Examples of com.opengamma.analytics.financial.forex.method.FXMatrix

Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.FXMatrix

com.opengamma.analytics.financial.forex.method.FXMatrix
Class describing a set of currencies and all the cross rates between them.

  }


  public static MulticurveProviderDiscount createCurvesForex(final Currency ccy1, final Currency ccy2, final double exchangeRate) {
    final YieldAndDiscountCurve curve1 = YieldCurve.from(ConstantDoublesCurve.from(0.0100));
    final YieldAndDiscountCurve curve2 = YieldCurve.from(ConstantDoublesCurve.from(0.0200));
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, exchangeRate);
    final MulticurveProviderDiscount curves = new MulticurveProviderDiscount(fxMatrix);
    curves.setCurve(ccy1, curve1);
    curves.setCurve(ccy2, curve2);
    return curves;
  }

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    assertEquals(matrix, cycleObject(FXMatrix.class, matrix));
  }

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, DoublesCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),

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      map.put(currencies[i], i);
      for (int j = 0; j < 10; j++) {
        fxRates[i][j] = Math.random();
      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),

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    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(USD);
    }
  }

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    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(EUR);
    }
  }

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   * Tests the currency exposure with a FD rate shift.
   */
  public void currencyExposureForeign2() {
    final double shift = 0.000005;
    final MulticurveProviderDiscount multicurveP = MULTICURVES.copy();
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    multicurveP.setForexMatrix(fxMatrixP);
    final BlackForexSmileProviderDiscount smileP = new BlackForexSmileProviderDiscount(multicurveP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_BLACK_DIGITAL.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pv = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_FOR, smileP);

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