//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_black()
public virtual void test_black()
{
double tol = 1.0e-2;
for (int i = 0; i < 11; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.025 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
double priceDkoBlack = BLACK_PRICER.price(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceDko = PRICER_70.price(optionDko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceDko, priceDkoBlack, tol);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki);
double priceDkiBlack = BLACK_PRICER.price(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceDki = PRICER_70.price(optionDki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceDki, priceDkiBlack, tol);
// down barrier
double higherBarrier = 1.45 + 0.025 * i;
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko);
double priceUkoBlack = BLACK_PRICER.price(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceUko = PRICER_70.price(optionUko, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceUko, priceUkoBlack, tol);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki);
double priceUkiBlack = BLACK_PRICER.price(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT);
double priceUki = PRICER_70.price(optionUki, RATE_PROVIDER_FLAT, VOLS_FLAT, DATA_70_FLAT);
assertEqualsRelative(priceUki, priceUkiBlack, tol);
}
}
//-------------------------------------------------------------------------
public virtual void test_withData()
{
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer pricer = new ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(5);
RecombiningTrinomialTreeData data = pricer.Calibrator.calibrateTrinomialTree(CALL_DKO.UnderlyingOption, RATE_PROVIDER, VOLS);
double price = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS);
double priceWithData = pricer.price(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(price, priceWithData);
CurrencyAmount pv = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS);
CurrencyAmount pvWithData = pricer.presentValue(CALL_DKO, RATE_PROVIDER, VOLS, data);
assertEquals(pv, pvWithData);
MultiCurrencyAmount ce = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS);
MultiCurrencyAmount ceWithData = pricer.currencyExposure(CALL_UKI_C, RATE_PROVIDER, VOLS, data);
assertEquals(ce, ceWithData);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_monotonicity()
public virtual void test_monotonicity()
{
double priceDkoPrev = 100d;
double priceDkiPrev = 0d;
double priceUkoPrev = 0d;
double priceUkiPrev = 100d;
for (int i = 0; i < 50; ++i)
{
// up barrier
double lowerBarrier = 1.1 + 0.006 * i;
SimpleConstantContinuousBarrier dko = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_OUT, lowerBarrier);
ResolvedFxSingleBarrierOption optionDko = ResolvedFxSingleBarrierOption.of(CALL, dko);
double priceDko = PRICER_39.price(optionDko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier dki = SimpleConstantContinuousBarrier.of(BarrierType.DOWN, KnockType.KNOCK_IN, lowerBarrier);
ResolvedFxSingleBarrierOption optionDki = ResolvedFxSingleBarrierOption.of(CALL, dki);
double priceDki = PRICER_39.price(optionDki, RATE_PROVIDER, VOLS, DATA_39);
// down barrier
double higherBarrier = 1.4 + 0.006 * (i + 1);
SimpleConstantContinuousBarrier uko = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_OUT, higherBarrier);
ResolvedFxSingleBarrierOption optionUko = ResolvedFxSingleBarrierOption.of(CALL, uko);
double priceUko = PRICER_39.price(optionUko, RATE_PROVIDER, VOLS, DATA_39);
SimpleConstantContinuousBarrier uki = SimpleConstantContinuousBarrier.of(BarrierType.UP, KnockType.KNOCK_IN, higherBarrier);
ResolvedFxSingleBarrierOption optionUki = ResolvedFxSingleBarrierOption.of(CALL, uki);
double priceUki = PRICER_39.price(optionUki, RATE_PROVIDER, VOLS, DATA_39);
assertTrue(priceDkoPrev > priceDko);
assertTrue(priceDkiPrev < priceDki);
assertTrue(priceUkoPrev < priceUko);
assertTrue(priceUkiPrev > priceUki);
priceDkoPrev = priceDko;
priceDkiPrev = priceDki;
priceUkoPrev = priceUko;
priceUkiPrev = priceUki;
}
}
