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

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

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

com.opengamma.analytics.financial.forex.derivative.ForexNonDeliverableOption
Class describing a non-deliverable foreign exchange European option. The option exercise date is the underlying NDF fixing date. When the option is a call, the option holder has the right to enter into the Forex NDF; when the option is a put, the option holder has the right to enter into a NDF transaction equal to the underlying but with opposite signs. The settlement is done in the second currency of the NDF. A Call on a Forex on KRW / USD at strike 1124.00 is thus the right to receive 1.00 USD and pay 1124.00 KRW and cash settle the difference in USD at the fixing rate. A put on a Forex on KRW / USD at strike 1124.00 is thus the right to pay 1.00 USD and receive 1124.00 KRW and cash settle the difference in USD at the fixing rate. There is not a full put/call parity in NDO as the two currencies do not have a fully symmetric role.

   * @deprecated Use the method that does not take yield curve names
   */
  @Deprecated
  @Override
  public ForexNonDeliverableOption toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    return new ForexNonDeliverableOption(_underlyingNDF.toDerivative(date, yieldCurveNames), _isCall, _isLong);
  }

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  /**
   * {@inheritDoc}
   */
  @Override
  public ForexNonDeliverableOption toDerivative(final ZonedDateTime date) {
    return new ForexNonDeliverableOption(_underlyingNDF.toDerivative(date), _isCall, _isLong);
  }

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  @SuppressWarnings("deprecation")
  public void toDerivativeDeprecated() {
    final String krw = "Discounting KRW";
    final String usd = "Discounting USD";
    final String[] curveNames = new String[] {krw, usd};
    final ForexNonDeliverableOption ndoConverted = NDO_DEFINITION.toDerivative(REFERENCE_DATE, curveNames);
    final ForexNonDeliverableOption ndoExpected = new ForexNonDeliverableOption(NDF_DEFINITION.toDerivative(REFERENCE_DATE, curveNames), IS_CALL, IS_LONG);
    assertEquals("Forex NDO - toDerivatives", ndoExpected, ndoConverted);
  }

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  @Test
  /**
   * Tests the class toDerivative method.
   */
  public void toDerivative() {
    final ForexNonDeliverableOption ndoConverted = NDO_DEFINITION.toDerivative(REFERENCE_DATE);
    final ForexNonDeliverableOption ndoExpected = new ForexNonDeliverableOption(NDF_DEFINITION.toDerivative(REFERENCE_DATE), IS_CALL, IS_LONG);
    assertEquals("Forex NDO - toDerivatives", ndoExpected, ndoConverted);
  }

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Related Classes of com.opengamma.analytics.financial.forex.derivative.ForexNonDeliverableOption

com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableOptionDefinition

com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableOptionDefinitionTest

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