TwoAssetCorrelationOptionModel extends TwoAssetAnalyticOptionModel<TwoAssetCorrelationOptionDefinition, StandardTwoAssetOptionDataBundle> { @Override public Function1D<StandardTwoAssetOptionDataBundle, Double> getPricingFunction(final TwoAssetCorrelationOptionDefinition definition) { Validate.notNull(definition, "definition"); return new Function1D<StandardTwoAssetOptionDataBundle, Double>() { @SuppressWarnings("synthetic-access") @Override public Double evaluate(final StandardTwoAssetOptionDataBundle data) { Validate.notNull(data, "data"); final double s1 = data.getFirstSpot(); final double s2 = data.getSecondSpot(); final double k = definition.getStrike(); final double payout = definition.getPayoutLevel(); final double b1 = data.getFirstCostOfCarry(); final double b2 = data.getSecondCostOfCarry(); final double t = definition.getTimeToExpiry(data.getDate()); final double r = data.getInterestRate(t); final double sigma1 = data.getFirstVolatility(t, k); final double sigma2 = data.getSecondVolatility(t, k); final double rho = data.getCorrelation(); final double tSqrt = Math.sqrt(t); final double sigmaT1 = sigma1 * tSqrt; final double sigmaT2 = sigma2 * tSqrt; final double d1 = (Math.log(s1 / k) + t * (b1 - sigma1 * sigma1 / 2)) / sigmaT1; final double d2 = (Math.log(s2 / payout) + t * (b2 - sigma2 * sigma2 / 2)) / sigmaT2; final double df1 = Math.exp(t * (b2 - r)); final double df2 = Math.exp(-r * t); final int sign = definition.isCall() ? 1 : -1; return sign * (s2 * df1 * BIVARIATE.getCDF(new double[] {sign * (d2 + sigmaT2), sign * (d1 + rho * sigmaT2), rho}) - payout * df2 * BIVARIATE.getCDF(new double[] {sign * d2, sign * d1, rho})); } }; }  @Override Function1D<StandardTwoAssetOptionDataBundle, Double> getPricingFunction(final TwoAssetCorrelationOptionDefinition definition);  }
@Test(expectedExceptions = IllegalArgumentException.class) public void testNullDefinition() { MODEL.getPricingFunction(null); }
@Test(expectedExceptions = IllegalArgumentException.class) public void testNullData() { MODEL.getPricingFunction(OPTION).evaluate((StandardTwoAssetOptionDataBundle) null); }
@Test public void test() { assertEquals(MODEL.getPricingFunction(OPTION).evaluate(DATA), 4.7073, 1e-4); }