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

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

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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 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 rDomestic = CURVES.getCurve(CURVES_NAME[1]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
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    final double fxRate = -putAmount / callAmount;
    final ZonedDateTime expiry = barrierOptionSecurity.getExpiry().getExpiry();
    final Barrier barrier = new Barrier(getKnockType(barrierOptionSecurity.getBarrierDirection()), getBarrierType(barrierOptionSecurity.getBarrierType()),
        getObservationType(barrierOptionSecurity.getMonitoringType()), level);
    final ZonedDateTime settlementDate = barrierOptionSecurity.getSettlementDate();
    final ForexDefinition underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate); //TODO this needs its own converter
    final boolean isLong = barrierOptionSecurity.isLong();
    return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, true, isLong), barrier);
  }
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    final double putAmount = fxDigitalOptionSecurity.getPutAmount();
    final double callAmount = fxDigitalOptionSecurity.getCallAmount();
    final ZonedDateTime expiry = fxDigitalOptionSecurity.getExpiry().getExpiry();
    final ZonedDateTime settlementDate = fxDigitalOptionSecurity.getSettlementDate();
    final boolean isLong = fxDigitalOptionSecurity.isLong();
    final ForexDefinition underlying;
    final Currency payCurrency = fxDigitalOptionSecurity.getPaymentCurrency();
    final boolean payDomestic;
    final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
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    final double putAmount = fxNDFDigitalOptionSecurity.getPutAmount();
    final double callAmount = fxNDFDigitalOptionSecurity.getCallAmount();
    final ZonedDateTime expiry = fxNDFDigitalOptionSecurity.getExpiry().getExpiry();
    final ZonedDateTime settlementDate = fxNDFDigitalOptionSecurity.getSettlementDate();
    final boolean isLong = fxNDFDigitalOptionSecurity.isLong();
    final ForexDefinition underlying;
    final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    // TODO: Review this part (see digital options)
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      final double fxRate = callAmount / putAmount;
      underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate);
      return new ForexOptionDigitalDefinition(underlying, expiry, false, isLong);
    }
    final double fxRate = putAmount / callAmount;
    underlying = new ForexDefinition(callCurrency, putCurrency, settlementDate, callAmount, fxRate);
    return new ForexOptionDigitalDefinition(underlying, expiry, true, isLong);
  }
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    final double putAmount = fxOptionSecurity.getPutAmount();
    final double callAmount = fxOptionSecurity.getCallAmount();
    final ZonedDateTime expiry = fxOptionSecurity.getExpiry().getExpiry();
    final ZonedDateTime settlementDate = fxOptionSecurity.getSettlementDate();
    final boolean isLong = fxOptionSecurity.isLong();
    ForexDefinition underlying;
    final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    if (baseQuotePair.getBase().equals(putCurrency)) {
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    final double putAmount = fxOptionSecurity.getPutAmount();
    final double callAmount = fxOptionSecurity.getCallAmount();
    final ZonedDateTime expiry = fxOptionSecurity.getExpiry().getExpiry();
    final ZonedDateTime settlementDate = fxOptionSecurity.getSettlementDate();
    final boolean isLong = fxOptionSecurity.isLong();
    ForexDefinition underlying;
    final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    if (baseQuotePair.getBase().equals(putCurrency)) {
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    // Compose underlying FXOption s.t. strike is quoted using market convention, as defined in _currencyPairs
    final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    ForexDefinition underlying;
    boolean isCall;
    if (baseQuotePair.getBase().equals(putCurrency)) {
      underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
      isCall = false;
    } else {
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  private static final Barrier BARRIER = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 1.5);

  private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 5, 20);

  public static ForexDefinition createForexDefinition() {
    return new ForexDefinition(EUR, USD, FAR_DATE, NOMINAL_1, FX_RATE_EUR_USD);
  }
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    final InstrumentDefinition<?> definition = node.accept(converter);
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(NOW, FX_SPOT.getSettlementDays(), CALENDAR);
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(spotDate, tenorFx.getPeriod(), FX_FORWARD.getBusinessDayConvention(), CALENDAR, FX_FORWARD.isIsEOM());
    final PaymentFixedDefinition payment1 = new PaymentFixedDefinition(Currency.USD, payDate, 1);
    final PaymentFixedDefinition payment2 = new PaymentFixedDefinition(Currency.CAD, payDate, -forward);
    assertEquals(new ForexDefinition(payment1, payment2), definition);
  }
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    final List<Double> ptsCurve = new ArrayList<>();
    final List<Double> ptsInt = new ArrayList<>();
    final List<Double> ptsDiff = new ArrayList<>();
    final List<Double> payTime = new ArrayList<>();
    while (!loopdate.isAfter(endDate)) {
      final ForexDefinition fxSwapDefinition = new ForexDefinition(EUR, USD, loopdate, notionalEUR, fxEURUSDFwdInit);
      final Forex fxSwap = fxSwapDefinition.toDerivative(NOW);
      final MultipleCurrencyAmount pvFxSwap = fxSwap.accept(PVDC, multicurves);
      final double pvUSDCurved = FX_MATRIX.convert(pvFxSwap, USD).getAmount();
      pvUSDCurve.add(pvUSDCurved);
      final double pvUSDPtsd = -(fxEURUSDFwdInit - FX_EURUSD - pointsCurve.getYValue(fxSwap.getPaymentTime()))
          * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
 
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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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