/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.fourier;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.ComplexMathUtils;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.number.ComplexNumber;
/**
*
*/
public class IntegrandDecayTest {
private static final double SIGMA = 0.2;
private static final double T = 1 / 52.0;
private static final double KAPPA = 1.0; // mean reversion speed
private static final double THETA = SIGMA * SIGMA; // reversion level
private static final double VOL0 = THETA; // start level
private static final double OMEGA = 0.35; // vol-of-vol
private static final double RHO = -0.3; // correlation
private static final double ALPHA = -0.5;
private static final MartingaleCharacteristicExponent CEF = new GaussianMartingaleCharacteristicExponent(SIGMA);
private static final EuropeanCallFourierTransform PSI = new EuropeanCallFourierTransform(CEF);
@Test
public void test() {
ComplexNumber z = new ComplexNumber(0.0, -(1 + ALPHA));
final Function1D<ComplexNumber, ComplexNumber> f = PSI.getFunction(T);
final double mod0 = ComplexMathUtils.mod(f.evaluate(z));
double previous = 0;
for (int i = 1; i < 101; i++) {
final double x = 0.0 + 100.0 * i / 100;
z = new ComplexNumber(x, -(1 + ALPHA));
final ComplexNumber u = f.evaluate(z);
assertEquals(u.getImaginary(), 0, 1e-16);
final double res = Math.log10(ComplexMathUtils.mod(u) / mod0);
assertTrue(res < previous);
previous = res;
}
}
@Test
public void testHeston() {
final MartingaleCharacteristicExponent heston = new HestonCharacteristicExponent(KAPPA, THETA, VOL0, OMEGA, RHO);
final EuropeanCallFourierTransform psi = new EuropeanCallFourierTransform(heston);
final Function1D<ComplexNumber, ComplexNumber> f = psi.getFunction(T);
ComplexNumber z = new ComplexNumber(0.0, -(1 + ALPHA));
final double mod0 = ComplexMathUtils.mod(f.evaluate(z));
double previous = 0;
for (int i = 1; i < 101; i++) {
final double x = 0.0 + 100.0 * i / 100;
z = new ComplexNumber(x, -(1 + ALPHA));
final ComplexNumber u = f.evaluate(z);
final double res = Math.log10(ComplexMathUtils.mod(u) / mod0);
assertTrue(res < previous);
previous = res;
}
}
}