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

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

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

com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition
Class describing a vanilla foreign exchange European option. When the option is a call, the option holder has the right to enter into the Forex transaction; if the option is a put, the option holder has the right to enter into a Forex transaction equal to the underlying but with opposite signs. A Call on a Forex EUR 1.00 / USD -1.41 is thus the right to call 1.00 EUR and put 1.41 USD. A put on a Forex EUR -1.00 / USD 1.41 is the right to exchange -(-1.00) EUR = 1.00 EUR and -1.41 EUR; it is thus also the right to call 1.00 EUR and put 1.41 USD. A put on a Forex USD 1.41 / EUR -1.00 is also the right to call 1.00 EUR and put 1.41 USD.

    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 ForexOptionVanillaDefinition forexOptionDefinitionPut = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_OPTION.currencyExposure(forexOptionCall, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_OPTION.currencyExposure(forexOptionPut, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposureForward = METHOD_DISC.currencyExposure(forexForward, MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure put/call parity foreign", currencyExposureForward.getAmount(EUR), currencyExposureCall.getAmount(EUR)

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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 ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ceMethod = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), TOLERANCE_PV);
  }

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount ce = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative delta", ce.getAmount(EUR), delta, TOLERANCE_RELATIVE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * SHIFT), delta, TOLERANCE_RELATIVE);
  }

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount ce = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative delta", ce.getAmount(EUR), delta, TOLERANCE_RELATIVE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * SHIFT / SPOT), delta, TOLERANCE_RELATIVE);
  }

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount pv = METHOD_OPTION.presentValue(forexOption, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double gamma = METHOD_OPTION.gammaRelative(forexOption, SMILE_FLAT_MULTICURVES, true);
    assertEquals("Forex: relative gamma", 1.0, (pvP.getAmount(USD) + pvM.getAmount(USD) - 2 * pv.getAmount(USD)) / (SHIFT * SHIFT) / gamma, 2.0E-4);

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final MultipleCurrencyAmount pv = METHOD_OPTION.presentValue(forexOption, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double gamma = METHOD_OPTION.gammaRelative(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", 1.0, (pvP.getAmount(EUR) + pvM.getAmount(EUR) - 2 * pv.getAmount(EUR)) / (SHIFT * SHIFT) / gamma, 1.0E-4);

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final double deltaM = METHOD_OPTION.deltaRelative(forexOption, SMILE_M_MULTICURVES, true);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, SMILE_P_MULTICURVES, true);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, true);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * SHIFT / SPOT), TOLERANCE_RELATIVE);
  }

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    final boolean isLong = true;
    final double notional = 1;
    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);
    final double deltaM = METHOD_OPTION.deltaRelative(forexOption, SMILE_M_MULTICURVES, false);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, SMILE_P_MULTICURVES, false);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * SHIFT / SPOT), TOLERANCE_RELATIVE);
  }

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