Examples of withSpotTimeSeries()

Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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});
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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});
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withSpotTimeSeries()

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    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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