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

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

95
96
97
98
99
100
101
102
103
104
105
106
  @Test
  /**
   * Test the present value of EUR/USD is the same as an USD/EUR.
   */
  public void presentValueReverse() {
    final ForexDefinition fxReverseDefinition = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0 / FX_RATE);
    final Forex fxReverse = fxReverseDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv = METHOD_FX.presentValue(FX, MULTICURVES);
    final MultipleCurrencyAmount pvReverse = METHOD_FX.presentValue(fxReverse, MULTICURVES);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_1), pvReverse.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_2), pvReverse.getAmount(CUR_2), TOLERANCE_PV);
  }
View Full Code Here
144
145
146
147
148
149
150
151
152
153
  /**
   * Tests the parSpread for forex transactions.
   */
  public void parSpread() {
    final double ps = METHOD_FX.parSpread(FX, MULTICURVES);
    final ForexDefinition fx0Definition = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE + ps);
    final Forex fx0 = fx0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fx0.accept(PVDC, MULTICURVES);
    assertEquals("ForexDiscountingMethod: parSpread", 0, MULTICURVES.getFxRates().convert(pv0, CUR_1).getAmount(), TOLERANCE_RATE);
  }
View Full Code Here
119
120
121
122
123
124
125
126
127
128
129
130
  @Test
  /**
   * Test the present value of EUR/USD is the same as an USD/EUR.
   */
  public void presentValueReverse() {
    final ForexDefinition fxReverseDefinition = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0 / FX_RATE);
    final Forex fxReverse = fxReverseDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pv = METHOD.presentValue(FX, CURVES);
    final MultipleCurrencyAmount pvReverse = METHOD.presentValue(fxReverse, CURVES);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_1), pvReverse.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_2), pvReverse.getAmount(CUR_2), TOLERANCE_PV);
  }
View Full Code Here
128
129
130
131
132
133
134
135
136
137
138
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime expiryDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofYears(1), BUSINESS_DAY, CALENDAR, true);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, ScheduleCalculator.getAdjustedDate(expiryDate, SETTLEMENT_DAYS, CALENDAR), notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expiryDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
View Full Code Here
155
156
157
158
159
160
161
162
163
164
165
    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 ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
View Full Code Here
180
181
182
183
184
185
186
187
188
189
190
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    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, 1.0 / strike, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
View Full Code Here
209
210
211
212
213
214
215
216
217
218
219
    final boolean payDomestic = false;
    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 ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong, payDomestic);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = 1 / SPOT * dfForeign / dfDomestic;
View Full Code Here
234
235
236
237
238
239
240
241
242
243
244
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    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, 1.0, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong, false);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
View Full Code Here
261
262
263
264
265
266
267
268
269
270
271
    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 ForexOptionDigitalDefinition callDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigitalDefinition putDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionDigital call = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionDigital put = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvCall = METHOD_BLACK_DIGITAL.presentValue(call, SMILE_BUNDLE);
View Full Code Here
283
284
285
286
287
288
289
290
291
292
293
    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 ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvMethod = METHOD_BLACK_DIGITAL.presentValue(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex Digital option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), 1E-2);
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.