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

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

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  @Test
  /**
   * Tests present value volatility quote sensitivity.
   */
  public void volatilityQuoteSensitivity() {
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle sensiStrike = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(FOREX_CALL_OPTION,
        SMILE_MULTICURVES);
    final double[][] sensiQuote = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES).quoteSensitivity().getVega();
    final double[][] sensiStrikeData = sensiStrike.getVega().getData();
    final double[] atm = new double[sensiQuote.length];
    for (int loopexp = 0; loopexp < sensiQuote.length; loopexp++) {
      for (int loopdelta = 0; loopdelta < DELTA.length; loopdelta++) {
        assertEquals("Forex vanilla option: vega quote - RR", sensiQuote[loopexp][1 + loopdelta], -0.5 * sensiStrikeData[loopexp][loopdelta] + 0.5
            * sensiStrikeData[loopexp][2 * DELTA.length - loopdelta], 1.0E-10);
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   * Tests present value volatility node sensitivity.
   */
  public void presentValueBlackVolatilityNodeSensitivity() {
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle sensi = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilityNodeSensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega node size", SMILE_TERM.getNumberExpiration(), sensi.getVega().getData().length);
    assertEquals("Forex vanilla option: vega node size", SMILE_TERM.getNumberStrike(), sensi.getVega().getData()[0].length);
    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivitiesDown = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM,
        forward);
    final VolatilityAndBucketedSensitivities volAndSensitivitiesUp = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP,
        forward);
    final double[][] nodeWeightM = volAndSensitivitiesDown.getBucketedSensitivities();
    final double[][] nodeWeightP = volAndSensitivitiesUp.getBucketedSensitivities();
    final DoublesPair pointM = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM);
    final DoublesPair pointP = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP);
    for (int loopexp = 0; loopexp < SMILE_TERM.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < SMILE_TERM.getNumberStrike(); loopstrike++) {
        assertEquals("Forex vanilla digital: vega node", nodeWeightM[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointM)
            + nodeWeightP[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointP), sensi.getVega().getData()[loopexp][loopstrike], TOLERANCE_DELTA);
      }
    }
  }
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  protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle result = fxDigital.accept(calculator, (SmileDeltaTermStructureDataBundle) data.getVolatilityModel());
    final double[] expiries = result.getExpiries().getData();
    final double[] delta = result.getDelta().getData();
    final double[][] vega = result.getVega().getData();
    final int nDelta = delta.length;
    final int nExpiries = expiries.length;
    final Double[] rowValues = new Double[nExpiries];
    final String[] rowLabels = new String[nExpiries];
    final Double[] columnValues = new Double[nDelta];
    final String[] columnLabels = new String[nDelta];
    final double[][] values = new double[nDelta][nExpiries];
    for (int i = 0; i < nDelta; i++) {
      columnValues[i] = delta[i];
      columnLabels[i] = "P" + DELTA_FORMATTER.format(delta[i] * 100) + " " + result.getCurrencyPair().getFirst() + "/" + result.getCurrencyPair().getSecond();
      for (int j = 0; j < nExpiries; j++) {
        if (i == 0) {
          rowValues[j] = expiries[j];
          rowLabels[j] = getFormattedExpiry(expiries[j]);
        }
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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueForexBlackVolatilityNodeSensitivityDataBundle vegas = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VEGA_MATRIX, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXMatrix(vegas)));
      }
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