/**
* 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.twoasset;
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.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class EuropeanExchangeAssetOptionDefinitionTest {
private static final double S1 = 100;
private static final double S2 = 120;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 1, 1);
private static final StandardTwoAssetOptionDataBundle DATA = new StandardTwoAssetOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.02)), 0, 0, new VolatilitySurface(
ConstantDoublesSurface.from(0.2)), new VolatilitySurface(ConstantDoublesSurface.from(0.15)), S1, S2, 0.5, DATE);
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.4));
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullExpiry() {
new EuropeanExchangeAssetOptionDefinition(null, 10, 1);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testZeroQ1() {
new EuropeanExchangeAssetOptionDefinition(EXPIRY, 0, 10);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testZeroQ2() {
new EuropeanExchangeAssetOptionDefinition(EXPIRY, 10, 0);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeQ1() {
new EuropeanExchangeAssetOptionDefinition(EXPIRY, -2, 10);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeQ2() {
new EuropeanExchangeAssetOptionDefinition(EXPIRY, 10, -6);
}
@Test
public void testGetters() {
final double q1 = 30;
final double q2 = 31;
final EuropeanExchangeAssetOptionDefinition option = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q2);
assertEquals(option.getFirstQuantity(), q1, 0);
assertEquals(option.getSecondQuantity(), q2, 0);
}
@Test
public void testHashCodeAndEquals() {
final double q1 = 1;
final double q2 = 2;
final EuropeanExchangeAssetOptionDefinition option = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q2);
EuropeanExchangeAssetOptionDefinition other = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q2);
assertEquals(option, other);
assertEquals(option.hashCode(), other.hashCode());
other = new EuropeanExchangeAssetOptionDefinition(new Expiry(DateUtils.getUTCDate(2011, 2, 1)), q1, q2);
assertFalse(option.equals(other));
other = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1 + q2, q2);
assertFalse(option.equals(other));
other = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q1 + q2);
assertFalse(option.equals(other));
}
@Test
public void testPayoffFunction() {
final double eps = 1e-15;
final double q1 = 1.2;
final double q2 = 1;
final EuropeanExchangeAssetOptionDefinition option = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q2);
StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(DATA);
assertEquals(option.getPayoffFunction().getPayoff(data, 0.), 0, eps);
data = DATA.withFirstSpot(110);
assertEquals(option.getPayoffFunction().getPayoff(data, 0.), 12, eps);
data = DATA.withFirstSpot(80);
assertEquals(option.getPayoffFunction().getPayoff(data, 0.), 0, eps);
data = DATA.withSecondSpot(130);
assertEquals(option.getPayoffFunction().getPayoff(data, 0.), 0, eps);
data = DATA.withSecondSpot(110);
assertEquals(option.getPayoffFunction().getPayoff(data, 0.), 10, eps);
}
@Test
public void testExerciseFunction() {
final double q1 = 1;
final double q2 = 1.2;
final EuropeanExchangeAssetOptionDefinition option = new EuropeanExchangeAssetOptionDefinition(EXPIRY, q1, q2);
StandardTwoAssetOptionDataBundle data = DATA.withFirstSpot(1);
assertFalse(option.getExerciseFunction().shouldExercise(data, 0.));
data = DATA.withFirstSpot(1000);
assertFalse(option.getExerciseFunction().shouldExercise(data, 0.));
data = DATA.withSecondSpot(1);
assertFalse(option.getExerciseFunction().shouldExercise(data, 0.));
data = DATA.withSecondSpot(1000);
assertFalse(option.getExerciseFunction().shouldExercise(data, 0.));
}
}