Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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  public void test() {
    boolean isCall;
    double spot, strike, b, price;
    Expiry expiry;
    YieldAndDiscountCurve curve;
    EuropeanVanillaOptionDefinition definition;
    StandardOptionDataBundle initialData, data;
    double sigma = 0.01;
    for (int i = 0; i < 100; i++) {
      expiry = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, RANDOM.nextDouble() * 2));
      sigma += 0.03;
      spot = 2 * RANDOM.nextDouble() + 10;
      strike = 2 * RANDOM.nextDouble() + 10;
      curve = YieldCurve.from(ConstantDoublesCurve.from(RANDOM.nextDouble() / 10));
      b = 0;//RANDOM.nextDouble() / 20;
      isCall = RANDOM.nextDouble() < 0.5 ? true : false;
      definition = new EuropeanVanillaOptionDefinition(strike, expiry, isCall);
      initialData = new StandardOptionDataBundle(curve, b, null, spot, DATE);
      data = new StandardOptionDataBundle(curve, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
      price = BSM.getPricingFunction(definition).evaluate(data);
      assertEquals(sigma, MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(definition, price), initialData).getVolatility(DoublesPair.of(0., 0.)), EPS);
    }
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    MODEL.getSurface(Collections.<OptionDefinition, Double> emptyMap(), DATA);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(new EuropeanVanillaOptionDefinition(100, EXPIRY, true), 0.2), null);
  }
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  }

  @Test
  public void test() {
    final double eps = 1e-4;
    OptionDefinition option = new EuropeanVanillaOptionDefinition(90, EXPIRY, true);
    ConstantElasticityOfVarianceModelDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    VolatilitySurface blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), BSM.getPricingFunction(option).evaluate(data), 0);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.5)));
    blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), 9.7531, eps);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(1)));
    option = new EuropeanVanillaOptionDefinition(95, EXPIRY, true);
    blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), 5.2678, eps);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(2)));
    option = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
    blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), 3.8897, eps);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(3)));
    option = new EuropeanVanillaOptionDefinition(105, EXPIRY, true);
    blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), 3.7832, eps);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(4)));
    option = new EuropeanVanillaOptionDefinition(115, EXPIRY, true);
    blackEquivalent = MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(option, 0.), data);
    assertEquals(BSM.getPricingFunction(option).evaluate(data.withVolatilitySurface(blackEquivalent)), 2.7613, eps);
  }
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    } catch (final IllegalArgumentException e) {
      // Expected
    }
    for (final Expiry expiry : EXPIRY) {
      for (final double strike : STRIKE) {
        definition = new EuropeanVanillaOptionDefinition(strike, expiry, IS_CALL);
        prices.put(definition, BSM.getPricingFunction(definition).evaluate(data));
      }
    }
    final VolatilitySurface surface = MODEL.getSurface(prices, data);
    for (final Expiry expiry : TEST_EXPIRY) {
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    final double diff = 0.09;
    final double startSigma = 0.18;
    final double[] sigma = new double[] {startSigma, startSigma + diff, startSigma + 2 * diff, startSigma + 3 * diff};
    for (int i = 0; i < sigma.length; i++) {
      for (final double strike : STRIKE) {
        definition = new EuropeanVanillaOptionDefinition(strike, EXPIRY[i], IS_CALL);
        data = data.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(sigma[i])));
        prices.put(definition, BSM.getPricingFunction(definition).evaluate(data));
      }
    }
    final VolatilitySurface surface = MODEL.getSurface(prices, data);
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    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY, true)).evaluate((HullWhiteStochasticVolatilityModelDataBundle) null);
  }
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  }

  @Test
  public void test() {
    HullWhiteStochasticVolatilityModelDataBundle data = new HullWhiteStochasticVolatilityModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, LAMBDA, SIGMA_LR, VOL_OF_VOL, -0.75);
    OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
    assertModel(0.0904, definition, data);
    data = data.withCorrelation(-0.5);
    definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
    assertModel(0.4278, definition, data);
    data = data.withCorrelation(-0.25);
    definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
    assertModel(1.6982, definition, data);
    data = data.withCorrelation(0.);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
    assertModel(5.3061, definition, data);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
    assertModel(5.3061, definition, data);
    data = data.withCorrelation(0.25);
    definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
    assertModel(2.1274, definition, data);
    data = data.withCorrelation(0.5);
    definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
    assertModel(0.8881, definition, data);
    data = data.withCorrelation(0.75);
    definition = new EuropeanVanillaOptionDefinition(130, EXPIRY, true);
    assertModel(0.4287, definition, data);
  }
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  @Test
  public void test() {
    double strike = 102;
    DoubleTimeSeries<?> shortTS = ImmutableInstantDoubleTimeSeries.of(new long[] {1}, new double[] {strike});
    StandardOptionWithSpotTimeSeriesDataBundle data = DATA.withSpotTimeSeries(shortTS).withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    data = data.withCostOfCarry(0);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    strike = 95;
    shortTS = ImmutableInstantDoubleTimeSeries.of(new long[] {1}, new double[] {strike});
    data = DATA.withSpotTimeSeries(shortTS).withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    vanilla = new EuropeanVanillaOptionDefinition(strike, EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(PUT).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    data = data.withCostOfCarry(0);
    assertEquals(MODEL.getPricingFunction(PUT).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(DATA), 25.3533, 1e-4);
  }
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  @Test
  public void testEuropeanCallTree() {
    final ZonedDateTime date = DateUtils.getUTCDate(2009, 1, 1);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.06)), 0., new VolatilitySurface(ConstantDoublesSurface.from(0.)), 100., date);
    final OptionDefinition option = new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getDateOffsetWithYearFraction(date, 1)), true);
    final Function1D<StandardOptionDataBundle, RecombiningBinomialTree<DoublesPair>> f = BINOMIAL_THREE_STEPS.getTreeGeneratingFunction(option);
    final DoublesPair[][] result = f.evaluate(data).getNodes();
    final DoublesPair[][] expected = new DoublesPair[4][4];
    expected[0][0] = DoublesPair.of(100., 10.1457);
    expected[1][0] = DoublesPair.of(90.91, 3.2545);
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  }

  @Test
  public void test() {
    assertEquals(BCG.getPricingFunction(OPTION).evaluate(DATA), 19.9147, 1e-4);
    final EuropeanVanillaOptionDefinition underlying = new EuropeanVanillaOptionDefinition(SPOT - 100, UNDERLYING_EXPIRY, true);
    final EuropeanOptionOnEuropeanVanillaOptionDefinition option = new EuropeanOptionOnEuropeanVanillaOptionDefinition(20, EXPIRY, true, underlying);
    assertEquals(BCG.getPricingFunction(option).evaluate(DATA) / MODEL.getPricingFunction(option).evaluate(DATA), 1, 1e-2);
  }
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