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

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

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   */
  public void scaleLongShortParity() {
    final MultipleCurrencyAmount priceBarrier = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_MULTICURVES);
    final double scale = 10;
    final ForexDefinition fxDefinitionScale = new ForexDefinition(EUR, USD, OPTION_PAY_DATE, NOTIONAL * scale, STRIKE);
    final ForexOptionVanillaDefinition optionDefinitionScale = new ForexOptionVanillaDefinition(fxDefinitionScale, OPTION_EXPIRY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla optionScale = optionDefinitionScale.toDerivative(REFERENCE_DATE);
    final ForexOptionSingleBarrier optionBarrierScale = new ForexOptionSingleBarrier(optionScale, BARRIER_KI, scale * REBATE);
    final MultipleCurrencyAmount priceBarrierScale = METHOD_BARRIER.presentValue(optionBarrierScale, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", priceBarrier.getAmount(USD) * scale, priceBarrierScale.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount priceBarrierShort = METHOD_BARRIER.presentValue(BARRIER_SHORT, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", -priceBarrier.getAmount(USD), priceBarrierShort.getAmount(USD), TOLERANCE_PV);
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    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];
    final double[] gammaDigitalSpread = new double[nbStrike + 1];
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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 forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = forexOptionCall.accept(PVCSC_BLACK, SMILE_BUNDLE);
    final InterestRateCurveSensitivity sensiConverted = PVCSCC_BLACK.visit(forexOptionCall, SMILE_BUNDLE);
    InterestRateCurveSensitivity sensiComp = new InterestRateCurveSensitivity();
    sensiComp = sensiComp.plus(CURVES_NAME[1], sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]));
    sensiComp = sensiComp.plus(CURVES_NAME[0], InterestRateCurveSensitivityUtils.multiplySensitivity(sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]), SPOT));
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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 ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla call = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)) / df;
    final double volatility = SMILE_TERM.getVolatility(timeToExpiry, strike, forward);
    final double thetaUnit = BlackFormulaRepository.driftlessTheta(forward, strike, timeToExpiry, volatility);
    final double thetaExpected = thetaUnit * notional;
    final CurrencyAmount thetaCallComputed = METHOD_OPTION.theta(call, SMILE_BUNDLE);
    assertEquals("Theta theoretical: forex option", thetaExpected, thetaCallComputed.getAmount(), TOLERANCE_PV);
    assertEquals("Theta theoretical: forex option", USD, thetaCallComputed.getCurrency());
    final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla put = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount thetaPutComputed = METHOD_OPTION.theta(put, SMILE_BUNDLE);
    assertEquals("Theta theoretical: forex option", thetaCallComputed.getAmount(), thetaPutComputed.getAmount(), TOLERANCE_PV);
  }
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    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 100000000;
    final int indexPay = 2; // 1Y
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, PAY_DATE[indexPay], notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, EXPIRY_DATE[indexPay], isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay]));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay])) / df;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(TIME_TO_EXPIRY[indexPay + 1], strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOption);
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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 ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)) / df;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOption);
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    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    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);
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    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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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
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