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

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

134
135
136
137
138
139
140
141
142
143
144
145
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = FXDataSets.smile3points(REFERENCE_DATE, interpolator);
    final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(MULTICURVES, smileTerm, Pair.of(EUR, USD));
    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);
    final MultipleCurrencyAmount pvM = METHOD_VANILLA_BLACK.presentValue(vanillaM, smile);
    final MultipleCurrencyAmount pvExpected = pvM.plus(pvP.multipliedBy(-1.0))
View Full Code Here
225
226
227
228
229
230
231
232
233
234
235
236
   */
  public void currencyExposureDomestic() {
    final double spread = 0.0001; // Relative spread.
    final double strikeM = STRIKE * (1 - spread);
    final double strikeP = STRIKE * (1 + 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 ceP = METHOD_VANILLA_BLACK.currencyExposure(vanillaP, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceExpected = ceM.plus(ceP.multipliedBy(-1.0))
View Full Code Here
249
250
251
252
253
254
255
256
257
258
259
260
261
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final double amountPaid = Math.abs(FOREX_DIGITAL_CALL_FOR.getUnderlyingForex().getPaymentCurrency1().getAmount());
    final double strikeRelM = 1.0 / strikeP;
    final double strikeRelP = 1.0 / strikeM;
    final double amount = amountPaid / (strikeRelP - strikeRelM);
    final Forex forexM = new Forex(FOREX_DIGITAL_CALL_FOR.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), FOREX_DIGITAL_CALL_FOR.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelM * amount));
    final Forex forexP = new Forex(FOREX_DIGITAL_CALL_FOR.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), FOREX_DIGITAL_CALL_FOR.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelP * amount));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, FOREX_DIGITAL_CALL_FOR.getExpirationTime(), !IS_CALL, false);
    final ForexOptionVanilla vanillaP = new ForexOptionVanilla(forexP, FOREX_DIGITAL_CALL_FOR.getExpirationTime(), !IS_CALL, true);
    final MultipleCurrencyAmount ceP = METHOD_VANILLA_BLACK.currencyExposure(vanillaP, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_MULTICURVES);
View Full Code Here
351
352
353
354
355
356
357
358
359
360
361
362
   */
  public void gammaDomestic() {
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final double notional = Math.abs(FOREX.getPaymentCurrency2().getAmount()) / (strikeP - strikeM);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(notional), FOREX.getPaymentCurrency2().withAmount(-notional * strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(notional), FOREX.getPaymentCurrency2().withAmount(-notional * 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 CurrencyAmount gammaP = METHOD_VANILLA_BLACK.gamma(vanillaP, SMILE_MULTICURVES, true);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gamma(vanillaM, SMILE_MULTICURVES, true);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
View Full Code Here
375
376
377
378
379
380
381
382
383
384
385
386
387
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final double amountPaid = Math.abs(digitalForeign.getUnderlyingForex().getPaymentCurrency1().getAmount());
    final double strikeRelM = 1.0 / strikeP;
    final double strikeRelP = 1.0 / strikeM;
    final double amount = amountPaid / (strikeRelP - strikeRelM);
    final Forex forexM = new Forex(digitalForeign.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), digitalForeign.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelM * amount));
    final Forex forexP = new Forex(digitalForeign.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), digitalForeign.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelP * amount));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, digitalForeign.getExpirationTime(), !IS_CALL, false);
    final ForexOptionVanilla vanillaP = new ForexOptionVanilla(forexP, digitalForeign.getExpirationTime(), !IS_CALL, true);
    final CurrencyAmount gammaP = METHOD_VANILLA_BLACK.gamma(vanillaP, SMILE_MULTICURVES, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gamma(vanillaM, SMILE_MULTICURVES, false);
View Full Code Here
396
397
398
399
400
401
402
403
404
405
406
407
   */
  public void gammaSpotDomestic() {
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final double notional = Math.abs(FOREX.getPaymentCurrency2().getAmount()) / (strikeP - strikeM);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(notional), FOREX.getPaymentCurrency2().withAmount(-notional * strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(notional), FOREX.getPaymentCurrency2().withAmount(-notional * 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 CurrencyAmount gammaP = METHOD_VANILLA_BLACK.gammaSpot(vanillaP, SMILE_MULTICURVES, true);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gammaSpot(vanillaM, SMILE_MULTICURVES, true);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
View Full Code Here
420
421
422
423
424
425
426
427
428
429
430
431
432
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final double amountPaid = Math.abs(digitalForeign.getUnderlyingForex().getPaymentCurrency1().getAmount());
    final double strikeRelM = 1.0 / strikeP;
    final double strikeRelP = 1.0 / strikeM;
    final double amount = amountPaid / (strikeRelP - strikeRelM);
    final Forex forexM = new Forex(digitalForeign.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), digitalForeign.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelM * amount));
    final Forex forexP = new Forex(digitalForeign.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), digitalForeign.getUnderlyingForex()
        .getPaymentCurrency1().withAmount(-strikeRelP * amount));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, digitalForeign.getExpirationTime(), !IS_CALL, false);
    final ForexOptionVanilla vanillaP = new ForexOptionVanilla(forexP, digitalForeign.getExpirationTime(), !IS_CALL, true);
    final CurrencyAmount gammaP = METHOD_VANILLA_BLACK.gammaSpot(vanillaP, SMILE_MULTICURVES, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gammaSpot(vanillaM, SMILE_MULTICURVES, false);
View Full Code Here
468
469
470
471
472
473
474
475
476
477
478
479
   */
  public void presentValueCurveSensitivity() {
    final double spread = 0.0001; // Relative spread.
    final double strikeM = STRIKE * (1 - spread);
    final double strikeP = STRIKE * (1 + 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 MultipleCurrencyMulticurveSensitivity pvcsP = METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaP, SMILE_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsM = METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaM, SMILE_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsExpected = pvcsM.plus(pvcsP).multipliedBy(
View Full Code Here
487
488
489
490
491
492
493
494
495
496
497
498
   * Tests the present value curve sensitivity.
   */
  public void presentValueBlackVolatilitySensitivity() {
    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 PresentValueForexBlackVolatilitySensitivity pvbvP = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaP, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvbvM = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaM, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvbvExpected = pvbvM.plus(pvbvP.multipliedBy(-1.0)).multipliedBy(
View Full Code Here
122
123
124
125
126
127
128
129
130
131
132
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, !isCall, !isLong);
      call[loopstrike] = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      put[loopstrike] = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      // Present value
      final MultipleCurrencyAmount pvCall = METHOD_VANNA_VOLGA.presentValue(call[loopstrike], SMILE_BUNDLE);
      final MultipleCurrencyAmount pvPut = METHOD_VANNA_VOLGA.presentValue(put[loopstrike], SMILE_BUNDLE);
      final MultipleCurrencyAmount pvForward = METHOD_DISC.presentValue(forexForward, SMILE_BUNDLE);
      assertEquals("Forex vanilla option: vanna-volga present value put/call parity", pvForward.getAmount(USD) + pvForward.getAmount(EUR) * SPOT, pvCall.getAmount(USD) + pvPut.getAmount(USD),
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    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.