@Test
/** Test the option price from the future price. Standard option. */
public void priceStandard() {
final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_TRADING_DATE);
final InterestRateFutureOptionMarginSecurity optionEDU2Standard =
new InterestRateFutureOptionMarginSecurity(EDU2, expirationTime, STRIKE, IS_CALL);
final double priceOption = METHOD.optionPrice(optionEDU2Standard, SABR_BUNDLE);
final InterestRateFutureSecurityDiscountingMethod methodFuture =
InterestRateFutureSecurityDiscountingMethod.getInstance();
final double priceFuture = methodFuture.priceFromCurves(EDU2, CURVES_BUNDLE);
final double priceOptionExpected =
METHOD.optionPriceFromFuturePrice(optionEDU2Standard, SABR_BUNDLE, priceFuture);
assertEquals(
"Future option with SABR volatilities: option price", priceOptionExpected, priceOption);
}
@Test
/** Test the option price from the future price. Mid-curve one year option. */
public void priceFromFuturePriceMidCurve() {
final double priceFuture = 0.9905;
final double priceOption =
METHOD.optionPriceFromFuturePrice(OPTION_EDU2, SABR_BUNDLE, priceFuture);
final double delay = EDU2.getLastTradingTime() - EXPIRATION_TIME;
final double volatility =
SABR_PARAMETER.getVolatility(EXPIRATION_TIME, delay, 1 - STRIKE, 1 - priceFuture);
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(1 - priceFuture, 1.0, volatility);
final EuropeanVanillaOption option =
new EuropeanVanillaOption(1 - STRIKE, EXPIRATION_TIME, !IS_CALL);
final double priceOptionExpected = blackFunction.getPriceFunction(option).evaluate(dataBlack);
assertEquals(
"Future option with SABR volatilities: option price from future price",
priceOptionExpected,
priceOption);
}
@Test
/** Test the option price from the future price. Standard option. */
public void priceFromFuturePriceStandard() {
final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, LAST_TRADING_DATE);
final InterestRateFutureOptionMarginSecurity optionEDU2Standard =
new InterestRateFutureOptionMarginSecurity(EDU2, expirationTime, STRIKE, IS_CALL);
final double priceFuture = 0.9905;
final double priceOption =
METHOD.optionPriceFromFuturePrice(optionEDU2Standard, SABR_BUNDLE, priceFuture);
final double delay = 0.0;
final double volatility =
SABR_PARAMETER.getVolatility(expirationTime, delay, 1 - STRIKE, 1 - priceFuture);
final BlackPriceFunction blackFunction = new BlackPriceFunction();
final BlackFunctionData dataBlack = new BlackFunctionData(1 - priceFuture, 1.0, volatility);
final EuropeanVanillaOption option =
new EuropeanVanillaOption(1 - STRIKE, expirationTime, !IS_CALL);
final double priceOptionExpected = blackFunction.getPriceFunction(option).evaluate(dataBlack);
assertEquals(
"Future option with SABR volatilities: option price from future price",
priceOptionExpected,
priceOption);
}