@Test
public void test_calculate_validInput_validDeltaResult() {
OptionPriceResult result =
this.pricingController.calculate(
this.strike,
this.volatility,
this.underlyingPrice,
this.daysToExpiry,
this.interestRate,
true,
true,
this.dayCountConvention);
assertEquals(
"Delta does not match expectations!",
0.52917556104899343694114577374421060085296630859375,
result.getDelta(),
0.0001);
}
@Test
public void test_calculate_validInput_validRhoResult() {
OptionPriceResult result =
this.pricingController.calculate(
this.strike,
this.volatility,
this.underlyingPrice,
this.daysToExpiry,
this.interestRate,
true,
true,
this.dayCountConvention);
assertEquals(
"Rho does not match expectations!",
0.406768112191249919806779189457301981747150421142578125,
result.getRho(),
0.0001);
}
@Test
public void test_calculate_validInput_validThetaResult() {
OptionPriceResult result =
this.pricingController.calculate(
this.strike,
this.volatility,
this.underlyingPrice,
this.daysToExpiry,
this.interestRate,
true,
true,
this.dayCountConvention);
assertEquals(
"Theta does not match expectations!",
-0.07648555867321778223288930576018174178898334503173828125,
result.getTheta(),
0.0001);
}
@Test
public void test_calculate_validInput_validVegaResult() {
OptionPriceResult result =
this.pricingController.calculate(
this.strike,
this.volatility,
this.underlyingPrice,
this.daysToExpiry,
this.interestRate,
true,
true,
this.dayCountConvention);
assertEquals(
"Vega does not match expectations!",
0.3580874745409279302776894837734289467334747314453125,
result.getVega(),
0.0001);
}
@Test
public void test_calculate_validInput_validGammaResult() {
OptionPriceResult result =
this.pricingController.calculate(
this.strike,
this.volatility,
this.underlyingPrice,
this.daysToExpiry,
this.interestRate,
true,
true,
this.dayCountConvention);
assertEquals(
"Gamma does not match expectations!",
0.0221041650951190084273267899561687954701483249664306640625,
result.getGamma(),
0.0001);
}
