Examples of toDerivative()

Examples of com.opengamma.analytics.financial.commodity.definition.AgricultureFutureDefinition.toDerivative()

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  public void testAgricultureFutureOption() {
    final double answer = 4.415360077156871;

    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

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Examples of com.opengamma.analytics.financial.commodity.definition.AgricultureFutureDefinition.toDerivative()

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  public void testAgricultureFutureOption() {
    final double answer = 53.948020295136104;

    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.definition.AgricultureFutureDefinition.toDerivative()

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  public void testAgricultureFutureOption() {
    final double answer = 0.018277536548956183;

    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.definition.AgricultureFutureDefinition.toDerivative()

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  public void testAgricultureFutureOption() {
    final double answer = -24.356026185994125;

    final AgricultureFutureDefinition definition = new AgricultureFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes",
        SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    final AgricultureFuture future = definition.toDerivative(A_DATE);
    final AgricultureFutureOption option = new AgricultureFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

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Examples of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition.toDerivative()

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  public void testEnergyFutureOption() {
    final double answer = 4.415360077156871;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

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Examples of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition.toDerivative()

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  public void testEnergyFutureOption() {
    final double answer = 53.948020295136104;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition.toDerivative()

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  public void testEnergyFutureOption() {
    final double answer = 0.018277536548956183;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition.toDerivative()

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  public void testEnergyFutureOption() {
    final double answer = -24.356026185994125;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }

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Examples of com.opengamma.analytics.financial.commodity.definition.MetalFutureDefinition.toDerivative()

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  public void testMetalFutureOption() {
    final double answer = 4.415360077156871;

    final MetalFutureDefinition definition = new MetalFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final MetalFuture future = definition.toDerivative(A_DATE);
    final MetalFutureOption option = new MetalFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
}
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Examples of com.opengamma.analytics.financial.commodity.definition.MetalFutureDefinition.toDerivative()

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  public void testMetalFutureOption() {
    final double answer = 53.948020295136104;

    final MetalFutureDefinition definition = new MetalFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final MetalFuture future = definition.toDerivative(A_DATE);
    final MetalFutureOption option = new MetalFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
}
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