Examples of BlackForexSmileProviderDiscount

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketDscBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketDscBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = data.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = data.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = data.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = data.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = data.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = data.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedPlus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedPlus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackForexSmileProviderDiscount marketFwdBumpedMinus = new BlackForexSmileProviderDiscount(data.getMulticurveProvider().withForward(index, dscBumpedMinus), data.getVolatility(),
            data.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
 
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(USD);
    }
  }
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(EUR);
    }
  }
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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  public void currencyExposureForeign2() {
    final double shift = 0.000005;
    final MulticurveProviderDiscount multicurveP = MULTICURVES.copy();
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    multicurveP.setForexMatrix(fxMatrixP);
    final BlackForexSmileProviderDiscount smileP = new BlackForexSmileProviderDiscount(multicurveP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_BLACK_DIGITAL.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pv = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, smileP);
    assertEquals("Forex Digital option: call spread method - currency exposure - PL EUR", pvP.getAmount(EUR) - pv.getAmount(EUR), ce.getAmount(USD)
        * (1.0 / (SPOT + shift) - 1 / SPOT), TOLERANCE_PV);
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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   */
  public void presentValueDoubleQuadratic() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = FXDataSets.smile3points(REFERENCE_DATE, interpolator);
    final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(MULTICURVES, smileTerm, Pair.of(EUR, USD));
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeP));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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  public void currencyExposureForeign2() {
    final double shift = 0.000005;
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final MulticurveProviderDiscount multicurvesP = MULTICURVES.copy();
    multicurvesP.setForexMatrix(fxMatrixP);
    final BlackForexSmileProviderDiscount smileP = new BlackForexSmileProviderDiscount(multicurvesP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pv = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, smileP);
    assertEquals("Forex Digital option: call spread method - currency exposure - PL EUR", pvP.getAmount(EUR) - pv.getAmount(EUR), ce.getAmount(USD)
        * (1.0 / (SPOT + shift) - 1 / SPOT), TOLERANCE_PV);
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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   */
  public void profile() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = FXDataSets.smile5points(REFERENCE_DATE, interpolator);
    final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(MULTICURVES, smileTerm, Pair.of(EUR, USD));

    final int nbStrike = 100;
    final double range = 0.40; // Spot = 1.40
    final double shift = 2 * range / nbStrike;
    final double[] strike = new double[nbStrike + 1];
    final ForexOptionDigital[] forexOptionDigital = new ForexOptionDigital[nbStrike + 1];
    final ForexOptionVanilla[] forexOptionVanilla = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = SPOT - range + loopstrike * shift;
      final ForexDefinition forexDefinitonUSD = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -NOTIONAL / strike[loopstrike], NOTIONAL);
      final ForexDefinition forexDefinitonEUR = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -1.0, strike[loopstrike]);
      final ForexOptionDigitalDefinition forexOptionDigitalDefiniton = new ForexOptionDigitalDefinition(forexDefinitonUSD, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      final ForexOptionVanillaDefinition forexOptionVanillaDefiniton = new ForexOptionVanillaDefinition(forexDefinitonEUR, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      forexOptionDigital[loopstrike] = forexOptionDigitalDefiniton.toDerivative(REFERENCE_DATE);
      forexOptionVanilla[loopstrike] = forexOptionVanillaDefiniton.toDerivative(REFERENCE_DATE);
    }
    final double[] pvDigitalSpread = new double[nbStrike + 1];
    final double[] pvDigitalBlack = new double[nbStrike + 1];
    final double[] pvVanillaBlack = new double[nbStrike + 1];
    final double[] gammaDigitalSpread = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvDigitalSpread[loopstrike] = METHOD_DIGITAL_SPREAD.presentValue(forexOptionDigital[loopstrike], smile).getAmount(USD);
      pvDigitalBlack[loopstrike] = METHOD_DIGITAL_BLACK.presentValue(forexOptionDigital[loopstrike], smile).getAmount(USD);
      pvVanillaBlack[loopstrike] = METHOD_VANILLA_BLACK.presentValue(forexOptionVanilla[loopstrike], smile).getAmount(USD);
      gammaDigitalSpread[loopstrike] = METHOD_DIGITAL_SPREAD.gamma(forexOptionDigital[loopstrike], smile).getAmount();
    }

    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOptionDigital[0].getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, forexOptionDigital[0].getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double[] volBlack = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      volBlack[loopstrike] = smile.getVolatility(EUR, USD, forexOptionDigital[loopstrike].getExpirationTime(), strike[loopstrike], forward);
    }
    final double[] density = new double[nbStrike - 1];
    for (int loopstrike = 0; loopstrike < nbStrike - 1; loopstrike++) {
      density[loopstrike] = (pvVanillaBlack[loopstrike + 2] + pvVanillaBlack[loopstrike] - 2 * pvVanillaBlack[loopstrike + 1]) / (shift * shift);
    }
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Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderDiscount

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    final double shiftSpotEURUSD = 1E-6;
    final MultipleCurrencyAmount pv = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_FLAT_MULTICURVES);
    final FXMatrix fxMatrixShift = new FXMatrix(EUR, USD, SPOT + shiftSpotEURUSD);
    final MulticurveProviderDiscount multicurvesShiftedFX = MULTICURVES.copy();
    multicurvesShiftedFX.setForexMatrix(fxMatrixShift);
    final BlackForexSmileProviderDiscount smileBumpedSpot = new BlackForexSmileProviderDiscount(multicurvesShiftedFX, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount pvBumpedSpot = METHOD_BARRIER.presentValue(OPTION_BARRIER, smileBumpedSpot);
    final double ceDomesticFD = (pvBumpedSpot.getAmount(USD) - pv.getAmount(USD));
    assertEquals("Barrier currency exposure: domestic currency", ceDomesticFD, ce.getAmount(EUR) * shiftSpotEURUSD, 2.0E-4);
    final double spotGBPUSD = 1.60;
    final double spotGBPEUR = spotGBPUSD / SPOT;
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