/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.stochastic;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import java.util.List;
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.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
import com.opengamma.analytics.math.random.RandomNumberGenerator;
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 BlackScholesArithmeticBrownianMotionProcessTest {
private static final RandomNumberGenerator GENERATOR = new NormalRandomNumberGenerator(0, 1);
private static final StochasticProcess<OptionDefinition, StandardOptionDataBundle> PROCESS = new BlackScholesArithmeticBrownianMotionProcess<>();
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2009, 1, 1);
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 1));
private static final OptionDefinition CALL = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
private static final double R = 0.4;
private static final double B = 0.1;
private static final double S = 100;
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(R)), B, new VolatilitySurface(ConstantDoublesSurface.from(0.)), S, DATE);
private static final double EPS = 1e-12;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
PROCESS.getPathGeneratingFunction(null, DATA, 100);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
PROCESS.getPathGeneratingFunction(CALL, null, 100);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testInsufficientSteps() {
PROCESS.getPathGeneratingFunction(CALL, DATA, 0);
}
@Test
public void testWithZeroVol() {
final int steps = 100;
final int dimension = 100;
final List<double[]> randomNumbers = GENERATOR.getVectors(dimension, steps);
final List<double[]> paths = PROCESS.getPaths(CALL, DATA, randomNumbers);
final double[] zeroth = paths.get(0);
final double s1 = S * Math.exp(B);
assertEquals(zeroth[99], s1, EPS);
double[] array;
for (int i = 0; i < paths.size(); i++) {
array = paths.get(i);
assertArrayEquals(array, zeroth, EPS);
assertEquals(array[99], s1, EPS);
}
}
}