Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.HullWhiteStochasticVolatilityModelDataBundle.withCorrelation()

47
48
49
50
51
52
53
54
55
56
57
  @Test
  public void test() {
    HullWhiteStochasticVolatilityModelDataBundle data = new HullWhiteStochasticVolatilityModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, LAMBDA, SIGMA_LR, VOL_OF_VOL, -0.75);
    OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
    assertModel(0.0904, definition, data);
    data = data.withCorrelation(-0.5);
    definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
    assertModel(0.4278, definition, data);
    data = data.withCorrelation(-0.25);
    definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
    assertModel(1.6982, definition, data);
View Full Code Here
50
51
52
53
54
55
56
57
58
59
60
    OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
    assertModel(0.0904, definition, data);
    data = data.withCorrelation(-0.5);
    definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
    assertModel(0.4278, definition, data);
    data = data.withCorrelation(-0.25);
    definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
    assertModel(1.6982, definition, data);
    data = data.withCorrelation(0.);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
    assertModel(5.3061, definition, data);
View Full Code Here
53
54
55
56
57
58
59
60
61
62
63
    definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
    assertModel(0.4278, definition, data);
    data = data.withCorrelation(-0.25);
    definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
    assertModel(1.6982, definition, data);
    data = data.withCorrelation(0.);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
    assertModel(5.3061, definition, data);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
    assertModel(5.3061, definition, data);
    data = data.withCorrelation(0.25);
View Full Code Here
58
59
60
61
62
63
64
65
66
67
68
    data = data.withCorrelation(0.);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
    assertModel(5.3061, definition, data);
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
    assertModel(5.3061, definition, data);
    data = data.withCorrelation(0.25);
    definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
    assertModel(2.1274, definition, data);
    data = data.withCorrelation(0.5);
    definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
    assertModel(0.8881, definition, data);
View Full Code Here
61
62
63
64
65
66
67
68
69
70
71
    definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
    assertModel(5.3061, definition, data);
    data = data.withCorrelation(0.25);
    definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
    assertModel(2.1274, definition, data);
    data = data.withCorrelation(0.5);
    definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
    assertModel(0.8881, definition, data);
    data = data.withCorrelation(0.75);
    definition = new EuropeanVanillaOptionDefinition(130, EXPIRY, true);
    assertModel(0.4287, definition, data);
View Full Code Here
64
65
66
67
68
69
70
71
72
73
74
    definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
    assertModel(2.1274, definition, data);
    data = data.withCorrelation(0.5);
    definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
    assertModel(0.8881, definition, data);
    data = data.withCorrelation(0.75);
    definition = new EuropeanVanillaOptionDefinition(130, EXPIRY, true);
    assertModel(0.4287, definition, data);
  }

  private void assertModel(final double value, final OptionDefinition definition, final HullWhiteStochasticVolatilityModelDataBundle data) {
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.