// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
RATE_PROVIDER,
(p) ->
CurrencyAmount.of(
EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOL_PROVIDER)));
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double logMoneynessUp = Math.log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurveCurrencyParameterSensitivities sensiVol =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(-vega * volSensi);
expected = expected.combinedWith(sensiVol);
assertTrue(computed.equalWithTolerance(expected, 30d * EPS));
}
public void test_marginIndexSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
PointSensitivities computed =
OPTION_PRICER.marginIndexSensitivity(FUTURE_OPTION_PRODUCT, point);
assertEquals(computed, point.multipliedBy(FUTURE_OPTION_PRODUCT.getUnderlying().getNotional()));
}
// -------------------------------------------------------------------------
public void test_priceSensitivityBlackVolatility() {
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p)));
}
public void test_price_from_generic_provider() {
BondFutureProvider volProvider =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
SURFACE, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
double expected = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
assertEquals(computed, expected, TOL);
}
public void test_priceSensitivityBlackVolatility_from_future_price() {
double futurePrice = 1.1d;
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p), futurePrice));
}
public void test_priceSensitivity_from_generic_provider() {
BondFutureProvider volProvider =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
SURFACE, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
PointSensitivities expected =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
PointSensitivities computed =
OPTION_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
assertEquals(computed, expected);
}
public void test_priceSensitivity_from_future_price() {
double futurePrice = 1.1d;
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
double delta =
OPTION_PRICER.deltaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities expected =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(delta);
assertTrue(computed.equalWithTolerance(expected, TOL));
}
public void test_theta() {
double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_gamma_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.gammaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
// -------------------------------------------------------------------------
public void regression_price() {
double price = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
assertEquals(price, 0.08916005173932573, TOL); // 2.x
}
// -------------------------------------------------------------------------
public void test_marginIndex() {
double price = 0.12d;
double computed = OPTION_PRICER.marginIndex(FUTURE_OPTION_PRODUCT, price);
assertEquals(computed, price * FUTURE_OPTION_PRODUCT.getUnderlying().getNotional());
}
public void test_getFuturePricer() {
assertSame(OPTION_PRICER.getFuturePricer(), FUTURE_PRICER);
}
