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

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

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      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);
      put[loopstrike] = putDefinition.toDerivative(REFERENCE_DATE);
      final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
      // Present value
      final MultipleCurrencyAmount pvCall = METHOD_VANNA_VOLGA.presentValue(call[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvPut = METHOD_VANNA_VOLGA.presentValue(put[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvForward = METHOD_DISC.presentValue(forexForward, MULTICURVES);
      assertEquals("Forex vanilla option: vanna-volga present value put/call parity", pvForward.getAmount(USD) + pvForward.getAmount(EUR) * SPOT, pvCall.getAmount(USD)
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   * Tests the present value with an explicit computation.
   */
  public void presentValue() {
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE);
    final MultipleCurrencyAmount pvM = METHOD_VANILLA_BLACK.presentValue(vanillaM, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvExpected = pvM.plus(pvP.multipliedBy(-1.0)).multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
 
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        Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = TestsDataSetsForex.smile3points(REFERENCE_DATE, interpolator);
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(CURVES, smileTerm, Pair.of(EUR, USD));
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_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, smileBundle);
    final MultipleCurrencyAmount pvM = METHOD_VANILLA_BLACK.presentValue(vanillaM, smileBundle);
    final MultipleCurrencyAmount pvExpected = pvM.plus(pvP.multipliedBy(-1.0)).multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
 
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   */
  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_BUNDLE);
    final MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceExpected = ceM.plus(ceP.multipliedBy(-1.0)).multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
 
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    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE);
    final MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_BUNDLE);
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   */
  public void gammaDomestic() {
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE, true);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gamma(vanillaM, SMILE_BUNDLE, true);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
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    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gamma(vanillaM, SMILE_BUNDLE, false);
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   */
  public void gammaSpotDomestic() {
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE, true);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gammaSpot(vanillaM, SMILE_BUNDLE, true);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
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    final double strikeP = STRIKE * (1 + STANDARD_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_BUNDLE, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gammaSpot(vanillaM, SMILE_BUNDLE, false);
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   */
  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 MultipleCurrencyInterestRateCurveSensitivity pvcsP = METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaP, SMILE_BUNDLE);
    final MultipleCurrencyInterestRateCurveSensitivity pvcsM = METHOD_VANILLA_BLACK.presentValueCurveSensitivity(vanillaM, SMILE_BUNDLE);
    final MultipleCurrencyInterestRateCurveSensitivity pvcsExpected = pvcsM.plus(pvcsP).multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
 
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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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