/**
* 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.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class OptionDefinitionTest {
private static final double STRIKE = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 5, 1);
private static final double YEARS = 1;
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, YEARS));
private static final Boolean IS_CALL = true;
private static final double PAYOFF_VALUE = 34;
private static final OptionDefinition DEFINITION = new MyOptionDefinition(STRIKE, EXPIRY, IS_CALL);
protected static final OptionExerciseFunction<StandardOptionDataBundle> EXERCISE = new OptionExerciseFunction<StandardOptionDataBundle>() {
@Override
public boolean shouldExercise(final StandardOptionDataBundle data, final Double optionPrice) {
return false;
}
};
protected static final OptionPayoffFunction<StandardOptionDataBundle> PAYOFF = new OptionPayoffFunction<StandardOptionDataBundle>() {
@Override
public double getPayoff(final StandardOptionDataBundle data, final Double optionPrice) {
return PAYOFF_VALUE;
}
};
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeStrike() {
new MyOptionDefinition(-STRIKE, EXPIRY, IS_CALL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullExpiry() {
new MyOptionDefinition(STRIKE, null, IS_CALL);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testDateAfterExpiry() {
DEFINITION.getTimeToExpiry(DateUtils.getDateOffsetWithYearFraction(DATE, YEARS * 2));
}
@Test
public void testGetters() {
assertEquals(DEFINITION.getExerciseFunction(), EXERCISE);
assertEquals(DEFINITION.getExpiry(), EXPIRY);
assertEquals(DEFINITION.getPayoffFunction(), PAYOFF);
assertEquals(DEFINITION.getStrike(), STRIKE, 0);
assertEquals(DEFINITION.isCall(), IS_CALL);
assertEquals(DEFINITION.getTimeToExpiry(DATE), YEARS, 0);
}
@Test
public void testEqualsAndHashCode() {
final OptionDefinition definition1 = new MyOptionDefinition(STRIKE, EXPIRY, IS_CALL);
final OptionDefinition definition2 = new MyOptionDefinition(2 * STRIKE, EXPIRY, IS_CALL);
final OptionDefinition definition3 = new MyOptionDefinition(STRIKE, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, YEARS * 2)), IS_CALL);
final OptionDefinition definition4 = new MyOptionDefinition(STRIKE, EXPIRY, !IS_CALL);
assertEquals(DEFINITION, definition1);
assertEquals(DEFINITION.hashCode(), definition1.hashCode());
assertFalse(DEFINITION.equals(definition2));
assertFalse(DEFINITION.equals(definition3));
assertFalse(DEFINITION.equals(definition4));
}
private static class MyOptionDefinition extends OptionDefinition {
public MyOptionDefinition(final Double strike, final Expiry expiry, final Boolean isCall) {
super(strike, expiry, isCall);
}
@Override
public OptionExerciseFunction<StandardOptionDataBundle> getExerciseFunction() {
return EXERCISE;
}
@Override
public OptionPayoffFunction<StandardOptionDataBundle> getPayoffFunction() {
return PAYOFF;
}
}
}