Examples of withLambda()

Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    BatesGeneralizedJumpDiffusionModelDataBundle data = new BatesGeneralizedJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 0., -0.04, 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withDelta(0.1);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withDelta(0.1);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(13.62, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.25);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(13.62, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.25);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(13.62, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.25);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    data = data.withDelta(0.25);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(20.43, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.5);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(20.43, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(20.43, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(16.52, MODEL.getPricingFunction(call).evaluate(data), EPS1);
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    data = data.withDelta(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(16.52, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(37.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.BatesGeneralizedJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(16.52, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(37.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
  }
}
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Examples of com.opengamma.analytics.financial.model.option.definition.MertonJumpDiffusionModelDataBundle.withLambda()

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    assertEquals(12.75, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(9.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withGamma(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.04, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(5.87, MODEL.getPricingFunction(call).evaluate(data), EPS1);
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