@Test
public void testExerciseFunction() {
StandardOptionDataBundle data = DATA.withSpot(STRIKE + DELTA);
assertFalse(CALL.getExerciseFunction().shouldExercise(data, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(data, null));
data = DATA.withSpot(STRIKE - DELTA);
assertFalse(CALL.getExerciseFunction().shouldExercise(data, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(data, null));
}
@Test
public void testPayoffFunction() {
assertEquals(CALL.getPayoffFunction().getPayoff(DATA, null), 0, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(DATA, null), 0, 0);
double spot = STRIKE + DELTA;
StandardOptionDataBundle data = DATA.withSpot(spot);
assertEquals(CALL.getPayoffFunction().getPayoff(data, null), spot - PAYOFF_STRIKE, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(data, null), 0, 0);
spot = STRIKE - DELTA;
data = DATA.withSpot(spot);
assertEquals(CALL.getPayoffFunction().getPayoff(data, null), 0, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(data, null), PAYOFF_STRIKE - spot, 0);
}
@Override
public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
Validate.notNull(data);
final double spot = data.getSpot();
return isCall()
? Math.pow(Math.max(0, spot - getStrike()), getPower())
: Math.pow(Math.max(0, getStrike() - spot), getPower());
}
