Examples of HullWhiteStochasticVolatilityModelDataBundle


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

    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY, true)).evaluate((HullWhiteStochasticVolatilityModelDataBundle) null);
  }

  @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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