Package com.opengamma.analytics.financial.greeks

Examples of com.opengamma.analytics.financial.greeks.GreekResultCollection

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              final double appThetaCash = BlackScholesFormulaRepository.theta(modSpot, strike, TIME, vol, interest, interest, isCall);

              final OptionFunctionProvider1D function = new EuropeanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);
              final DividendFunctionProvider cashDividend = new CashDividendFunctionProvider(dividendTimes, cashDividends);
              final DividendFunctionProvider propDividend = new ProportionalDividendFunctionProvider(dividendTimes, propDividends);
              final GreekResultCollection resProp = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
              final GreekResultCollection resCash = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);

              assertEquals(resProp.get(Greek.FAIR_PRICE), exactPriceProp, Math.max(1., Math.abs(exactPriceProp)) * 1.e-2);
              assertEquals(resProp.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-1);

              assertEquals(resCash.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-2);
              assertEquals(resCash.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));

              if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                  lattice instanceof TianLatticeSpecification) {
                final GreekResultCollection resPropTrinomial = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
                final GreekResultCollection resCashTrinomial = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);

                assertEquals(resPropTrinomial.get(Greek.FAIR_PRICE), resProp.get(Greek.FAIR_PRICE), Math.max(1., Math.abs(resProp.get(Greek.FAIR_PRICE))) * 1.e-2);
                assertEquals(resPropTrinomial.get(Greek.DELTA), resProp.get(Greek.DELTA), Math.max(1., Math.abs(resProp.get(Greek.DELTA))) * 1.e-2);

                assertEquals(resPropTrinomial.get(Greek.GAMMA), resProp.get(Greek.GAMMA), Math.max(1., Math.abs(resProp.get(Greek.GAMMA))) * 1.e-2);
                assertEquals(resPropTrinomial.get(Greek.THETA), resProp.get(Greek.THETA), Math.max(1., Math.abs(resProp.get(Greek.THETA))) * 1.e-1);

                assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), resCash.get(Greek.FAIR_PRICE), Math.max(1., Math.abs(resCash.get(Greek.FAIR_PRICE))) * 1.e-2);
                assertEquals(resCashTrinomial.get(Greek.DELTA), resCash.get(Greek.DELTA), Math.max(1., Math.abs(resCash.get(Greek.DELTA))) * 1.e-2);
                assertEquals(resCashTrinomial.get(Greek.GAMMA), resCash.get(Greek.GAMMA), Math.max(1., Math.abs(resCash.get(Greek.GAMMA))) * 1.e-2);
                assertEquals(resCashTrinomial.get(Greek.THETA), resCash.get(Greek.THETA), Math.max(1., Math.abs(resCash.get(Greek.THETA))) * 1.e-1);
              }

            }
          }
        }
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          final double rateRef = constA + 0.5 * constB * time;
          final double volRef = Math.sqrt(constC * constC + 0.5 * constD * constD + 2. * constC * constD / time * (1. - Math.cos(time)) - constD * constD * 0.25 / time * Math.sin(2. * time));

          final OptionFunctionProvider1D functionVanilla = new EuropeanVanillaOptionFunctionProvider(strike, time, steps, isCall);
          final double resPrice = _model.getPrice(functionVanilla, SPOT, vol, rate, dividend);
          final GreekResultCollection resGreeks = _model.getGreeks(functionVanilla, SPOT, vol, rate, dividend);

          final double resPriceConst = _model.getPrice(lattice1, functionVanilla, SPOT, volRef, rateRef, dividend[0]);
          final GreekResultCollection resGreeksConst = _model.getGreeks(lattice1, functionVanilla, SPOT, volRef, rateRef, dividend[0]);
          assertEquals(resPrice, resPriceConst, Math.max(Math.abs(resPriceConst), .1) * 1.e-1);
          assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));

          final OptionFunctionProvider1D functionTri = new EuropeanVanillaOptionFunctionProvider(strike, time, stepsTri, isCall);
          final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), .1) * 1.e-1);
          final GreekResultCollection resGreeksTrinomial = _modelTrinomial.getGreeks(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resGreeksTrinomial.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));
        }
      }
    }
  }
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      b = Math.log(fwd / spot) / t;
    } else {
      b = r; // TODO
    }
    final double[] greeks = MODEL.getPriceAdjoint(spot, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3]);
    result.put(Greek.CARRY_RHO, greeks[4]);
    result.put(Greek.THETA, greeks[5]);
    result.put(Greek.VEGA, greeks[6]);
    final double[] pdg = MODEL.getPriceDeltaGamma(spot, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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      b = Math.log(fwd / spot) / t;
    } else {
      b = r; // TODO
    }
    final double[] greeks = MODEL.getPriceAdjoint(spot, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3]);
    result.put(Greek.CARRY_RHO, greeks[4]);
    result.put(Greek.THETA, greeks[5]);
    result.put(Greek.VEGA, greeks[6]);

    final double[] pdg = MODEL.getPriceDeltaGamma(spot, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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      b = Math.log(fwd / spot) / t;
    } else {
      b = r; // TODO
    }
    final double[] greeks = MODEL.getPriceAdjoint(spot, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3]);
    result.put(Greek.CARRY_RHO, greeks[4]);
    result.put(Greek.THETA, greeks[5]);
    result.put(Greek.VEGA, greeks[6]);

    final double[] pdg = MODEL.getPriceDeltaGamma(spot, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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                  final double delta = 0.5 * (priceSpotUp - priceSpotDown) / eps;
                  final double deltaUp = 0.5 * (priceSpot2Up - price) / eps;
                  final double deltaDown = 0.5 * (price - priceSpot2Down) / eps;
                  final double gamma = 0.5 * (deltaUp - deltaDown) / eps;
                  final double theta = -0.5 * (priceTimeUp - priceTimeDown) / eps;
                  final GreekResultCollection res = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);
                  assertEquals(res.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-1);
                  assertEquals(res.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(res.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);

                  final GreekResultCollection resTri = _modelTrinomial.getGreeks(latticeTri, functionTri, SPOT, vol, interest, cashDividend);
                  assertEquals(resTri.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-2);
                  assertEquals(resTri.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-1);
                  assertEquals(resTri.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(resTri.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);
                }
                {
                  final double price = price(resSpot, strike, TIME, vol, interest, 0., isCall, barrier, type);
                  final double priceSpotUp = price(resSpot + eps, strike, TIME, vol, interest, 0., isCall, barrier, type);
                  final double priceSpotDown = price(resSpot - eps, strike, TIME, vol, interest, 0., isCall, barrier, type);
                  final double priceSpot2Up = price(resSpot + 2. * eps, strike, TIME, vol, interest, 0., isCall, barrier, type);
                  final double priceSpot2Down = price(resSpot - 2. * eps, strike, TIME, vol, interest, 0., isCall, barrier, type);
                  final double priceTimeUp = price(resSpot, strike, TIME + eps, vol, interest, 0., isCall, barrier, type);
                  final double priceTimeDown = price(resSpot, strike, TIME - eps, vol, interest, 0., isCall, barrier, type);
                  final double delta = 0.5 * (priceSpotUp - priceSpotDown) / eps;
                  final double deltaUp = 0.5 * (priceSpot2Up - price) / eps;
                  final double deltaDown = 0.5 * (price - priceSpot2Down) / eps;
                  final double gamma = 0.5 * (deltaUp - deltaDown) / eps;
                  final double theta = -0.5 * (priceTimeUp - priceTimeDown) / eps;
                  final GreekResultCollection res = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
                  assertEquals(res.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(res.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);

                  final GreekResultCollection resTri = _modelTrinomial.getGreeks(latticeTri, functionTri, SPOT, vol, interest, propDividend);
                  assertEquals(resTri.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-1);
                  assertEquals(resTri.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-1);
                  assertEquals(resTri.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(resTri.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);
                }
              }
            }
          }
        }
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    final double r = data.getDiscountCurve().getInterestRate(t);
    final double b = r; //TODO
    final double volatility = data.getVolatilitySurface().getVolatility(t, k);
    final boolean isCall = option.isCall();
    final double[] greeks = MODEL.getPriceAdjoint(s, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3] / 100.);
    result.put(Greek.CARRY_RHO, greeks[4] / 100.);
    result.put(Greek.THETA, -greeks[5] / 365.);
    result.put(Greek.VEGA, greeks[6] / 100.);
    final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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    final double r = data.getDiscountCurve().getInterestRate(t);
    final double b = r; //TODO
    final double volatility = data.getVolatilitySurface().getVolatility(t, k);
    final boolean isCall = option.isCall();
    final double[] greeks = MODEL.getPriceAdjoint(s, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3] / 100.);
    result.put(Greek.CARRY_RHO, greeks[4] / 100.);
    result.put(Greek.THETA, -greeks[5] / 365.);
    result.put(Greek.VEGA, greeks[6] / 100.);
    final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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    final double r = data.getDiscountCurve().getInterestRate(t);
    final double b = r; //TODO
    final double volatility = data.getVolatilitySurface().getVolatility(t, k);
    final boolean isCall = option.isCall();
    final double[] greeks = MODEL.getPriceAdjoint(s, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3] / 100.);
    result.put(Greek.CARRY_RHO, greeks[4] / 100.);
    result.put(Greek.THETA, -greeks[5] / 365.);
    result.put(Greek.VEGA, greeks[6] / 100.);
    final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, t, volatility, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.DownAndOut);
            final OptionFunctionProvider1D functionBarrierUp = new EuropeanSingleBarrierOptionFunctionProvider(strike, time, steps, isCall, barrier,
                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.UpAndOut);

            final double resPriceBarrierDown = _model.getPrice(functionBarrierDown, SPOT, vol, rate, dividend);
            final GreekResultCollection resGreeksBarrierDown = _model.getGreeks(functionBarrierDown, SPOT, vol, rate, dividend);
            final double resPriceConstBarrierDown = _model.getPrice(lattice1, functionBarrierDown, SPOT, volRef, rateRef, dividend[0]);
            final GreekResultCollection resGreeksConstBarrierDown = _model.getGreeks(lattice1, functionBarrierDown, SPOT, volRef, rateRef, dividend[0]);
            assertEquals(resPriceBarrierDown, resPriceConstBarrierDown, Math.max(Math.abs(resPriceConstBarrierDown), 0.1) * 1.e-1);
            assertEquals(resGreeksBarrierDown.get(Greek.FAIR_PRICE), resGreeksConstBarrierDown.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.DELTA), resGreeksConstBarrierDown.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.DELTA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.GAMMA), resGreeksConstBarrierDown.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.GAMMA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.THETA), resGreeksConstBarrierDown.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.THETA)), 0.1));

            final double resPriceBarrierUp = _model.getPrice(functionBarrierUp, SPOT, vol, rate, dividend);
            final GreekResultCollection resGreeksBarrierUp = _model.getGreeks(functionBarrierUp, SPOT, vol, rate, dividend);
            final double resPriceConstBarrierUp = _model.getPrice(lattice1, functionBarrierUp, SPOT, volRef, rateRef, dividend[0]);
            final GreekResultCollection resGreeksConstBarrierUp = _model.getGreeks(lattice1, functionBarrierUp, SPOT, volRef, rateRef, dividend[0]);
            assertEquals(resPriceBarrierUp, resPriceConstBarrierUp, Math.max(Math.abs(resPriceConstBarrierUp), 0.1) * 1.e-1);
            assertEquals(resGreeksBarrierUp.get(Greek.FAIR_PRICE), resGreeksConstBarrierUp.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.DELTA), resGreeksConstBarrierUp.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.DELTA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.GAMMA), resGreeksConstBarrierUp.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.GAMMA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.THETA), resGreeksConstBarrierUp.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.THETA)), 0.1));

            final OptionFunctionProvider1D functionBarrierDownTri = new EuropeanSingleBarrierOptionFunctionProvider(strike, time, stepsTri, isCall, barrier,
                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.DownAndOut);
            final OptionFunctionProvider1D functionBarrierUpTri = new EuropeanSingleBarrierOptionFunctionProvider(strike, time, stepsTri, isCall, barrier,
                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.UpAndOut);

            final double resPriceBarrierDownTri = _modelTrinomial.getPrice(functionBarrierDownTri, SPOT, volTri, rateTri, dividendTri);
            final GreekResultCollection resGreeksBarrierDownTri = _modelTrinomial.getGreeks(functionBarrierDownTri, SPOT, volTri, rateTri, dividendTri);
            assertEquals(resPriceBarrierDownTri, resPriceConstBarrierDown, Math.max(Math.abs(resPriceConstBarrierDown), 1.) * 1.e-1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.FAIR_PRICE), resGreeksConstBarrierDown.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.FAIR_PRICE)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.DELTA), resGreeksConstBarrierDown.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.DELTA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.GAMMA), resGreeksConstBarrierDown.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.GAMMA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.THETA), resGreeksConstBarrierDown.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.THETA)), 1.));

            final double resPriceBarrierUpTri = _modelTrinomial.getPrice(functionBarrierUpTri, SPOT, volTri, rateTri, dividendTri);
            final GreekResultCollection resGreeksBarrierUpTri = _modelTrinomial.getGreeks(functionBarrierUpTri, SPOT, volTri, rateTri, dividendTri);
            assertEquals(resPriceBarrierUpTri, resPriceConstBarrierUp, Math.max(Math.abs(resPriceConstBarrierUp), 1.) * 1.e-1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.FAIR_PRICE), resGreeksConstBarrierUp.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.FAIR_PRICE)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.DELTA), resGreeksConstBarrierUp.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.DELTA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.GAMMA), resGreeksConstBarrierUp.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.GAMMA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.THETA), resGreeksConstBarrierUp.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.THETA)), 1.));
          }

        }
      }
    }
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