@Test
/** Test the option price from the future price. Mid-curve one year option. */
public void priceFromFuturePriceMidCurve() {
final double priceFuture = 0.9905;
final double priceOption =
METHOD.optionPriceFromFuturePrice(OPTION_EDU2, SABR_BUNDLE, priceFuture);
final double delay = EDU2.getLastTradingTime() - EXPIRATION_TIME;
final double volatility =
SABR_PARAMETER.getVolatility(EXPIRATION_TIME, delay, 1 - STRIKE, 1 - priceFuture);
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(1 - priceFuture, 1.0, volatility);
final EuropeanVanillaOption option =
new EuropeanVanillaOption(1 - STRIKE, EXPIRATION_TIME, !IS_CALL);
final double priceOptionExpected = blackFunction.getPriceFunction(option).evaluate(dataBlack);
assertEquals(
"Future option with SABR volatilities: option price from future price",
priceOptionExpected,
priceOption);
}
