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.

    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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    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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      isCall = false;
    } else {
      underlying = ForexDefinition.fromAmounts(callCurrency, putCurrency, settlementDate, callAmount, -putAmount);
      isCall = true;
    }
    return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, isCall, isLong), barrier);
  }

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    final Barrier barrier = new Barrier(getKnockType(barrierOptionSecurity.getBarrierDirection()), getBarrierType(barrierOptionSecurity.getBarrierType()),
        getObservationType(barrierOptionSecurity.getMonitoringType()), level);
    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();
    return new ForexOptionSingleBarrierDefinition(new ForexOptionVanillaDefinition(underlying, expiry, true, isLong), barrier);
  }

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  /**
   * Creates a vanilla FX option definition
   * @return A vanilla FX option definition
   */
  public static ForexOptionVanillaDefinition createForexOptionVanillaDefinition() {
    return new ForexOptionVanillaDefinition(FX_DEFINITION, EXPIRATION_DATE, IS_CALL, IS_LONG);
  }

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   * 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, CURVES_NAME);


    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);

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   */
  public void scaleLongShortParity() {
    final MultipleCurrencyAmount priceBarrier = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_BUNDLE);
    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, CURVES_NAME);
    final ForexOptionSingleBarrier optionBarrierScale = new ForexOptionSingleBarrier(optionScale, BARRIER_KI, scale * REBATE);
    final MultipleCurrencyAmount priceBarrierScale = METHOD_BARRIER.presentValue(optionBarrierScale, SMILE_BUNDLE);
    assertEquals("Barriers are cheaper than vanilla", priceBarrier.getAmount(USD) * scale, priceBarrierScale.getAmount(USD), 1.0E-2);
    final MultipleCurrencyAmount priceBarrierShort = METHOD_BARRIER.presentValue(BARRIER_SHORT, SMILE_BUNDLE);
    assertEquals("Barriers are cheaper than vanilla", -priceBarrier.getAmount(USD), priceBarrierShort.getAmount(USD), 1.0E-2);

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    // Switch  on type
    switch (bInOut) {
      case KNOCK_OUT: // Long a linear at strike, short a linear at barrier, short a binary at barrier of size (barrier-strike)


        final ForexOptionVanillaDefinition longLinearK = new ForexOptionVanillaDefinition(fxFwd, expiry, useCallSpread, isLong);
        final ForexOptionVanillaDefinition shortLinearB = new ForexOptionVanillaDefinition(fxFwdForBarrier, expiry, useCallSpread, !isLong);
        vanillas.add(longLinearK.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(shortLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Short a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition shortNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, !isLong);
        final ForexOptionVanillaDefinition longFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, isLong);
        vanillas.add(shortNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(longFar.toDerivative(valTime, baseQuoteCurveNames));
        break;


      case KNOCK_IN:  // Long a linear at barrier, long a binary at barrier of size (barrier - strike)


        final ForexOptionVanillaDefinition longLinearB = new ForexOptionVanillaDefinition(fxFwdForBarrier, expiry, useCallSpread, isLong);
        vanillas.add(longLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Long a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition longNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, isLong);
        final ForexOptionVanillaDefinition shortFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, !isLong);
        vanillas.add(longNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(shortFar.toDerivative(valTime, baseQuoteCurveNames));
        break;
      default:
        throw new OpenGammaRuntimeException("Encountered an EquityBarrierOption with unexpected BarrierDirection of: " + bUpDown);
    }
    return vanillas;

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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, CURVES_NAME);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay]));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(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, 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(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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