MODEL.getPricingFunction(new ProductOptionDefinition(0.1, EXPIRY1, true)).evaluate((StandardTwoAssetOptionDataBundle) null);
}
@Test
public void test() {
ProductOptionDefinition option = new ProductOptionDefinition(15000, EXPIRY1, true);
StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, new VolatilitySurface(ConstantDoublesSurface.from(0.2)), new VolatilitySurface(
ConstantDoublesSurface.from(0.3)), S1, S2, -0.5, DATE);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.0028, EPS);
data = data.withFirstVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3))).withCorrelation(0);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.4026, EPS);
option = new ProductOptionDefinition(15000, EXPIRY2, true);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 266.1594, EPS);
}