Examples of GapOptionDefinition

com.opengamma.analytics.financial.model.option.definition.GapOptionDefinition
Class defining a gap option.
Gap options have European-style exercise with payoff $$ \begin{align*} \mathrm{payoff} = \begin{cases} 0 \quad & \mathrm{if} \quad S \leq K_1\\ S - K_2 \quad & \mathrm{otherwise} \end{cases} \end{align*} $$ for a call and $$ \begin{align*} \mathrm{payoff} = \begin{cases} 0 \quad & \mathrm{if} \quad S \geq K_1\\ K_2 - S \quad & \mathrm{otherwise} \end{cases} \end{align*} $$ for a put, where $K_1$ is the strike, $K_2$ is the payoff strike and $S$ is the spot.

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

    MODEL.getPricingFunction(null);
  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE)).evaluate((StandardOptionDataBundle) null);
  }

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

  }


  @Test
  public void testAgainstBSM() {
    final StandardOptionDataBundle data = DATA;
    final Function1D<StandardOptionDataBundle, Double> call = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, true, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> put = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, false, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> bsmCall = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, true));
    final Function1D<StandardOptionDataBundle, Double> bsmPut = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, false));
    assertEquals(call.evaluate(data), bsmCall.evaluate(data), EPS);
    assertEquals(put.evaluate(data), bsmPut.evaluate(data), EPS);
  }

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

    assertEquals(put.evaluate(data), bsmPut.evaluate(data), EPS);
  }


  @Test
  public void test() {
    assertEquals(MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE)).evaluate(DATA), -0.0053, 1e-4);
  }

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