null, 100, DateUtils.getUTCDate(2010, 1, 1)),
Sets.newHashSet(Greek.DELTA, Greek.GAMMA));
}
@Test
public void testPriceOnly() {
final GreekResultCollection result = MODEL.getGreeks(new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getUTCDate(2010, 1, 1)), true), new StandardOptionDataBundle(null, 0, null, 100,
DateUtils.getUTCDate(2010, 1, 1)), Sets.newHashSet(Greek.FAIR_PRICE, Greek.DELTA, Greek.GAMMA));
assertEquals(result.size(), 1);
assertEquals(result.keySet().iterator().next(), Greek.FAIR_PRICE);
assertEquals(result.values().iterator().next(), 2., 0);
}
private static class DummyModel extends MonteCarloOptionModel<OptionDefinition, StandardOptionDataBundle> {
public DummyModel(final int n, final int steps, final StochasticProcess<OptionDefinition, StandardOptionDataBundle> process, final RandomNumberGenerator generator) {
super(n, steps, process, generator);
}
@Override
public Function1D<StandardOptionDataBundle, Double> getPricingFunction(final OptionDefinition definition) {
return new Function1D<StandardOptionDataBundle, Double>() {
@Override
public Double evaluate(final StandardOptionDataBundle x) {
return 2.;
}
};
}
}
}