/**
* 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 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 GapOptionDefinitionTest {
private static final double DELTA = 10;
private static final double STRIKE = 50;
private static final Expiry EXPIRY = new Expiry(DateUtils.getUTCDate(2010, 1, 1));
private static final boolean IS_CALL = true;
private static final double PAYOFF_STRIKE = 55;
private static final GapOptionDefinition CALL = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE);
private static final GapOptionDefinition PUT = new GapOptionDefinition(STRIKE, EXPIRY, false, PAYOFF_STRIKE);
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.03)), 0.03, new VolatilitySurface(ConstantDoublesSurface.from(0.2)),
STRIKE, DateUtils.getUTCDate(2009, 1, 1));
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativePayoffStrike() {
new GapOptionDefinition(STRIKE, EXPIRY, IS_CALL, -PAYOFF_STRIKE);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
CALL.getPayoffFunction().getPayoff(null, null);
}
@Test
public void test() {
GapOptionDefinition other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE);
assertEquals(other, CALL);
assertEquals(other.hashCode(), CALL.hashCode());
other = new GapOptionDefinition(STRIKE + 1, EXPIRY, true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, new Expiry(DateUtils.getUTCDate(2010, 3, 1)), true, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, false, PAYOFF_STRIKE);
assertFalse(other.equals(CALL));
other = new GapOptionDefinition(STRIKE, EXPIRY, true, PAYOFF_STRIKE + 1);
assertFalse(other.equals(CALL));
}
@Test
public void testExerciseFunction() {
StandardOptionDataBundle data = DATA.withSpot(STRIKE + DELTA);
assertFalse(CALL.getExerciseFunction().shouldExercise(data, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(data, null));
data = DATA.withSpot(STRIKE - DELTA);
assertFalse(CALL.getExerciseFunction().shouldExercise(data, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(data, null));
}
@Test
public void testPayoffFunction() {
assertEquals(CALL.getPayoffFunction().getPayoff(DATA, null), 0, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(DATA, null), 0, 0);
double spot = STRIKE + DELTA;
StandardOptionDataBundle data = DATA.withSpot(spot);
assertEquals(CALL.getPayoffFunction().getPayoff(data, null), spot - PAYOFF_STRIKE, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(data, null), 0, 0);
spot = STRIKE - DELTA;
data = DATA.withSpot(spot);
assertEquals(CALL.getPayoffFunction().getPayoff(data, null), 0, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(data, null), PAYOFF_STRIKE - spot, 0);
}
}