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

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

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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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    if (order) {
      underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
    } else {
      underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
    }
    return new ForexOptionVanillaDefinition(underlying, expiry, !order, isLong);
  }
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    final ZonedDateTime settlementDate = barrierOptionSecurity.getSettlementDate();
    final ForexDefinition underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate); //TODO this needs its own converter
    final boolean isLong = barrierOptionSecurity.isLong();
    final Barrier barrier = new Barrier(getKnockType(barrierOptionSecurity.getBarrierDirection()), getBarrierType(barrierOptionSecurity.getBarrierType()),
        getObservationType(barrierOptionSecurity.getMonitoringType()), level);
    return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, true, isLong), barrier);
  }
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    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote order for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    if (baseQuotePair.getBase().equals(putCurrency)) {
      underlying = ForexDefinition.fromAmounts(putCurrency, callCurrency, settlementDate, putAmount, -callAmount);
      return new ForexOptionVanillaDefinition(underlying, expiry, false, isLong);
    }
    underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
    return new ForexOptionVanillaDefinition(underlying, expiry, true, isLong);
  }
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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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