Package com.opengamma.analytics.financial.forex.derivative

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

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   * Tests the parSpread for forex transactions.
   */
  public void parSpread() {
    final double ps = METHOD_FX.parSpread(FX, MULTICURVES);
    final ForexDefinition fx0Definition = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE + ps);
    final Forex fx0 = fx0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fx0.accept(PVDC, MULTICURVES);
    assertEquals("ForexDiscountingMethod: parSpread", 0, MULTICURVES.getFxRates().convert(pv0, CUR_1).getAmount(), TOLERANCE_RATE);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforePayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE.minusDays(1));
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnPayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency1().getReferenceAmount(), cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency2().getReferenceAmount(), cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  /**
   * Test the present value of EUR/USD is the same as an USD/EUR.
   */
  public void presentValueReverse() {
    final ForexDefinition fxReverseDefinition = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0 / FX_RATE);
    final Forex fxReverse = fxReverseDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pv = METHOD.presentValue(FX, CURVES);
    final MultipleCurrencyAmount pvReverse = METHOD.presentValue(fxReverse, CURVES);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_1), pvReverse.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_2), pvReverse.getAmount(CUR_2), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforePayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnPayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency1().getReferenceAmount(), cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency2().getReferenceAmount(), cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  /**
   * Tests the Theta (1 day change of pv) for forex transactions.
   */
  public void thetaBeforePayment() {
    final MultipleCurrencyAmount theta = THETAC.getTheta(FX_DEFINITION, REFERENCE_DATE, CURVES_NAME, CURVES, 1);
    final Forex swapToday = FX_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex swapTomorrow = FX_DEFINITION.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount pvToday = swapToday.accept(PVC_FX, CURVES);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(CURVES, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final MultipleCurrencyAmount pvTomorrow = swapTomorrow.accept(PVC_FX, tomorrowData);
    final MultipleCurrencyAmount thetaExpected = pvTomorrow.plus(pvToday.multipliedBy(-1.0));
    assertEquals("ThetaCalculator: fixed-coupon swap", thetaExpected.getAmount(CUR_1), theta.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", thetaExpected.getAmount(CUR_2), theta.getAmount(CUR_2), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 2, theta.getCurrencyAmounts().length);
  }
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    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition forexOptionDefinitionPut = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_OPTION.currencyExposure(forexOptionCall, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_OPTION.currencyExposure(forexOptionPut, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposureForward = METHOD_DISC.currencyExposure(forexForward, MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure put/call parity foreign", currencyExposureForward.getAmount(EUR), currencyExposureCall.getAmount(EUR)
        - currencyExposurePut.getAmount(EUR), TOLERANCE_PV);
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    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 ForexOptionDigitalDefinition forexOptionDefinitionCall = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = METHOD_BLACK_DIGITAL.presentValueCurveSensitivity(forexOptionCall, SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexForward.getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexForward.getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(forexOptionCall.getExpirationTime(), forward, forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOptionCall.getExpirationTime());
    final int omega = isCall ? 1 : -1;
    // Finite difference
    final YieldAndDiscountCurve curveDomestic = CURVES.getCurve(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName());
    final YieldAndDiscountCurve curveForeign = CURVES.getCurve(forexOptionCall.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName());
    double forwardBumped;
    double dfForeignBumped;
    double dfDomesticBumped;
    double dMBumped;
    final double deltaShift = 0.00001; // 0.1 bp
    final double[] nodeTimes = new double[2];
    nodeTimes[0] = 0.0;
    nodeTimes[1] = forexOptionCall.getUnderlyingForex().getPaymentTime();
    final double[] yields = new double[2];
    YieldAndDiscountCurve curveNode;
    YieldAndDiscountCurve curveBumpedPlus;
    YieldAndDiscountCurve curveBumpedMinus;
    final String bumpedCurveName = "Bumped";
    //Foreign
    yields[0] = curveForeign.getInterestRate(nodeTimes[0]);
    yields[1] = curveForeign.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesForeign = new YieldCurveBundle();
    curvesForeign.setCurve(bumpedCurveName, curveBumpedPlus);
    curvesForeign.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    dfForeignBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignPlus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignMinus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
    assertEquals("Forex Digital option: curve sensitivity", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).first, TOLERANCE_TIME);
    assertEquals("Forex Digital option: curve sensitivity", resultForeign, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).second, TOLERANCE_DELTA);
    //Domestic
    yields[0] = curveDomestic.getInterestRate(nodeTimes[0]);
    yields[1] = curveDomestic.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesDomestic = new YieldCurveBundle();
    curvesDomestic.setCurve(CURVES_NAME[0], CURVES.getCurve(CURVES_NAME[0]));
    curvesDomestic.setCurve(bumpedCurveName, curveBumpedPlus);
    dfDomesticBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeign / dfDomesticBumped;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvDomesticPlus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomesticBumped * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
    dfDomesticBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeign / dfDomesticBumped;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvDomesticMinus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomesticBumped * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    final double resultDomestic = (bumpedPvDomesticPlus - bumpedPvDomesticMinus) / (2 * deltaShift);
    assertEquals("Forex Digital option: curve sensitivity", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]).get(0).first, TOLERANCE_TIME);
    assertEquals("Forex Digital option: curve sensitivity", resultDomestic, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]).get(0).second, TOLERANCE_DELTA);
  }
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   * Tests the present value with an explicit computation.
   */
  public void presentValue() {
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeP));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
    final ForexOptionVanilla vanillaP = new ForexOptionVanilla(forexP, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
    final MultipleCurrencyAmount pvP = METHOD_VANILLA_BLACK.presentValue(vanillaP, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvM = METHOD_VANILLA_BLACK.presentValue(vanillaM, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvExpected = pvM.plus(pvP.multipliedBy(-1.0))
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Related Classes of com.opengamma.analytics.financial.forex.derivative.Forex

  • com.opengamma.analytics.financial.forex.definition.ForexDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexSwapDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexSwapDefinitionTest
  • com.opengamma.analytics.financial.forex.method.ForexDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
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