@Test
public void testZeroVolPrice() {
assertEquals(DF * DELTA, FUNCTION.getPriceFunction(ITM_CALL).evaluate(ZERO_VOL_DATA), 1e-15);
assertEquals(0, FUNCTION.getPriceFunction(OTM_CALL).evaluate(ZERO_VOL_DATA), 1e-15);
assertEquals(DF * DELTA, FUNCTION.getPriceFunction(ITM_PUT).evaluate(ZERO_VOL_DATA), 1e-15);
assertEquals(0, FUNCTION.getPriceFunction(OTM_PUT).evaluate(ZERO_VOL_DATA), 1e-15);
}
@Test
public void testPriceAdjoint() {
// Price
double price = FUNCTION.getPriceFunction(ITM_CALL).evaluate(VOL_DATA);
double[] priceDerivative = new double[3];
double priceAdjoint = FUNCTION.getPriceAdjoint(ITM_CALL, VOL_DATA, priceDerivative);
assertEquals(price, priceAdjoint, 1E-10);
// Price with 0 volatility
double price0 = FUNCTION.getPriceFunction(ITM_CALL).evaluate(ZERO_VOL_DATA);
double[] price0Derivative = new double[3];
double price0Adjoint = FUNCTION.getPriceAdjoint(ITM_CALL, ZERO_VOL_DATA, price0Derivative);
assertEquals(price0, price0Adjoint, 1E-10);
// Derivative forward.
double deltaF = 0.01;
NormalFunctionData dataFP = new NormalFunctionData(F + deltaF, DF, SIGMA);
NormalFunctionData dataFM = new NormalFunctionData(F - deltaF, DF, SIGMA);
double priceFP = FUNCTION.getPriceFunction(ITM_CALL).evaluate(dataFP);
double priceFM = FUNCTION.getPriceFunction(ITM_CALL).evaluate(dataFM);
double derivativeF_FD = (priceFP - priceFM) / (2 * deltaF);
assertEquals(derivativeF_FD, priceDerivative[0], 1E-7);
// Derivative strike.
double deltaK = 0.01;
EuropeanVanillaOption optionKP = new EuropeanVanillaOption(F - DELTA + deltaK, T, true);
EuropeanVanillaOption optionKM = new EuropeanVanillaOption(F - DELTA - deltaK, T, true);
double priceKP = FUNCTION.getPriceFunction(optionKP).evaluate(VOL_DATA);
double priceKM = FUNCTION.getPriceFunction(optionKM).evaluate(VOL_DATA);
double derivativeK_FD = (priceKP - priceKM) / (2 * deltaK);
assertEquals(derivativeK_FD, priceDerivative[2], 1E-7);
// Derivative volatility.
double deltaV = 0.0001;
NormalFunctionData dataVP = new NormalFunctionData(F, DF, SIGMA + deltaV);
NormalFunctionData dataVM = new NormalFunctionData(F, DF, SIGMA - deltaV);
double priceVP = FUNCTION.getPriceFunction(ITM_CALL).evaluate(dataVP);
double priceVM = FUNCTION.getPriceFunction(ITM_CALL).evaluate(dataVM);
double derivativeV_FD = (priceVP - priceVM) / (2 * deltaV);
assertEquals(derivativeV_FD, priceDerivative[1], 1E-6);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData1() {
FUNCTION.getPriceFunction(ITM_CALL).evaluate((NormalFunctionData) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullOption2() {
FUNCTION.getPriceFunction(null);
}