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

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

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    final double notional = 100000000;
    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);
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_FBS_C.calculateSensitivity(forexOptionCall, SMILE_FLAT_MULTICURVES, SMILE_FLAT_MULTICURVES
        .getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_FBS_FDC.calculateSensitivity(forexOptionCall, SMILE_FLAT_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, STRIKE, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(FOREX_CALL_OPTION, dataBlack);
    assertEquals("Forex vanilla option: vega", priceAdjoint[2] * NOTIONAL, sensi.getVega().getMap().get(point));
    final ForexOptionVanillaDefinition optionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShort, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionVanillaDefinition optionShortPutDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, 1.0E-2);
  }
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity vsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilitySensitivity(callEURUSD, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity vsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilitySensitivity(putUSDEUR, SMILE_MULTICURVES);
    final DoublesPair point = DoublesPair.of(callEURUSD.getTimeToExpiry(), strike);
    assertEquals("Forex vanilla option: volatilityNode", vsCallEURUSD.getVega().getMap().get(point) / SPOT, vsPutUSDEUR.getVega().getMap().get(point), 1.0E-2);
  }
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsCallEURUSD = METHOD_OPTION
        .presentValueBlackVolatilityNodeSensitivity(callEURUSD, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(putUSDEUR, SMILE_MULTICURVES);
    for (int loopexp = 0; loopexp < nsCallEURUSD.getExpiries().getNumberOfElements(); loopexp++) {
      for (int loopdelta = 0; loopdelta < nsCallEURUSD.getDelta().getNumberOfElements(); loopdelta++) {
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    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());
    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
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    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);

    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());

    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
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  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))
        .multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final MultipleCurrencyAmount pvComputed = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
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    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))
        .multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final MultipleCurrencyAmount pvComputed = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_DOM, smile);
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    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))
        .multipliedBy(1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final MultipleCurrencyAmount ceComputed = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
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    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);
    final MultipleCurrencyAmount ceExpected = ceM.plus(ceP);
    final MultipleCurrencyAmount ceComputed = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - currency exposure", ceExpected.getAmount(USD), ceComputed.getAmount(USD), TOLERANCE_PV);
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Related Classes of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

  • com.opengamma.analytics.financial.forex.definition.ForexOptionSingleBarrierDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinitionTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
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  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod
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