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

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

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    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);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gamma(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - gamma", gammaExpected.getAmount(), gammaComputed.getAmount(), TOLERANCE_PV);
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    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);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gamma(digitalForeign, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - gamma", gammaExpected.getAmount(), gammaComputed.getAmount(), TOLERANCE_PV);
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    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);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gammaSpot(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - gamma spot", gammaExpected.getAmount(), gammaComputed.getAmount(), TOLERANCE_PV);
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    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);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gammaSpot(digitalForeign, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - gamma spot", gammaExpected.getAmount(), gammaComputed.getAmount(), TOLERANCE_PV);
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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 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(
        1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final MultipleCurrencyMulticurveSensitivity pvcsComputed = METHOD_DIGITAL_SPREAD.presentValueCurveSensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
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  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(
        1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final PresentValueForexBlackVolatilitySensitivity pvbvComputed = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM,
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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);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);
    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);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);

    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 - 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()));
    final MultipleCurrencyAmount pvComputed = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - present value", pvExpected.getAmount(USD), pvComputed.getAmount(USD), TOLERANCE_PV);
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    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()));
    final MultipleCurrencyAmount pvComputed = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_DOM, smileBundle);
    assertEquals("Forex Digital option: call spread method - present value", pvExpected.getAmount(USD), pvComputed.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
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod
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