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

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

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  private static final double[] TEST_STRIKE = new double[] {85, 95, 104};
  private static final double EPS = 1e-9;

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPriceInput() {
    MODEL.getSurface(null, new StandardOptionDataBundle(null, 0, null, 0, null));
  }
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  @Test
  public void testFlatSurface() {
    final Map<OptionDefinition, Double> prices = new HashMap<>();
    final double sigma = 0.3;
    OptionDefinition definition;
    final StandardOptionDataBundle data = new StandardOptionDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), SPOT, DATE);
    try {
      MODEL.getSurface(prices, data);
      Assert.fail();
    } catch (final IllegalArgumentException e) {
      // Expected
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  @Test
  public void testUnifomlyVaryingSurface() {
    final Map<OptionDefinition, Double> prices = new HashMap<>();
    OptionDefinition definition;
    StandardOptionDataBundle data = new StandardOptionDataBundle(CURVE, B, null, SPOT, DATE);
    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);
    double result;
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  /**
   * Tests the comparison with the other implementation. This test may be removed when only one version remains.
   */
  public void comparison() {
    final AnalyticOptionModel<EuropeanStandardBarrierOptionDefinition, StandardOptionDataBundle> model = new EuropeanStandardBarrierOptionModel();
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(RATE_DOM)), COST_OF_CARRY, new VolatilitySurface(
        ConstantDoublesSurface.from(VOLATILITY)),
        SPOT, REFERENCE_DATE);
    final Expiry expiry = new Expiry(EXPIRY_DATE);

    final double priceDI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_IN, REBATE);
    final double priceDI2 = model.getPricingFunction(optionBarrierDI).evaluate(data);
    assertEquals("Comparison Down In", priceDI2, priceDI1, 1.0E-10);

    final double priceDO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_OUT, REBATE);
    final double priceDO2 = model.getPricingFunction(optionBarrierDO).evaluate(data);
    assertEquals("Comparison Down Out", priceDO2, priceDO1, 1.0E-10);

    final double priceUI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_IN, REBATE);
    final double priceUI2 = model.getPricingFunction(optionBarrierUI).evaluate(data);
    assertEquals("Comparison Up In", priceUI2, priceUI1, 1.0E-10);

    final double priceUO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_OUT, REBATE);
    final double priceUO2 = model.getPricingFunction(optionBarrierUO).evaluate(data);
    assertEquals("Comparison Up Out", priceUO2, priceUO1, 1.0E-10);

    final double vol0 = 0.0;
    final double priceVol01 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, vol0);
    final StandardOptionDataBundle data0 = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(RATE_DOM)), COST_OF_CARRY, new VolatilitySurface(ConstantDoublesSurface.from(vol0)),
        SPOT,
        REFERENCE_DATE);
    final double priceVol02 = model.getPricingFunction(optionBarrierDI).evaluate(data0);
    assertEquals(priceVol02, priceVol01, 1.0E-10);
  }
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        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);
  }
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  private double getPrice(final double power, final boolean isCall) {
    return MODEL.getGreeks(getDefinition(power, isCall), BUNDLE, REQUIRED_GREEKS).get(Greek.FAIR_PRICE);
  }

  private double getBSPrice(final double power, final boolean isCall) {
    final StandardOptionDataBundle bsBundle = getModifiedDataBundle(BUNDLE, power);
    return BS_MODEL.getGreeks(getDefinition(power, isCall), bsBundle, REQUIRED_GREEKS).get(Greek.FAIR_PRICE);
  }
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    final double t = DateUtils.getDifferenceInYears(DATE, EXPIRY.getExpiry());
    final double spot = Math.pow(data.getSpot(), p);
    double sigma = data.getVolatility(t, STRIKE);
    final double b = p * (data.getCostOfCarry() + (p - 1) * sigma * sigma * 0.5);
    sigma *= p;
    return new StandardOptionDataBundle(CURVE, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);

  }
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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);
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  }

  @Test
  public void testAmericanPutTree() {
    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 AmericanVanillaOptionDefinition(100, new Expiry(DateUtils.getDateOffsetWithYearFraction(date, 1)), false);
    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., 4.6546);
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  }

  @Test
  public void test() {
    double strike = SPOT;
    final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    SimpleChooserOptionDefinition chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    strike = SPOT / 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
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