Examples of EuropeanVanillaOptionDefinition

Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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  @Test
  public void test() {
    double strike = SPOT;
    final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    SimpleChooserOptionDefinition chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    strike = SPOT / 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    strike = SPOT * 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    assertEquals(MODEL.getGreeks(DEFINITION, DATA, Sets.newHashSet(Greek.FAIR_PRICE)).get(Greek.FAIR_PRICE), 6.1071, EPS);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    //double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, YIELD_CURVE.getDiscountFactor(T), T, true);
    assertEquals(ATM_VOL, impVol, 1e-3);
    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, YIELD_CURVE.getDiscountFactor(T), T, true);
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    //    double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, df, T, true);
    assertEquals(vol, impVol, 1e-3);
    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, data, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(bfd, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, df, T, true);
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    final CEVFunctionData cfd = new CEVFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA, BETA);

    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, data, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, true);
      final double cevPrice = CEV_PRICE.getPriceFunction(o).evaluate(cfd);
      final double cevVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, cevPrice);
      final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, optionPriceTree.getNode(0, 0).getValue());
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
  }

  @Test
  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);
    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);
    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);
    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.EuropeanVanillaOptionDefinition

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    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((MertonJumpDiffusionModelDataBundle) null);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((MertonJumpDiffusionModelDataBundle) null);
  }

  @Test
  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    MertonJumpDiffusionModelDataBundle data = new MertonJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 1., 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withGamma(0.25);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    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);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(4.71, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withGamma(0.75);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(2.70, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(2.05, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(2.23, MODEL.getPricingFunction(call).evaluate(data), EPS1);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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  @Test
  public void testAgainstBSM() {
    final StandardOptionDataBundle data = DATA;
    final Function1D<StandardOptionDataBundle, Double> call = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, true, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> put = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, false, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> bsmCall = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, true));
    final Function1D<StandardOptionDataBundle, Double> bsmPut = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, false));
    assertEquals(call.evaluate(data), bsmCall.evaluate(data), EPS);
    assertEquals(put.evaluate(data), bsmPut.evaluate(data), EPS);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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  }

  @Test
  public void testPowerOfOne() {
    PoweredOptionDefinition poweredDefinition = getPoweredDefinition(1, true);
    EuropeanVanillaOptionDefinition vanillaDefinition = getVanillaOption(true);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.1);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.2);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.3);
    poweredDefinition = getPoweredDefinition(1, false);
    vanillaDefinition = getVanillaOption(false);
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