/**
* 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.twoasset;
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.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
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 TwoAssetCorrelationOptionDefinitionTest {
private static final double K = 90;
private static final double PAYOUT = 85;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 1, 1);
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 1));
private static final YieldAndDiscountCurve R = YieldCurve.from(ConstantDoublesCurve.from(0.02));
private static final double B1 = 0.;
private static final double B2 = 0.;
private static final double S1 = 100;
private static final double S2 = 80;
private static final VolatilitySurface SIGMA1 = new VolatilitySurface(ConstantDoublesSurface.from(0.1));
private static final VolatilitySurface SIGMA2 = new VolatilitySurface(ConstantDoublesSurface.from(0.11));
private static final double RHO = 0.9;
private static final StandardTwoAssetOptionDataBundle DATA = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, SIGMA2, S1, S2, RHO, DATE);
private static final TwoAssetCorrelationOptionDefinition CALL = new TwoAssetCorrelationOptionDefinition(K, EXPIRY, true, PAYOUT);
private static final TwoAssetCorrelationOptionDefinition PUT = new TwoAssetCorrelationOptionDefinition(K, EXPIRY, false, PAYOUT);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
CALL.getPayoffFunction().getPayoff(null, null);
}
@Test
public void test() {
assertEquals(CALL.getPayoutLevel(), PAYOUT, 0);
TwoAssetCorrelationOptionDefinition other = new TwoAssetCorrelationOptionDefinition(K, EXPIRY, true, PAYOUT);
assertEquals(CALL, other);
assertEquals(CALL.hashCode(), other.hashCode());
other = new TwoAssetCorrelationOptionDefinition(PAYOUT, EXPIRY, true, PAYOUT);
assertFalse(CALL.equals(other));
other = new TwoAssetCorrelationOptionDefinition(K, EXPIRY, true, K);
assertFalse(CALL.equals(other));
}
@Test
public void testExercise() {
assertFalse(CALL.getExerciseFunction().shouldExercise(DATA, null));
assertFalse(PUT.getExerciseFunction().shouldExercise(DATA, null));
}
@Test
public void testPayoff() {
assertEquals(CALL.getPayoffFunction().getPayoff(DATA, null), 0, 0);
assertEquals(PUT.getPayoffFunction().getPayoff(DATA, null), 0, 0);
TwoAssetCorrelationOptionDefinition other = new TwoAssetCorrelationOptionDefinition(70, EXPIRY, true, 60);
assertEquals(other.getPayoffFunction().getPayoff(DATA, null), 20, 0);
other = new TwoAssetCorrelationOptionDefinition(70, EXPIRY, false, 120);
assertEquals(other.getPayoffFunction().getPayoff(DATA.withFirstSpot(50), null), 40, 0);
}
}