Examples of withCorrelation()

Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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  @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);
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Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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    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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Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

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    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);
  }

  private void assertModel(final double value, final OptionDefinition definition, final HullWhiteStochasticVolatilityModelDataBundle data) {
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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  public void test() {
    RelativeOutperformanceOptionDefinition option = new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true);
    StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, SIGMA2, S1, S2, -0.5, DATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.2582, EPS);
    option = new RelativeOutperformanceOptionDefinition(0.5, EXPIRY, true);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.8449, EPS);
    option = new RelativeOutperformanceOptionDefinition(1, EXPIRY, true);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.3382, EPS);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.2582, EPS);
    option = new RelativeOutperformanceOptionDefinition(0.5, EXPIRY, true);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.8449, EPS);
    option = new RelativeOutperformanceOptionDefinition(1, EXPIRY, true);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.3382, EPS);
  }
}
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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  public void test() {
    final double eps = 1e-4;
    StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, new VolatilitySurface(ConstantDoublesSurface.from(0.15)), S1, S2, -0.5, DATE);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1251, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.7619, eps);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0446, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.4793, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9736, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1251, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.7619, eps);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0446, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.4793, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9736, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.2)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
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