Examples of withVolatilitySurface()

Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle.withVolatilitySurface()

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    assertResult(model.getGreeks(put, vars, GREEK_SET), 12.4097, eps);
    vars = vars.withSpot(SPOT2);
    assertResult(model.getGreeks(put, vars, GREEK_SET), 6.7661, eps);
    vars = vars.withSpot(SPOT3);
    assertResult(model.getGreeks(put, vars, GREEK_SET), 3.2932, eps);
    vars = vars.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(SIGMA3))).withSpot(SPOT1);
    assertResult(model.getGreeks(put, vars, GREEK_SET), 14.6445, eps);
    vars = vars.withSpot(SPOT2);
    assertResult(model.getGreeks(put, vars, GREEK_SET), 9.4608, eps);
    vars = vars.withSpot(SPOT3);
    assertResult(model.getGreeks(put, vars, GREEK_SET), 5.8374, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withVolatilitySurface()

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    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);
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