/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
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 = ImmutableLocalDateDoubleTimeSeries.of(new int[] {20100529, 20100530, 20100531}, new double[] {SPOT, SPOT + DIFF,
SPOT});
private static final DoubleTimeSeries<?> LOW_TS = ImmutableLocalDateDoubleTimeSeries.of(new int[] {20100529, 20100530, 20100531}, new double[] {SPOT, SPOT - DIFF,
SPOT});
private static final StandardOptionWithSpotTimeSeriesDataBundle HIGH_DATA = new StandardOptionWithSpotTimeSeriesDataBundle(YieldCurve.from(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(YieldCurve.from(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));
}
}