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

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

483
484
485
486
487
488
489
490
491
492
493
494
   * Tests the present value curve sensitivity.
   */
  public void presentValueBlackVolatilitySensitivity() {
    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 PresentValueForexBlackVolatilitySensitivity pvbvP = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaP, SMILE_BUNDLE);
    final PresentValueForexBlackVolatilitySensitivity pvbvM = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaM, SMILE_BUNDLE);
    final PresentValueForexBlackVolatilitySensitivity pvbvExpected = pvbvM.plus(pvbvP.multipliedBy(-1.0)).multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
 
View Full Code Here
94
95
96
97
98
99
100
101
  }

  @Test
  public void testForex() {
    final double t = 0.124;
    final Forex fx = new Forex(new PaymentFixed(Currency.AUD, t, -100), new PaymentFixed(Currency.USD, t, 100));
    assertEquals(fx.accept(LDC), t, 0);
  }
View Full Code Here
314
315
316
317
318
319
320
321
322
323
324
    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, CURVES_NAME);
    final ForexOptionVanilla forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_OPTION.currencyExposure(forexOptionCall, SMILE_BUNDLE);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_OPTION.currencyExposure(forexOptionPut, SMILE_BUNDLE);
    final MultipleCurrencyAmount currencyExposureForward = METHOD_DISC.currencyExposure(forexForward, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: currency exposure put/call parity foreign", currencyExposureForward.getAmount(EUR), currencyExposureCall.getAmount(EUR) - currencyExposurePut.getAmount(EUR),
        1E-2);
View Full Code Here
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
    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 ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = METHOD_OPTION.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.getTimeToExpiry(), strike, forward));
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOptionCall);
    // 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;
    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";
    BlackFunctionData dataBlack;
    //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;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignPlus = func.evaluate(dataBlack) * notional;
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignMinus = func.evaluate(dataBlack) * notional;
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
    assertEquals("Forex vanilla option: curve exposure", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).first, 1E-2);
    assertEquals("Forex vanilla option: curve exposure", resultForeign, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).second, 1E-2);
    //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;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomesticBumped, volatility);
    final double bumpedPvDomesticPlus = func.evaluate(dataBlack) * notional;
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
    dfDomesticBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeign / dfDomesticBumped;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomesticBumped, volatility);
    final double bumpedPvDomesticMinus = func.evaluate(dataBlack) * notional;
    final double resultDomestic = (bumpedPvDomesticPlus - bumpedPvDomesticMinus) / (2 * deltaShift);
    assertEquals("Forex vanilla option: curve exposure", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]).get(0).first, 1E-2);
    assertEquals("Forex vanilla option: curve exposure", resultDomestic, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]).get(0).second, 1E-2);
  }
View Full Code Here
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      final Clock snapshotClock = executionContext.getValuationClock();
      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final Forex forex = getForex(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
      final Currency currency1 = forex.getCurrency1();
      final Currency currency2 = forex.getCurrency2();
      if (pairs.getCurrencyPair(currency1, currency2).getBase().equals(currency1)) {
        final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
            CurrencyPair.TYPE.specification(CurrencyPair.of(currency2, currency1))));
        fxMatrix.addCurrency(currency1, currency2, spotRate);
      } else {
View Full Code Here
112
113
114
115
116
117
118
119
120
121
122
    curves = new YieldAndDiscountCurve[] {payCurve, receiveCurve };
    allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName };
    // Implementation note: The ForexSecurityConverter create the Forex with currency order pay/receive. The curve are passed in the same order.
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final InstrumentDefinition<?> definition = security.accept(converter);
    final Forex forex = (Forex) definition.toDerivative(now, allCurveNames);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
    return getResult(forex, yieldCurves, target, desiredValues, inputs, spec, executionContext);
  }
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
    curves = new YieldAndDiscountCurve[] {payCurve, receiveCurve };
    allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName };
    // Implementation note: The ForexSecurityConverter create the Forex with currency order pay/receive. The curve are passed in the same order.
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final InstrumentDefinition<?> definition = security.accept(converter);
    final Forex forex = (Forex) definition.toDerivative(now, allCurveNames);
    final FXForwardCurveInstrumentProvider provider = forwardCurveSpecification.getCurveInstrumentProvider();
    final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument());
    final double spotFX;
    if (baseQuotePairs.getCurrencyPair(receiveCurrency, payCurrency).getBase().equals(receiveCurrency)) {
      spotFX = (Double) inputs.getValue(spotRequirement);
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.