@Test
public void test() {
assertEquals(MODEL.getPricingFunction(END).evaluate(DATA), 0, 0);
assertEquals(
MODEL
.getPricingFunction(FORWARD)
.evaluate(
DATA.withVolatilitySurface(
new VolatilitySurface(ConstantDoublesSurface.from(1e-9)))),
0,
0);
assertEquals(
MODEL.getPricingFunction(NOW).evaluate(DATA),
BSM.getPricingFunction(VANILLA).evaluate(DATA),
1e-4);
assertEquals(MODEL.getPricingFunction(FORWARD).evaluate(DATA), 4.4064, 1e-4);
}
@Test
public void test() {
// TODO test wrt BSM
// final double spot = 2;
// final StandardOptionDataBundle data = DATA.withSpot(spot);
// final ComplexChooserOptionDefinition chooser = new ComplexChooserOptionDefinition(new
// Expiry(DATE), CALL_STRIKE, CALL_EXPIRY, PUT_STRIKE, PUT_EXPIRY);
// assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(
// new EuropeanVanillaOptionDefinition(CALL_STRIKE, new
// Expiry(DateUtil.getDateOffsetWithYearFraction(DATE, CALL_LIFE)), true)).evaluate(data), 0);
assertEquals(MODEL.getPricingFunction(CHOOSER).evaluate(DATA), 6.0508, 1e-4);
}
private double getBSPrice(final double power, final boolean isCall) {
final StandardOptionDataBundle bsBundle = getModifiedDataBundle(BUNDLE, power);
return BS_MODEL
.getGreeks(getDefinition(power, isCall), bsBundle, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
private double getPrice(final double power, final boolean isCall) {
return MODEL
.getGreeks(getDefinition(power, isCall), BUNDLE, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, 1, true))
.evaluate((StandardOptionDataBundle) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
private void assertPriceEquals(
final LogOptionDefinition definition, final double sigma, final double price) {
final StandardOptionDataBundle bundle = getBundle(sigma);
final GreekResultCollection actual = MODEL.getGreeks(definition, bundle, REQUIRED_GREEKS);
assertEquals(actual.get(Greek.FAIR_PRICE), price, EPS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(FORWARD).evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
BatesGeneralizedJumpDiffusionModelDataBundle data =
new BatesGeneralizedJumpDiffusionModelDataBundle(
CURVE, B, SURFACE, SPOT, DATE, 0., -0.04, 0.);
assertEquals(
BSM.getPricingFunction(call).evaluate(data),
MODEL.getPricingFunction(call).evaluate(data),
EPS2);
call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
data = data.withLambda(1.).withDelta(0.1);
assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
data = data.withLambda(5.);
assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
data = data.withLambda(10.);
assertEquals(13.62, MODEL.getPricingFunction(call).evaluate(data), EPS1);
data = data.withDelta(0.25);
data = data.withLambda(1.);
call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
data = data.withLambda(5.);
assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
data = data.withLambda(10.);
assertEquals(20.43, MODEL.getPricingFunction(call).evaluate(data), EPS1);
data = data.withDelta(0.5);
data = data.withLambda(1.);
call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
data = data.withLambda(5.);
assertEquals(16.52, MODEL.getPricingFunction(call).evaluate(data), EPS1);
call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
data = data.withLambda(10.);
assertEquals(37.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true))
.evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
}
