Examples of StandardOptionWithSpotTimeSeriesDataBundle

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

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

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  @Test
  public void testAgainstBSM() {
    final double eps = 1e-6;
    FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 20, 180);
    final StandardOptionWithSpotTimeSeriesDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 95, 105);
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle

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    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
  }

  @Test
  public void test() {
    StandardOptionWithSpotTimeSeriesDataBundle data = DATA;
    FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 85, 115);
    assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.58, 1e-2);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.4)));
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
    assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.036, 1e-3);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle

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  private static final double EPS = 1e-4;

  @Test
  public void test() {
    DoubleTimeSeries<?> ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 100});
    StandardOptionWithSpotTimeSeriesDataBundle data = new StandardOptionWithSpotTimeSeriesDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(0.15)), SPOT, DATE, ts);
    ExtremeSpreadOptionDefinition option = new ExtremeSpreadOptionDefinition(EXPIRY, true, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25)), false);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 10.6618, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 110});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 8.4878, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 120});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 4.5235, EPS);
    option = new ExtremeSpreadOptionDefinition(EXPIRY, true, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.75)), true);
    data = data.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3)));
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 100});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 13.3404, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 90});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 14.8173, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 80});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 19.0537, EPS);
    option = new ExtremeSpreadOptionDefinition(EXPIRY, true, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.)), true);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 100});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 90});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.4769, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 80});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 5.7133, EPS);
  }
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