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

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

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    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());
    final double rForeign = CURVES.getCurve(CURVES_NAME[0]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
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    }
    // Implementation note: To get Base/quote in market standard order.
    if (baseQuotePair.getBase().equals(putCurrency)) {
      underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
      payDomestic = (payCurrency.equals(callCurrency));
      return new ForexOptionDigitalDefinition(underlying, expiry, false, isLong, payDomestic);
    }
    underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
    payDomestic = (payCurrency.equals(putCurrency));
    return new ForexOptionDigitalDefinition(underlying, expiry, true, isLong, payDomestic);
  }
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    }
    // 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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  /**
   * Creates a FX digital option definition
   * @return A FX digital option definition
   */
  public static ForexOptionDigitalDefinition createForexOptionDigitalDefinition() {
    return new ForexOptionDigitalDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
  }
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    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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(TimeCalculator.getTimeBetween(REFERENCE_DATE, expiryDate), strike, forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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    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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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    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);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
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    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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = 1 / SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, 1 / forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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    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);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
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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 callDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigitalDefinition putDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionDigital call = callDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionDigital put = putDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCall = METHOD_BLACK_DIGITAL.presentValue(call, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPut = METHOD_BLACK_DIGITAL.presentValue(put, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCash = put.getUnderlyingForex().getPaymentCurrency2().accept(PVDC, MULTICURVES);
    assertEquals("Forex Digital option: present value", pvCall.getAmount(USD) + pvPut.getAmount(USD), Math.abs(pvCash.getAmount(USD)), TOLERANCE_PV);
  }
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