public void theta() {
double priceFutures =
METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
double expiry = CALL_JB_147.getExpirationTime();
double volatility = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, STRIKE_147);
double rate =
-Math.log(
ISSUER_SPECIFIC_MULTICURVES
.getMulticurveProvider()
.getDiscountFactor(CALL_JB_147.getCurrency(), CALL_JB_147.getExpirationTime()))
/ CALL_JB_147.getExpirationTime();
double thetaCallExpected =
BlackFormulaRepository.theta(
priceFutures,
STRIKE_147,
CALL_JB_147.getExpirationTime(),
volatility,
CALL_JB_147.isCall(),
rate);
double thetaCallComputed = METHOD_OPT.theta(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
assertEquals(
"BondFuturesOptionMarginSecurityBlackFlatMethod: theta",
thetaCallExpected,
thetaCallComputed,
TOLERANCE_DELTA);
}
public void delta() {
final double priceFutures =
METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
STRIKE_147, CALL_JB_147.getExpirationTime(), CALL_JB_147.isCall());
final double expiry = CALL_JB_147.getExpirationTime();
final double volatility = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, STRIKE_147);
double df =
ISSUER_SPECIFIC_MULTICURVES
.getMulticurveProvider()
.getDiscountFactor(JBM5_DEFINITION.getCurrency(), CALL_JB_147.getExpirationTime());
final BlackFunctionData dataBlack = new BlackFunctionData(priceFutures, df, volatility);
final double[] priceAD = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
final double deltaCallExpected = priceAD[1];
final double deltaCallComputed = METHOD_OPT.delta(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
assertEquals(
"BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: delta",
deltaCallExpected,
deltaCallComputed,
TOLERANCE_DELTA);
final double deltaPutComputed = METHOD_OPT.delta(PUT_JB_147, BLACK_EXP_STRIKE_BNDFUT);
assertEquals(
"BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: delta",
deltaCallExpected - deltaPutComputed,
df,
TOLERANCE_DELTA);
}
public void impliedVolatility() {
final double strike = STRIKE_147;
final double expiry = CALL_JB_147.getExpirationTime();
final double ivExpected = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, strike);
final double ivComputed = METHOD_OPT.impliedVolatility(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
assertEquals(
"BondFuturesOptionPremiumSecurityBlackSurfaceMethod: impliedVolatility",
ivExpected,
ivComputed,
TOLERANCE_RATE);
}
public void priceFromFuturesPrice() {
final double price = 1.465;
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
STRIKE_147, CALL_JB_147.getExpirationTime(), CALL_JB_147.isCall());
final double logmoney = Math.log(STRIKE_147 / price);
final double expiry = CALL_JB_147.getExpirationTime();
final double volatility = BLACK_SURFACE_EXP_STRIKE.getZValue(expiry, logmoney);
double df =
ISSUER_SPECIFIC_MULTICURVES
.getMulticurveProvider()
.getDiscountFactor(JBM5_DEFINITION.getCurrency(), expiry);
final BlackFunctionData dataBlack = new BlackFunctionData(price, df, volatility);
final double priceExpected = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
final double priceComputed =
METHOD_OPT.priceFromUnderlyingPrice(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT, price);
assertEquals(
"BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: underlying futures price",
priceExpected,
priceComputed,
TOLERANCE_RATE);
}
public void putCallParity() {
final double priceFutures =
METHOD_FUTURE.price(CALL_JB_147.getUnderlyingFuture(), ISSUER_SPECIFIC_MULTICURVES);
final double priceCallComputed = METHOD_OPT.price(CALL_JB_147, BLACK_EXP_STRIKE_BNDFUT);
final double pricePutComputed = METHOD_OPT.price(PUT_JB_147, BLACK_EXP_STRIKE_BNDFUT);
double df =
ISSUER_SPECIFIC_MULTICURVES
.getMulticurveProvider()
.getDiscountFactor(JBM5_DEFINITION.getCurrency(), CALL_JB_147.getExpirationTime());
assertEquals(
"BondFuturesOptionPremiumSecurityBlackBondFuturesMethod: put call parity price",
priceCallComputed - pricePutComputed,
(priceFutures - STRIKE_147) * df,
TOLERANCE_RATE);
}