@Test
public void testExercise() {
assertFalse(CALL.getExerciseFunction().shouldExercise(HIGH_DATA, null));
assertFalse(CALL.getExerciseFunction().shouldExercise(LOW_DATA, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(HIGH_DATA, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(LOW_DATA, null));
}
@Test
public void testPayoff() {
final double eps = 1e-15;
OptionPayoffFunction<StandardOptionWithSpotTimeSeriesDataBundle> payoff =
CALL.getPayoffFunction();
assertEquals(payoff.getPayoff(LOW_DATA, 0.), DIFF, eps);
assertEquals(payoff.getPayoff(HIGH_DATA, 0.), 0, eps);
payoff = PUT.getPayoffFunction();
assertEquals(payoff.getPayoff(LOW_DATA, 0.), 0, eps);
assertEquals(payoff.getPayoff(HIGH_DATA, 0.), DIFF, eps);
}
@Test
public void testEqualsAndHashCode() {
final OptionDefinition call1 = new FloatingStrikeLookbackOptionDefinition(EXPIRY, true);
final OptionDefinition put1 = new FloatingStrikeLookbackOptionDefinition(EXPIRY, false);
final OptionDefinition call2 =
new FloatingStrikeLookbackOptionDefinition(
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 3)), true);
final OptionDefinition put2 =
new FloatingStrikeLookbackOptionDefinition(
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 3)), false);
assertFalse(CALL.equals(PUT));
assertEquals(call1, CALL);
assertEquals(put1, PUT);
assertEquals(call1.hashCode(), CALL.hashCode());
assertEquals(put1.hashCode(), PUT.hashCode());
assertFalse(call2.equals(CALL));
assertFalse(put2.equals(PUT));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTS() {
CALL.getPayoffFunction().getPayoff(HIGH_DATA.withSpotTimeSeries(null), null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDataBundle() {
CALL.getPayoffFunction().getPayoff(null, null);
}
