/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.surface;
import static org.testng.AssertJUnit.assertEquals;
import java.util.Collections;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;
import cern.jet.random.engine.RandomEngine;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModel;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModel;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.tuple.DoublesPair;
/**
*
*/
public class BlackScholesMertonImpliedVolatilitySurfaceModelTest {
private static final RandomEngine RANDOM = new MersenneTwister64(MersenneTwister.DEFAULT_SEED);
private static final BlackScholesMertonImpliedVolatilitySurfaceModel MODEL = new BlackScholesMertonImpliedVolatilitySurfaceModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BSM = new BlackScholesMertonModel();
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.01)), 0.1, new VolatilitySurface(ConstantDoublesSurface.from(0.01)),
100.,
DateUtils.getUTCDate(2010, 1, 1));
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final double EPS = 1e-3;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPrices() {
MODEL.getSurface(null, DATA);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testEmptyPrices() {
MODEL.getSurface(Collections.<OptionDefinition, Double> emptyMap(), DATA);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(new EuropeanVanillaOptionDefinition(RANDOM.nextDouble(), new Expiry(DATE), true), 2.3), null);
}
@Test
public void test() {
boolean isCall;
double spot, strike, b, price;
Expiry expiry;
YieldAndDiscountCurve curve;
EuropeanVanillaOptionDefinition definition;
StandardOptionDataBundle initialData, data;
double sigma = 0.01;
for (int i = 0; i < 100; i++) {
expiry = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, RANDOM.nextDouble() * 2));
sigma += 0.03;
spot = 2 * RANDOM.nextDouble() + 10;
strike = 2 * RANDOM.nextDouble() + 10;
curve = YieldCurve.from(ConstantDoublesCurve.from(RANDOM.nextDouble() / 10));
b = 0;//RANDOM.nextDouble() / 20;
isCall = RANDOM.nextDouble() < 0.5 ? true : false;
definition = new EuropeanVanillaOptionDefinition(strike, expiry, isCall);
initialData = new StandardOptionDataBundle(curve, b, null, spot, DATE);
data = new StandardOptionDataBundle(curve, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
price = BSM.getPricingFunction(definition).evaluate(data);
assertEquals(sigma, MODEL.getSurface(Collections.<OptionDefinition, Double> singletonMap(definition, price), initialData).getVolatility(DoublesPair.of(0., 0.)), EPS);
}
}
}