@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);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new ProductOptionDefinition(0.1, EXPIRY1, true))
.evaluate((StandardTwoAssetOptionDataBundle) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
