FixedStrikeLookbackOptionModelTest.java example

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/**
 * 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.pricing.analytic;

import static org.testng.AssertJUnit.assertEquals;

import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.FixedStrikeLookbackOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle;
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.precise.instant.ImmutableInstantDoubleTimeSeries;
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 FixedStrikeLookbackOptionModelTest {
  private static final double S = 100;
  private static final DoubleTimeSeries<?> STATIC = ImmutableInstantDoubleTimeSeries.of(new long[] {1, 2, 3, 4, 5, 6, 7}, new double[] {S, S, S, S, S, S, S});
  private static final double B = 0.1;
  private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(0.1));
  private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
  private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
  private static final FixedStrikeLookbackOptionModel MODEL = new FixedStrikeLookbackOptionModel();
  private static final StandardOptionWithSpotTimeSeriesDataBundle DATA = new StandardOptionWithSpotTimeSeriesDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(0.2)), S, DATE,
      STATIC);
  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 FixedStrikeLookbackOptionDefinition(100, EXPIRY, true)).evaluate((StandardOptionWithSpotTimeSeriesDataBundle) null);
  }

  @Test
  public void test() {
    FixedStrikeLookbackOptionDefinition option = new FixedStrikeLookbackOptionDefinition(95, EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 4.4448, EPS);
    option = new FixedStrikeLookbackOptionDefinition(100, EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 8.3177, EPS);
    option = new FixedStrikeLookbackOptionDefinition(105, EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 13.0739, EPS);
    option = new FixedStrikeLookbackOptionDefinition(95, EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 18.9263, EPS);
    option = new FixedStrikeLookbackOptionDefinition(100, EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 14.1702, EPS);
    option = new FixedStrikeLookbackOptionDefinition(105, EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(option).evaluate(DATA), 9.8905, EPS);
  }
}