/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.surface;
import static org.testng.AssertJUnit.assertEquals;
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.SkewKurtosisOptionDataBundle;
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;
import com.opengamma.util.tuple.DoublesPair;
/**
* Test.
*/
@Test(groups = TestGroup.UNIT)
public class SkewnessKurtosisBlackScholesMertonEquivalentVolatilitySurfaceModelTest {
private static final VolatilitySurfaceModel<OptionDefinition, SkewKurtosisOptionDataBundle> MODEL = new SkewnessKurtosisBlackScholesMertonEquivalentVolatilitySurfaceModel();
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 1, 1);
private static final OptionDefinition OPTION = new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 1)), true);
private static final double SIGMA = 0.4;
private static final SkewKurtosisOptionDataBundle DATA = new SkewKurtosisOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.02)), 0.02, new VolatilitySurface(
ConstantDoublesSurface.from(SIGMA)), 100, DATE, 0,
3);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullOption() {
MODEL.getSurface(null, DATA);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getSurface(OPTION, null);
}
@Test
public void test() {
assertEquals(MODEL.getSurface(OPTION, DATA).getVolatility(DoublesPair.of(1., 1.)), SIGMA, 1e-15);
}
}