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);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], MULTICURVES);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = VANNAVOLGA_MULTICURVES.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);

View Full Code Here

    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);
    }
    final double[] pvVV = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], VANNAVOLGA_MULTICURVES).getAmount(USD);
      assertEquals("Forex vanilla option: present value vanna-volga / hard-coded", pvExpected[loopstrike], pvVV[loopstrike], TOLERANCE_PV);

View Full Code Here

    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);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);
    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);
    }
    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], VANNAVOLGA_MULTICURVES).getAmount(USD);

View Full Code Here

    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);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], MULTICURVES);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = VANNAVOLGA_MULTICURVES.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);
    }
    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];

View Full Code Here

    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);
    }
    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], VANNAVOLGA_MULTICURVES).getAmount(USD);

View Full Code Here

    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);
    }
    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];

View Full Code Here

    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);
    }


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

View Full Code Here

    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);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);


    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);
    }
    final double[] pvVV = new double[nbStrike];
    final double[] pvInt = new double[nbStrike];
    final double[] volVV = new double[nbStrike];
    final double[] volInt = new double[nbStrike];

View Full Code Here

    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];

View Full Code Here

   * The treatment of the vanilla is: Z(t,T_pay) * FwdPrice(t,T_exp) where as
   * the treatment of the barrier is: Price(t,T_exp) (roughly :))
   */
  public void testKnockInOutParity() {
    // Local version where expiry is OPTION_PAY_DATE
    final ForexOptionVanillaDefinition vanillaDefn = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_PAY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla vanillaExpiryEqualsPay = vanillaDefn.toDerivative(REFERENCE_DATE);


    final ForexOptionSingleBarrier knockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KO, 0.0);
    final ForexOptionSingleBarrier knockIn = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KI, 0.0);
    final ForexOptionSingleBarrier impossibleKnockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_IMPOSSIBLE_DOWN, 0.0);

View Full Code Here

0 1 2 3 4 5 6 7 8 9

TOP

Related Classes of com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition

com.opengamma.analytics.financial.forex.calculator.ForexInstrumentsDescriptionDataSet

com.opengamma.analytics.financial.forex.derivative.Forex

com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest

com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethodTest

com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethodTest

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.