/**
* 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 SupershareOptionDefinitionTest {
private static final Expiry EXPIRY = new Expiry(DateUtils.getUTCDate(2010, 7, 1));
private static final double LOWER = 10;
private static final double UPPER = 30;
private static final double SPOT = 20;
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.1)), SPOT, new VolatilitySurface(ConstantDoublesSurface.from(0.2)), 20,
DateUtils.getUTCDate(
2009, 1, 1));
private static final SupershareOptionDefinition OPTION = new SupershareOptionDefinition(EXPIRY, LOWER, UPPER);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeLowerBound() {
new SupershareOptionDefinition(EXPIRY, -LOWER, UPPER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegativeUpperBound() {
new SupershareOptionDefinition(EXPIRY, LOWER, -UPPER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testBadBounds() {
new SupershareOptionDefinition(EXPIRY, UPPER, LOWER);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
OPTION.getPayoffFunction().getPayoff(null, null);
}
@Test
public void test() {
assertEquals(OPTION.getLowerBound(), LOWER, 0);
assertEquals(OPTION.getUpperBound(), UPPER, 0);
SupershareOptionDefinition other = new SupershareOptionDefinition(EXPIRY, LOWER, UPPER);
assertEquals(other, OPTION);
assertEquals(other.hashCode(), OPTION.hashCode());
other = new SupershareOptionDefinition(new Expiry(DateUtils.getUTCDate(2011, 1, 1)), LOWER, UPPER);
assertFalse(other.equals(OPTION));
other = new SupershareOptionDefinition(EXPIRY, LOWER + 1, UPPER);
assertFalse(other.equals(OPTION));
other = new SupershareOptionDefinition(EXPIRY, LOWER, UPPER + 1);
assertFalse(other.equals(OPTION));
}
@Test
public void testExercise() {
final OptionExerciseFunction<StandardOptionDataBundle> f = OPTION.getExerciseFunction();
assertFalse(f.shouldExercise(DATA, null));
StandardOptionDataBundle data = DATA.withSpot(5);
assertFalse(f.shouldExercise(data, null));
data = DATA.withSpot(35);
assertFalse(f.shouldExercise(data, null));
}
@Test
public void testPayoff() {
final OptionPayoffFunction<StandardOptionDataBundle> f = OPTION.getPayoffFunction();
assertEquals(f.getPayoff(DATA, null), SPOT / LOWER, 0);
StandardOptionDataBundle data = DATA.withSpot(5);
assertEquals(f.getPayoff(data, null), 0, 0);
data = DATA.withSpot(35);
assertEquals(f.getPayoff(data, null), 0, 0);
data = DATA.withSpot(LOWER);
assertEquals(f.getPayoff(data, null), LOWER / LOWER, 0);
data = DATA.withSpot(UPPER);
assertEquals(f.getPayoff(data, null), 0, 0);
}
}