// ---------- price ----------
public virtual void price_from_future_price()
{
IborIndexRates mockIbor = mock(typeof(IborIndexRates));
SimpleRatesProvider prov = new SimpleRatesProvider();
prov.IborRates = mockIbor;
when(mockIbor.rate(OPTION.UnderlyingFuture.IborRate.Observation)).thenReturn(RATE);
double futurePrice = 0.9875;
double strike = OPTION.StrikePrice;
double timeToExpiry = ACT_365F.relativeYearFraction(VAL_DATE, OPTION.ExpiryDate);
double priceSimpleMoneyness = strike - futurePrice;
double normalVol = PARAMETERS_PRICE.zValue(timeToExpiry, priceSimpleMoneyness);
EuropeanVanillaOption option = EuropeanVanillaOption.of(strike, timeToExpiry, OPTION.PutCall);
NormalFunctionData normalPoint = NormalFunctionData.of(futurePrice, 1.0, normalVol);
double optionPriceExpected = NORMAL_FUNCTION.getPriceFunction(option).apply(normalPoint);
double optionPriceComputed = OPTION_PRICER.price(OPTION, prov, VOL_SIMPLE_MONEY_PRICE, futurePrice);
assertEquals(optionPriceComputed, optionPriceExpected, TOLERANCE_PRICE);
}
public FuncAnonymousInnerClass(NormalPriceFunction outerInstance, com.opengamma.strata.pricer.impl.option.EuropeanVanillaOption option)
{
this.outerInstance = outerInstance;
this.option = option;
}
