Package com.opengamma.analytics.financial.forex.definition

Examples of com.opengamma.analytics.financial.forex.definition.ForexDefinition

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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelative = METHOD_OPTION.gammaRelative(forexOption, SMILE_BUNDLE, false);
    final double gammaExpected = gammaRelative * notional;
    final CurrencyAmount gammaComputed = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, false);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaValueBlackForexCalculator calculator = GammaValueBlackForexCalculator.getInstance();
    final CurrencyAmount gammaCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaMethod = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, true);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelativeSpot = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE, true);
    final double gammaSpotExpected = gammaRelativeSpot * notional;
    final CurrencyAmount gammaSpotComputed = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, true);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelativeSpot = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE, false);
    final double gammaSpotExpected = gammaRelativeSpot * notional;
    final CurrencyAmount gammaSpotComputed = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, false);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaSpotBlackForexCalculator calculator = GammaSpotBlackForexCalculator.getInstance();
    final CurrencyAmount gammaSpotCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaSpotMethod = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, true);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = METHOD_OPTION.presentValueCurveSensitivity(forexOptionCall, SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexForward.getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexForward.getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(forexOptionCall.getTimeToExpiry(), strike, forward));
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final PresentValueForexBlackVolatilitySensitivity vsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilitySensitivity(callEURUSD, SMILE_BUNDLE);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(callEURUSD, SMILE_BUNDLE);
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = forexOptionCall.accept(PVCSC_BLACK, SMILE_BUNDLE);
    final InterestRateCurveSensitivity sensiConverted = PVCSCC_BLACK.visit(forexOptionCall, SMILE_BUNDLE);
    InterestRateCurveSensitivity sensiComp = new InterestRateCurveSensitivity();
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    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla call = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)) / df;
    final double volatility = SMILE_TERM.getVolatility(timeToExpiry, strike, forward);
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Related Classes of com.opengamma.analytics.financial.forex.definition.ForexDefinition

  • com.opengamma.analytics.financial.forex.calculator.ForexInstrumentsDescriptionDataSet
  • com.opengamma.analytics.financial.forex.derivative.Forex
  • com.opengamma.analytics.financial.forex.derivative.ForexOptionDigitalTest
  • com.opengamma.analytics.financial.forex.derivative.ForexOptionVanillaTest
  • com.opengamma.analytics.financial.forex.derivative.ForexSwapTest
  • com.opengamma.analytics.financial.forex.method.ForexDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
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