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

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

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  @Test
  /**
   * Tests the present value long/short parity.
   */
  public void presentValueLongShort() {
    final ForexOptionDigitalDefinition forexOptionShortDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final InstrumentDerivative forexOptionShort = forexOptionShortDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvShort = METHOD_DIGITAL_SPREAD.presentValue(forexOptionShort, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvLong = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    assertEquals("Forex Digital option: present value long/short parity", pvLong.getAmount(USD), -pvShort.getAmount(USD), 1E-2);
    final MultipleCurrencyAmount ceShort = METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionShort, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceLong = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
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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 ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinitionCall = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigitalDefinition forexOptionDefinitionPut = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionDigital forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionCall, SMILE_BUNDLE);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionPut, SMILE_BUNDLE);
    final Double pvCash = forexOptionPut.getUnderlyingForex().getPaymentCurrency2().accept(PVC, CURVES);
    assertEquals("Forex Digital option: currency exposure put/call parity foreign", 0, currencyExposureCall.getAmount(EUR) + currencyExposurePut.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex Digital option: currency exposure put/call parity domestic", Math.abs(pvCash), currencyExposureCall.getAmount(USD) + currencyExposurePut.getAmount(USD), TOLERANCE_PV);
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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 ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinitionCall = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong, false);
    final ForexOptionDigitalDefinition forexOptionDefinitionPut = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong, false);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionDigital forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionCall, SMILE_BUNDLE);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionPut, SMILE_BUNDLE);
    final Double pvCash = forexOptionPut.getUnderlyingForex().getPaymentCurrency1().accept(PVC, CURVES);
    assertEquals("Forex Digital option: currency exposure put/call parity foreign", 0, currencyExposureCall.getAmount(USD) + currencyExposurePut.getAmount(USD), TOLERANCE_PV);
    assertEquals("Forex Digital option: currency exposure put/call parity domestic", Math.abs(pvCash), currencyExposureCall.getAmount(EUR) + currencyExposurePut.getAmount(EUR), TOLERANCE_PV);
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  @Test
  /**
   * Tests the gamma for Forex option. Payment in foreign currency.
   */
  public void gammaForeign() {
    final ForexOptionDigitalDefinition digitalForeignDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, IS_LONG, false);
    final ForexOptionDigital digitalForeign = digitalForeignDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_SPREAD);
    final double amountPaid = Math.abs(digitalForeign.getUnderlyingForex().getPaymentCurrency1().getAmount());
    final double strikeRelM = 1.0 / strikeP;
    final double strikeRelP = 1.0 / strikeM;
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  @Test
  /**
   * Tests the gamma for Forex option. Payment in foreign currency.
   */
  public void gammaSpotForeign() {
    final ForexOptionDigitalDefinition digitalForeignDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, IS_LONG, false);
    final ForexOptionDigital digitalForeign = digitalForeignDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_SPREAD);
    final double amountPaid = Math.abs(digitalForeign.getUnderlyingForex().getPaymentCurrency1().getAmount());
    final double strikeRelM = 1.0 / strikeP;
    final double strikeRelP = 1.0 / strikeM;
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  /**
   * Tests the gamma for Forex option. Payment in foreign currency.
   */
  public void gammaSpotMethodVsCalculator() {
    final GammaSpotCallSpreadBlackForexCalculator calculator = new GammaSpotCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final ForexOptionDigitalDefinition digitalForeignDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, IS_LONG, false);
    final ForexOptionDigital digitalForeign = digitalForeignDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount gammaForeignMethod = METHOD_DIGITAL_SPREAD.gammaSpot(digitalForeign, SMILE_BUNDLE);
    final CurrencyAmount gammaForeignCalculator = digitalForeign.accept(calculator, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - gamma spot", gammaForeignCalculator.getAmount(), gammaForeignMethod.getAmount(), TOLERANCE_PV);
    final CurrencyAmount gammaDomesticMethod = METHOD_DIGITAL_SPREAD.gammaSpot(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final CurrencyAmount gammaDomesticCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
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    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, CURVES_NAME);
      forexOptionVanilla[loopstrike] = forexOptionVanillaDefiniton.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvDigitalSpread = new double[nbStrike + 1];
    final double[] pvDigitalBlack = new double[nbStrike + 1];
    final double[] pvVanillaBlack = new double[nbStrike + 1];
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    if (security instanceof FXOptionSecurity) {
      final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    } else if (security instanceof FXDigitalOptionSecurity) {
      final ForexOptionDigitalDefinition definition = (ForexOptionDigitalDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, PresentValueBlackSmileForexCalculator.getInstance(), daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    }
    throw new OpenGammaRuntimeException("Should never get here; canApplyTo specifies vanilla and digital options only");
  }
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    if (security instanceof FXOptionSecurity) {
      final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    } else if (security instanceof FXDigitalOptionSecurity) {
      final ForexOptionDigitalDefinition definition = (ForexOptionDigitalDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, PresentValueBlackSmileForexCalculator.getInstance(), daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    }
    throw new OpenGammaRuntimeException("Should never get here; canApplyTo specifies vanilla and digital options only");
  }
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      payDomestic = (payCurrency.equals(callCurrency));
    } else {
      underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
      payDomestic = (payCurrency.equals(putCurrency));
    }
    return new ForexOptionDigitalDefinition(underlying, expiry, !order, isLong, payDomestic);
  }
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Related Classes of com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinition

  • com.opengamma.analytics.financial.forex.calculator.ForexInstrumentsDescriptionDataSet
  • com.opengamma.analytics.financial.forex.derivative.Forex
  • com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.DigitalOptionFunctionTest
  • com.opengamma.financial.analytics.conversion.ForexSecurityConverter
  • com.opengamma.financial.analytics.conversion.ForexSecurityConverterDeprecated
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