Package com.opengamma.analytics.financial.commodity.derivative

Examples of com.opengamma.analytics.financial.commodity.derivative.AgricultureFutureOption.accept()

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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

  @Test
  public void testEnergyFutureOption() {
View Full Code Here
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