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

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

555
556
557
558
559
560
561
562
563
564
565
    final double notional = 1;
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double deltaM = METHOD_OPTION.deltaRelative(forexOption, smileBundleM, true);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, smileBundleP, true);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE_FLAT, true);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * shift), TOLERANCE_RELATIVE);
  }
View Full Code Here
582
583
584
585
586
587
588
589
590
591
592
    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double deltaM = METHOD_OPTION.deltaRelative(forexOption, smileBundleM, false);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, smileBundleP, false);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE_FLAT, false);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * shift), TOLERANCE_RELATIVE);
  }
View Full Code Here
602
603
604
605
606
607
608
609
610
611
612
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelative = METHOD_OPTION.gammaRelative(forexOption, SMILE_BUNDLE, true);
    final double gammaExpected = gammaRelative * notional;
    final CurrencyAmount gammaComputed = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaExpected / gammaComputed.getAmount(), TOLERANCE_PV);
  }
View Full Code Here
622
623
624
625
626
627
628
629
630
631
632
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelative = METHOD_OPTION.gammaRelative(forexOption, SMILE_BUNDLE, false);
    final double gammaExpected = gammaRelative * notional;
    final CurrencyAmount gammaComputed = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, false);
    assertEquals("Forex: relative gamma", 1.0, gammaExpected / gammaComputed.getAmount(), TOLERANCE_PV);
  }
View Full Code Here
642
643
644
645
646
647
648
649
650
651
652
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaValueBlackForexCalculator calculator = GammaValueBlackForexCalculator.getInstance();
    final CurrencyAmount gammaCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaMethod = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaCalculator.getAmount() / gammaMethod.getAmount(), TOLERANCE_PV);
  }
View Full Code Here
662
663
664
665
666
667
668
669
670
671
672
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelativeSpot = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE, true);
    final double gammaSpotExpected = gammaRelativeSpot * notional;
    final CurrencyAmount gammaSpotComputed = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotExpected / gammaSpotComputed.getAmount(), TOLERANCE_PV);
    final double gammaSpotExpected2 = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, true).getAmount() * SPOT;
 
View Full Code Here
684
685
686
687
688
689
690
691
692
693
694
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double gammaRelativeSpot = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_BUNDLE, false);
    final double gammaSpotExpected = gammaRelativeSpot * notional;
    final CurrencyAmount gammaSpotComputed = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, false);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotExpected / gammaSpotComputed.getAmount(), TOLERANCE_PV);
    final double gammaSpotExpected2 = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, false).getAmount() * SPOT;
 
View Full Code Here
706
707
708
709
710
711
712
713
714
715
716
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaSpotBlackForexCalculator calculator = GammaSpotBlackForexCalculator.getInstance();
    final CurrencyAmount gammaSpotCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaSpotMethod = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotCalculator.getAmount() / gammaSpotMethod.getAmount(), TOLERANCE_PV);
  }
View Full Code Here
726
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
    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, 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";
View Full Code Here
823
824
825
826
827
828
829
830
831
832
833
834
835
836
    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, CURVES_NAME);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShort, SMILE_BUNDLE);
    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, CURVES_NAME);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, 1.0E-2);
  }
View Full Code Here
TOP

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
    • 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.