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

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

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

com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla
Class describing a vanilla foreign exchange European option. When the option is a call, the option holder has the right to enter into the Forex transaction; if the option is a put, the option holder has the right to enter into a Forex transaction equal to the underlying but with opposite signs. A Call on a Forex EUR 1.00 / USD -1.41 is thus the right to call 1.00 EUR and put 1.41 USD. A put on a Forex EUR -1.00 / USD 1.41 is the right to exchange -(-1.00) EUR = 1.00 EUR and -1.41 EUR; it is thus also the right to call 1.00 EUR and put 1.41 USD. A put on a Forex USD 1.41 / EUR -1.00 is also the right to call 1.00 EUR and put 1.41 USD.

   */
  public double deltaRelative(final ForexOptionSingleBarrier optionForex, final SmileDeltaTermStructureDataBundle smile, final boolean directQuote) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double timeToExpiry = underlyingOption.getTimeToExpiry();
    final double strike = underlyingOption.getStrike();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), timeToExpiry, strike, forward);
    final double sign = (underlyingOption.isLong() ? 1.0 : -1.0);
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double foreignAmount = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double[] adjoint = new double[5];

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  public CurrencyAmount delta(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves, final boolean directQuote) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double deltaRelative = deltaRelative(optionForex, smile, directQuote);
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    return CurrencyAmount.of(underlyingOption.getUnderlyingForex().getCurrency2(), deltaRelative * Math.abs(underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount()));
  }

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   */
  public double spotDeltaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);

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   */
  public CurrencyAmount gammaSpot(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves, final boolean directQuote) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final PaymentFixed paymentCurrency2 = underlyingOption.getUnderlyingForex().getPaymentCurrency2();
    final double sign = (optionForex.getUnderlyingOption().isLong() ? 1.0 : -1.0);
    final double gammaDirect = gammaFd(optionForex, smile).getAmount() * sign;
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    if (directQuote) {
      return CurrencyAmount.of(paymentCurrency2.getCurrency(), gammaDirect);

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   */
  public CurrencyAmount forwardTheta(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);
    final ForexOptionVanilla upOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() + DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceUp = BARRIER_FUNCTION.getPrice(upOption, optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic,
        vol) / dfDomestic;
    final ForexOptionVanilla downOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() - DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceDown = BARRIER_FUNCTION.getPrice(downOption, optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic,
        vol) / dfDomestic;
    final double sign = (optionForex.getUnderlyingOption().isLong() ? 1.0 : -1.0);
    final double theta = -0.5 * (priceUp - priceDown) / DEFAULT_THETA_SHIFT * sign

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   */
  public double thetaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);
    final ForexOptionVanilla upOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() + DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceUp = BARRIER_FUNCTION.getPrice(upOption, optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic,
        vol);
    final ForexOptionVanilla downOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() - DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceDown = BARRIER_FUNCTION.getPrice(downOption, optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic,
        vol);
    return -0.5 * (priceUp - priceDown) / DEFAULT_THETA_SHIFT;
  }

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   */
  public double forwardDriftlessThetaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);


    final ForexOptionVanilla upOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() + DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceUp = BARRIER_FUNCTION.getPrice(upOption, optionForex.getBarrier(), rebateByForeignUnit, forward, 0., 0., vol);
    final ForexOptionVanilla downOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() - DEFAULT_THETA_SHIFT,
        underlyingOption.isCall(), underlyingOption.isLong());
    final double priceDown = BARRIER_FUNCTION.getPrice(downOption, optionForex.getBarrier(), rebateByForeignUnit, forward, 0., 0., vol);
    return -0.5 * (priceUp - priceDown) / DEFAULT_THETA_SHIFT;
  }

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      final double amount = amountPaid / (strikeRelP - strikeRelM);
      final Forex forexM = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(amount),
          optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(-strikeRelM * amount));
      final Forex forexP = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(amount),
          optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(-strikeRelP * amount));
      callSpread[0] = new ForexOptionVanilla(forexM, optionDigital.getExpirationTime(), optionDigital.isCall(),
          (optionDigital.isLong() == optionDigital.isCall()));
      callSpread[1] = new ForexOptionVanilla(forexP, optionDigital.getExpirationTime(), optionDigital.isCall(),
          !(optionDigital.isLong() == optionDigital.isCall()));
    } else {
      amountPaid = Math.abs(optionDigital.getUnderlyingForex().getPaymentCurrency1().getAmount());
      strikeRelM = 1.0 / strikeP;
      strikeRelP = 1.0 / strikeM;
      final double amount = amountPaid / (strikeRelP - strikeRelM);
      final Forex forexM = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(amount),
          optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(-strikeRelM * amount));
      final Forex forexP = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(amount),
          optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(-strikeRelP * amount));
      callSpread[0] = new ForexOptionVanilla(forexM, optionDigital.getExpirationTime(), !optionDigital.isCall(),
          !(optionDigital.isLong() == optionDigital.isCall()));
      callSpread[1] = new ForexOptionVanilla(forexP, optionDigital.getExpirationTime(), !optionDigital.isCall(),
          (optionDigital.isLong() == optionDigital.isCall()));
    }
    return callSpread;
  }

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      strikeRelM = strikeM;
      strikeRelP = strikeP;
      double amount = amountPaid / (strikeRelP - strikeRelM);
      Forex forexM = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(amount), optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(-strikeRelM * amount));
      Forex forexP = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(amount), optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(-strikeRelP * amount));
      callSpread[0] = new ForexOptionVanilla(forexM, optionDigital.getExpirationTime(), optionDigital.isCall(), (optionDigital.isLong() == optionDigital.isCall()));
      callSpread[1] = new ForexOptionVanilla(forexP, optionDigital.getExpirationTime(), optionDigital.isCall(), !(optionDigital.isLong() == optionDigital.isCall()));
    } else {
      amountPaid = Math.abs(optionDigital.getUnderlyingForex().getPaymentCurrency1().getAmount());
      strikeRelM = 1.0 / strikeP;
      strikeRelP = 1.0 / strikeM;
      double amount = amountPaid / (strikeRelP - strikeRelM);
      Forex forexM = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(-strikeRelM * amount));
      Forex forexP = new Forex(optionDigital.getUnderlyingForex().getPaymentCurrency2().withAmount(amount), optionDigital.getUnderlyingForex().getPaymentCurrency1().withAmount(-strikeRelP * amount));
      callSpread[0] = new ForexOptionVanilla(forexM, optionDigital.getExpirationTime(), !optionDigital.isCall(), !(optionDigital.isLong() == optionDigital.isCall()));
      callSpread[1] = new ForexOptionVanilla(forexP, optionDigital.getExpirationTime(), !optionDigital.isCall(), (optionDigital.isLong() == optionDigital.isCall()));
    }
    return callSpread;
  }

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  @Deprecated
  @Override
  public ForexOptionSingleBarrier toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    final ForexOptionVanilla underlying = _underlyingOption.toDerivative(date, yieldCurveNames);
    return new ForexOptionSingleBarrier(underlying, _barrier);
  }

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