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

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

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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_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()));
    final MultipleCurrencyAmount ceComputed = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - currency exposure", ceExpected.getAmount(USD), ceComputed.getAmount(USD), TOLERANCE_PV);
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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_BUNDLE);
    final MultipleCurrencyAmount ceM = METHOD_VANILLA_BLACK.currencyExposure(vanillaM, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceExpected = ceM.plus(ceP);
    final MultipleCurrencyAmount ceComputed = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - currency exposure", ceExpected.getAmount(USD), ceComputed.getAmount(USD), TOLERANCE_PV);
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    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);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gamma(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    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_BUNDLE, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gamma(vanillaM, SMILE_BUNDLE, false);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gamma(digitalForeign, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - gamma", gammaExpected.getAmount(), gammaComputed.getAmount(), TOLERANCE_PV);
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    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);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gammaSpot(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    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_BUNDLE, false);
    final CurrencyAmount gammaM = METHOD_VANILLA_BLACK.gammaSpot(vanillaM, SMILE_BUNDLE, false);
    final CurrencyAmount gammaExpected = gammaM.plus(gammaP);
    final CurrencyAmount gammaComputed = METHOD_DIGITAL_SPREAD.gammaSpot(digitalForeign, SMILE_BUNDLE);
    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 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()));
    final MultipleCurrencyInterestRateCurveSensitivity pvcsComputed = METHOD_DIGITAL_SPREAD.presentValueCurveSensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    AssertSensivityObjects.assertEquals("Forex Digital option: call spread method - present value", pvcsExpected, pvcsComputed, TOLERANCE_DELTA);
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  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()));
    final PresentValueForexBlackVolatilitySensitivity pvbvComputed = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - present value volatility sensitivity", pvbvComputed.getVega().getMap().size(), 2);
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   * the treatment of the barrier is: Price(t,T_exp) (roughly :))
   */
  public void testKnockInOutParity() {
    // Local version where expiry is OPTION_PAY_DATE
    final ForexOptionVanillaDefinition vanillaDefn = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_PAY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla vanillaExpiryEqualsPay = vanillaDefn.toDerivative(REFERENCE_DATE);

    final ForexOptionSingleBarrier knockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KO, 0.0);
    final ForexOptionSingleBarrier knockIn = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KI, 0.0);
    final ForexOptionSingleBarrier impossibleKnockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_IMPOSSIBLE_DOWN, 0.0);

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  public void scaleLongShortParity() {
    final MultipleCurrencyAmount priceBarrier = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_MULTICURVES);
    final double scale = 10;
    final ForexDefinition fxDefinitionScale = new ForexDefinition(EUR, USD, OPTION_PAY_DATE, NOTIONAL * scale, STRIKE);
    final ForexOptionVanillaDefinition optionDefinitionScale = new ForexOptionVanillaDefinition(fxDefinitionScale, OPTION_EXPIRY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla optionScale = optionDefinitionScale.toDerivative(REFERENCE_DATE);
    final ForexOptionSingleBarrier optionBarrierScale = new ForexOptionSingleBarrier(optionScale, BARRIER_KI, scale * REBATE);
    final MultipleCurrencyAmount priceBarrierScale = METHOD_BARRIER.presentValue(optionBarrierScale, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", priceBarrier.getAmount(USD) * scale, priceBarrierScale.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount priceBarrierShort = METHOD_BARRIER.presentValue(BARRIER_SHORT, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", -priceBarrier.getAmount(USD), priceBarrierShort.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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