fixingDates.add(d.clone());
}
final PricingEngine engine = new AnalyticDiscreteGeometricAveragePriceAsianEngine(process);
final DiscreteAveragingAsianOption option = new DiscreteAveragingAsianOption(
AverageType.Geometric, runningAverage, pastFixings, fixingDates, payoff, maturity);
option.setPricingEngine(engine);
for (final double u : underlyings) {
for (final double q : qRates) {
for (final double r : rRates) {
for (final double v : vols) {
spot.setValue(u);
qRate.setValue(q);
rRate.setValue(r);
vol.setValue(v);
final double value = option.NPV();
final Map<String, Double> calculated = new HashMap<String, Double>();
calculated.put("delta", option.delta());
calculated.put("gamma", option.gamma());
calculated.put("theta", option.theta());
calculated.put("rho", option.rho());
calculated.put("divRho", option.dividendRho());
calculated.put("vega", option.vega());
final Map<String, Double> expected = new HashMap<String, Double>();
if (value > spot.value() * 1.0e-5) {
// perturb spot and get delta and gamma
final double du = u * 1.0e-4;
spot.setValue(u + du);
double value_p = option.NPV();
final double delta_p = option.delta();
spot.setValue(u - du);
double value_m = option.NPV();
final double delta_m = option.delta();
spot.setValue(u);
expected.put("delta", (value_p - value_m) / (2 * du));
expected.put("gamma", (delta_p - delta_m) / (2 * du));
// perturb rates and get rho and dividend rho
final double dr = r * 1.0e-4;
rRate.setValue(r + dr);
value_p = option.NPV();
rRate.setValue(r - dr);
value_m = option.NPV();
rRate.setValue(r);
expected.put("rho", (value_p - value_m) / (2 * dr));
final double dq = q * 1.0e-4;
qRate.setValue(q + dq);
value_p = option.NPV();
qRate.setValue(q - dq);
value_m = option.NPV();
qRate.setValue(q);
expected.put("divRho", (value_p - value_m) / (2 * dq));
// perturb volatility and get vega
final double dv = v * 1.0e-4;
vol.setValue(v + dv);
value_p = option.NPV();
vol.setValue(v - dv);
value_m = option.NPV();
vol.setValue(v);
expected.put("vega", (value_p - value_m) / (2 * dv));
// perturb date and get theta
final Date yesterday = today.sub(1);
final Date tomorrow = today.add(1);
final double dT = dc.yearFraction(yesterday, tomorrow);
new Settings().setEvaluationDate(yesterday);
value_m = option.NPV();
new Settings().setEvaluationDate(tomorrow);
value_p = option.NPV();
expected.put("theta", (value_p - value_m) / dT);
new Settings().setEvaluationDate(today);
// compare
for (final Entry<String, Double> greek : calculated.entrySet()) {
final double expct = expected.get(greek.getKey());