public void test_getters() { ResolvedBondFutureOption test = sut(); assertEquals(test.getExpiryDate(), test.getExpiry().toLocalDate()); }
public void test_delta_from_future_price() { double futurePrice = 1.1d; double computed = OPTION_PRICER.deltaStickyStrike( FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.delta(futurePrice, strike, expiryTime, vol, true); assertEquals(computed, expected, TOL); }
public void test_gamma_from_future_price() { double futurePrice = 1.1d; double computed = OPTION_PRICER.gammaStickyStrike( FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol); assertEquals(computed, expected, TOL); }
public void test_theta_from_future_price() { double futurePrice = 1.1d; double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol); assertEquals(computed, expected, TOL); }
public void test_price_from_future_price() { double futurePrice = 1.1d; double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS, futurePrice); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true); assertEquals(computed, expected, TOL); }
public void test_delta() { double computed = OPTION_PRICER.deltaStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS); double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.delta(futurePrice, strike, expiryTime, vol, true); assertEquals(computed, expected, TOL); }
public void test_price() { double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS); double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true); assertEquals(computed, expected, TOL); }
public void test_gamma() { double computed = OPTION_PRICER.gammaStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS); double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol); assertEquals(computed, expected, TOL); }
public void test_theta() { double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS); double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double vol = SURFACE.zValue(expiryTime, logMoneyness); double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol); assertEquals(computed, expected, TOL); }
public void test_presentValueSensitivity() { PointSensitivities point = OPTION_TRADE_PRICER.presentValueSensitivityRates(OPTION_TRADE, RATE_PROVIDER, VOLS); CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point); double futurePrice = FUTURE_PRICER.price(OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double logMoneynessUp = Math.log(strike / (futurePrice + EPS)); double logMoneynessDw = Math.log(strike / (futurePrice - EPS)); double vol = SURFACE.zValue(expiryTime, logMoneyness); double volUp = SURFACE.zValue(expiryTime, logMoneynessUp); double volDw = SURFACE.zValue(expiryTime, logMoneynessDw); double volSensi = 0.5 * (volUp - volDw) / EPS; double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol); CurrencyParameterSensitivities sensiVol = RATE_PROVIDER.parameterSensitivity( FUTURE_PRICER.priceSensitivity(OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER)) .multipliedBy(-vega * volSensi * NOTIONAL * QUANTITY); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATE_PROVIDER, (p) -> OPTION_TRADE_PRICER.presentValue(OPTION_TRADE, (p), VOLS, REFERENCE_PRICE)); assertTrue(computed.equalWithTolerance(expected.combinedWith(sensiVol), 30d * EPS * NOTIONAL * QUANTITY)); }
public void test_priceSensitivity() { PointSensitivities point = OPTION_PRICER.priceSensitivityRatesStickyStrike( FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS); CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point); CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATE_PROVIDER, (p) -> CurrencyAmount.of(EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOLS))); double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER); double strike = FUTURE_OPTION_PRODUCT.getStrikePrice(); double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate()); double logMoneyness = Math.log(strike / futurePrice); double logMoneynessUp = Math.log(strike / (futurePrice + EPS)); double logMoneynessDw = Math.log(strike / (futurePrice - EPS)); double vol = SURFACE.zValue(expiryTime, logMoneyness); double volUp = SURFACE.zValue(expiryTime, logMoneynessUp); double volDw = SURFACE.zValue(expiryTime, logMoneynessDw); double volSensi = 0.5 * (volUp - volDw) / EPS; double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol); CurrencyParameterSensitivities sensiVol = RATE_PROVIDER.parameterSensitivity( FUTURE_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT.getUnderlyingFuture(), RATE_PROVIDER)).multipliedBy( -vega * volSensi); expected = expected.combinedWith(sensiVol); assertTrue(computed.equalWithTolerance(expected, 30d * EPS)); }