Package com.opengamma.analytics.financial.forex.calculator

Examples of com.opengamma.analytics.financial.forex.calculator.PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator

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  /**
   * Tests the present value volatility sensitivity.  Method vs Calculator.
   */
  public void presentValueBlackVolatilitySensitivityMethodVCalculator() {
    final PresentValueForexBlackVolatilitySensitivity pvbvMethod = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final PresentValueForexBlackVolatilitySensitivity pvbvCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
    assertTrue("Forex Digital option: call spread method - present value volatility sensitivity", PresentValueForexBlackVolatilitySensitivity.compare(pvbvMethod, pvbvCalculator, TOLERANCE_DELTA));
  }
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  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
    return Collections.singleton(new ComputedValue(spec, result));
  }
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  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
    final CurrencyAmount vegaValue = result.toSingleValue();
    return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
  }
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Related Classes of com.opengamma.analytics.financial.forex.calculator.PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator

  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.financial.analytics.model.forex.option.callspreadblack.FXDigitalCallSpreadBlackVegaFunction
  • com.opengamma.financial.analytics.model.forex.option.callspreadblack.FXDigitalCallSpreadBlackVegaPointFunction
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