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

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

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 7, 17);
    final Period tenor = Period.ofMonths(6);
    final double pts = 0.01;
    final double eurUsd = 1.25;
    final double notional = 123000000;
    final FXMatrix fxMatrix = new FXMatrix(EUR, USD, eurUsd);
    final GeneratorAttributeFX attribute = new GeneratorAttributeFX(tenor, fxMatrix);
    final ForexSwapDefinition insGenerated = GENERATOR_FX_EURUSD.generateInstrument(referenceDate, pts, notional, attribute);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, tenor, BUSINESS_DAY, CALENDAR, IS_EOM);
    final ForexSwapDefinition insExpected = new ForexSwapDefinition(EUR, USD, startDate, endDate, notional, eurUsd, pts);
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    multicurves.setCurve(KRW, KRW_DSC);
    return multicurves;
  }

  public static MulticurveProviderDiscount createMulticurvesEURUSD() {
    FXMatrix fxMatrix = new FXMatrix(USD, EUR, 1.0d / EUR_USD);
    final MulticurveProviderDiscount multicurves = new MulticurveProviderDiscount(fxMatrix);
    multicurves.setCurve(EUR, EUR_DSC);
    multicurves.setCurve(USD, USD_DSC);
    return multicurves;
  }
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   */
  public void currencyExposure() {
    final MultipleCurrencyAmount ce = METHOD_BARRIER.currencyExposure(OPTION_BARRIER, SMILE_FLAT_MULTICURVES);
    final double shiftSpotEURUSD = 1E-6;
    final MultipleCurrencyAmount pv = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_FLAT_MULTICURVES);
    final FXMatrix fxMatrixShift = new FXMatrix(EUR, USD, SPOT + shiftSpotEURUSD);
    final MulticurveProviderDiscount multicurvesShiftedFX = MULTICURVES.copy();
    multicurvesShiftedFX.setForexMatrix(fxMatrixShift);
    final BlackForexSmileProviderDiscount smileBumpedSpot = new BlackForexSmileProviderDiscount(multicurvesShiftedFX, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount pvBumpedSpot = METHOD_BARRIER.presentValue(OPTION_BARRIER, smileBumpedSpot);
    final double ceDomesticFD = (pvBumpedSpot.getAmount(USD) - pv.getAmount(USD));
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          final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
          final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
          final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
          curveNodes.put(impliedDepositCurveName, t);
          interpolators.put(impliedDepositCurveName, interpolator);
          final FXMatrix fxMatrix = new FXMatrix();
          final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
          final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
          final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
          final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
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      final Clock snapshotClock = executionContext.getValuationClock();
      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final Forex forex = getForex(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
      final Currency currency1 = forex.getCurrency1();
      final Currency currency2 = forex.getCurrency2();
      if (pairs.getCurrencyPair(currency1, currency2).getBase().equals(currency1)) {
        final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
            CurrencyPair.TYPE.specification(CurrencyPair.of(currency2, currency1))));
        fxMatrix.addCurrency(currency1, currency2, spotRate);
      } else {
        final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
            CurrencyPair.TYPE.specification(CurrencyPair.of(currency2, currency1))));
        fxMatrix.addCurrency(currency2, currency1, 1 / spotRate);
      }
      return getValues(inputs, target, desiredValues, forex, fxMatrix, now);
    }
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      return DISCOUNTING;
    }

    @Override
    protected InflationProviderInterface getKnownData(final FunctionInputs inputs) {
      final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
      //TODO requires that the discounting curves are supplied externally
      InflationProviderDiscount knownData;
      if (getExogenousRequirements().isEmpty()) {
        knownData = new InflationProviderDiscount(fxMatrix);
      } else {
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    final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
    final Decomposition<?> decomposition = DecompositionFactory.getDecomposition(decompositionName);
    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PV_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PV_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    if (security instanceof FXOptionSecurity) {
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
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    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    curveNodes.put(curveName, nodeTimes);
    interpolators.put(curveName, getInterpolator(specificationWithSecurities));
    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    try {
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