@SuppressWarnings("unchecked")
@Test
public void testConstantSurface() {
Surface<Double, Double, Double> s1 = ConstantDoublesSurface.from(4.);
Surface<Double, Double, Double> s2 = cycleObject(Surface.class, s1);
assertEquals(s1, s2);
s1 = ConstantDoublesSurface.from(4., "NAME");
s2 = cycleObject(Surface.class, s1);
assertEquals(s1, s2);
}
private StandardOptionDataBundle getModifiedDataBundle(
final StandardOptionDataBundle data, final double p) {
final double t = DateUtils.getDifferenceInYears(DATE, EXPIRY);
final double spot = Math.pow(data.getSpot(), p);
double sigma = data.getVolatility(t, STRIKE);
final double b = p * (data.getCostOfCarry() + (p - 1) * sigma * sigma * 0.5);
sigma *= p;
return new StandardOptionDataBundle(
CURVE, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
}
@Test
public void test() {
ProductOptionDefinition option = new ProductOptionDefinition(15000, EXPIRY1, true);
StandardTwoAssetOptionDataBundle data =
new StandardTwoAssetOptionDataBundle(
R,
B1,
B2,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
new VolatilitySurface(ConstantDoublesSurface.from(0.3)),
S1,
S2,
-0.5,
DATE);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.0028, EPS);
data =
data.withFirstVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3)))
.withCorrelation(0);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.4026, EPS);
option = new ProductOptionDefinition(15000, EXPIRY2, true);
assertEquals(MODEL.getPricingFunction(option).evaluate(data), 266.1594, EPS);
}
public class FloatingStrikeLookbackOptionDefinitionTest {
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 6, 1);
private static final Expiry EXPIRY = new Expiry(DATE);
private static final FloatingStrikeLookbackOptionDefinition CALL =
new FloatingStrikeLookbackOptionDefinition(EXPIRY, true);
private static final FloatingStrikeLookbackOptionDefinition PUT =
new FloatingStrikeLookbackOptionDefinition(EXPIRY, false);
private static final double SPOT = 100;
private static final double DIFF = 10;
private static final DoubleTimeSeries<?> HIGH_TS =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_DDMMYYYY,
new int[] {20100529, 20100530, 20100531},
new double[] {SPOT, SPOT + DIFF, SPOT});
private static final DoubleTimeSeries<?> LOW_TS =
new FastArrayIntDoubleTimeSeries(
DateTimeNumericEncoding.DATE_DDMMYYYY,
new int[] {20100529, 20100530, 20100531},
new double[] {SPOT, SPOT - DIFF, SPOT});
private static final StandardOptionWithSpotTimeSeriesDataBundle HIGH_DATA =
new StandardOptionWithSpotTimeSeriesDataBundle(
new YieldCurve(ConstantDoublesCurve.from(0.1)),
0.05,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
SPOT,
DateUtils.getUTCDate(2010, 6, 1),
HIGH_TS);
private static final StandardOptionWithSpotTimeSeriesDataBundle LOW_DATA =
new StandardOptionWithSpotTimeSeriesDataBundle(
new YieldCurve(ConstantDoublesCurve.from(0.1)),
0.05,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
SPOT,
DateUtils.getUTCDate(2010, 6, 1),
LOW_TS);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDataBundle() {
CALL.getPayoffFunction().getPayoff(null, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullTS() {
CALL.getPayoffFunction().getPayoff(HIGH_DATA.withSpotTimeSeries(null), null);
}
@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));
}
}
public class AsymmetricPowerOptionModelTest {
private static final double B = 0.02;
private static final double SPOT = 10;
private static final double STRIKE = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry EXPIRY =
new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final YieldAndDiscountCurve CURVE =
new YieldCurve(ConstantDoublesCurve.from(0.08));
private static final VolatilitySurface SURFACE =
new VolatilitySurface(ConstantDoublesSurface.from(0.1));
private static final StandardOptionDataBundle BUNDLE =
new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final AnalyticOptionModel<
AsymmetricPowerOptionDefinition, StandardOptionDataBundle>
MODEL = new AsymmetricPowerOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BS_MODEL =
new BlackScholesMertonModel();
private static final Set<Greek> REQUIRED_GREEKS = Collections.singleton(Greek.FAIR_PRICE);
private static final double EPS = 1e-4;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL
.getPricingFunction(new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, 1, true))
.evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
assertEquals(getPrice(1.9, true), 0.3102, EPS);
assertEquals(getPrice(1.95, true), 1.9320, EPS);
assertEquals(getPrice(2., true), 6.7862, EPS);
assertEquals(getPrice(2.05, true), 15.8587, EPS);
assertEquals(getPrice(2.1, true), 28.4341, EPS);
assertEquals(getPrice(1.9, false), 18.2738, EPS);
assertEquals(getPrice(1.95, false), 10.2890, EPS);
assertEquals(getPrice(2., false), 4.3539, EPS);
assertEquals(getPrice(2.05, false), 1.3089, EPS);
assertEquals(getPrice(2.1, false), 0.2745, EPS);
for (int i = 0; i < 5; i++) {
final double power = 1.9 + 0.05 * i;
assertEquals(getPrice(power, true), getBSPrice(power, true), EPS);
assertEquals(getPrice(power, false), getBSPrice(power, false), EPS);
}
}
private double getPrice(final double power, final boolean isCall) {
return MODEL
.getGreeks(getDefinition(power, isCall), BUNDLE, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
private double getBSPrice(final double power, final boolean isCall) {
final StandardOptionDataBundle bsBundle = getModifiedDataBundle(BUNDLE, power);
return BS_MODEL
.getGreeks(getDefinition(power, isCall), bsBundle, REQUIRED_GREEKS)
.get(Greek.FAIR_PRICE);
}
private AsymmetricPowerOptionDefinition getDefinition(final double power, final boolean isCall) {
return new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, power, isCall);
}
private StandardOptionDataBundle getModifiedDataBundle(
final StandardOptionDataBundle data, final double p) {
final double t = DateUtils.getDifferenceInYears(DATE, EXPIRY);
final double spot = Math.pow(data.getSpot(), p);
double sigma = data.getVolatility(t, STRIKE);
final double b = p * (data.getCostOfCarry() + (p - 1) * sigma * sigma * 0.5);
sigma *= p;
return new StandardOptionDataBundle(
CURVE, b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
}
}
public class GapOptionDefinitionTest {
private static final double DELTA = 10;
private static final double STRIKE = 50;
private static final Expiry EXPIRY = new Expiry(DateUtils.getUTCDate(2010, 1, 1));
private static final boolean IS_CALL = true;
private static final double PAYOFF_STRIKE = 55;
private static final GapOptionDefinition CALL =
new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE);
private static final GapOptionDefinition PUT =
new GapOptionDefinition(STRIKE, EXPIRY, false, PAYOFF_STRIKE);
private static final StandardOptionDataBundle DATA =
new StandardOptionDataBundle(
new YieldCurve(ConstantDoublesCurve.from(0.03)),
0.03,
new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
STRIKE,
DateUtils.getUTCDate(2009, 1, 1));
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativePayoffStrike() {
new GapOptionDefinition(STRIKE, EXPIRY, IS_CALL, -PAYOFF_STRIKE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
CALL.getPayoffFunction().getPayoff(null, null);
}
@Test
public void test() {
GapOptionDefinition other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE);
assertEquals(other, CALL);
assertEquals(other.hashCode(), CALL.hashCode());
other = new GapOptionDefinition(STRIKE + 1, EXPIRY, true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other =
new GapOptionDefinition(
STRIKE, new Expiry(DateUtils.getUTCDate(2010, 3, 1)), true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, false, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE + 1);
assertFalse(other.equals(CALL));
}
@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);
}
}
