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 ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = SMILE_BUNDLE.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);

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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);
      assertEquals("Forex vanilla option: present value vanna-volga / hard-coded", pvExpected[loopstrike], pvVV[loopstrike], TOLERANCE_PV);

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    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());
    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike];
    final double[] pvInt = new double[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);

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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = SMILE_BUNDLE.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final ForexOptionVanilla[] optReference = new ForexOptionVanilla[3];
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikesVV[loopvv]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      optReference[loopvv] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final MultipleCurrencyAmount[] ceVV = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceFlat = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceExpected = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceVVATM = new MultipleCurrencyAmount[3];

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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    final double[] pvInt = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);

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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    final double[] pvInt = new double[nbStrike + 1];
    final double[] volVV = new double[nbStrike + 1];
    final double[] volInt = new double[nbStrike + 1];

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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }


    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileTime.getStrike(forward);

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    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);


    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());


    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike];
    final double[] pvInt = new double[nbStrike];
    final double[] volVV = new double[nbStrike];
    final double[] volInt = new double[nbStrike];

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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    final ForexOptionVanillaDefinition[] forexOptionDefinition = new ForexOptionVanillaDefinition[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      forexOptionDefinition[loopstrike] = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
    }
    final double[] pvVV = new double[nbStrike + 1];
    final double[] pvInt = new double[nbStrike + 1];
    final MultipleCurrencyAmount[] ceVV = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceInt = new MultipleCurrencyAmount[nbStrike + 1];

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    final ForexOptionVanilla[] call = new ForexOptionVanilla[nbStrike + 1];
    final ForexOptionVanilla[] put = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, !isCall, !isLong);
      call[loopstrike] = callDefinition.toDerivative(REFERENCE_DATE);
      put[loopstrike] = putDefinition.toDerivative(REFERENCE_DATE);
      final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
      // Present value
      final MultipleCurrencyAmount pvCall = METHOD_VANNA_VOLGA.presentValue(call[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvPut = METHOD_VANNA_VOLGA.presentValue(put[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvForward = METHOD_DISC.presentValue(forexForward, MULTICURVES);

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