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

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

237
238
239
240
241
242
243
244
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex()
        .getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
View Full Code Here
562
563
564
565
566
567
568
569
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
View Full Code Here
178
179
180
181
182
183
184
185
        for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
          vega[loopexp][loopstrike] += nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
        }
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionDigital.getUnderlyingForex().getCurrency1(), optionDigital.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
View Full Code Here
310
311
312
313
314
315
316
317
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
View Full Code Here
238
239
240
241
242
243
244
245
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getCurrency1(), optionForex.getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()),
        new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
View Full Code Here
490
491
492
493
494
495
496
497
498
499
500
501
502
503
  @Test
  /**
   * Tests present value volatility quote sensitivity.
   */
  public void volatilityQuoteSensitivity() {
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle sensiStrike = METHOD_BLACK_DIGITAL.presentValueBlackVolatilityNodeSensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    final double[][] sensiQuote = METHOD_BLACK_DIGITAL.presentValueBlackVolatilityNodeSensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES).quoteSensitivity().getVega();
    final double[][] sensiStrikeData = sensiStrike.getVega().getData();
    final double[] atm = new double[sensiQuote.length];
    final int nbDelta = SMILE_TERM.getDelta().length;
    for (int loopexp = 0; loopexp < sensiQuote.length; loopexp++) {
      for (int loopdelta = 0; loopdelta < nbDelta; loopdelta++) {
        assertEquals("Forex Digital option: vega quote - RR", sensiQuote[loopexp][1 + loopdelta], -0.5 * sensiStrikeData[loopexp][loopdelta] + 0.5
View Full Code Here
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    if (data instanceof SmileDeltaTermStructureDataBundle) {
      final PresentValueForexBlackVolatilityNodeSensitivityDataBundle result = forex.accept(CALCULATOR, (SmileDeltaTermStructureDataBundle) data);
      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] = VegaMatrixUtils.getFXVolatilityFormattedExpiry(expiries[j]);
          }
View Full Code Here
192
193
194
195
196
197
198
199
200
201
202
203
204
205
  @Test
  /**
   * Tests the present value curve sensitivity of NDO by comparison with vanilla European options.
   */
  public void presentValueVolatilityNodeSensitivity() {
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsNDO = METHOD_NDO.presentValueVolatilityNodeSensitivity(NDO, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsFXO = METHOD_FXO.presentValueBlackVolatilityNodeSensitivity(FOREX_OPT, SMILE_MULTICURVES);
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      for (int loopstrike = 0; loopstrike < nsNDO.getDelta().getNumberOfElements(); loopstrike++) {
        assertEquals("Forex non-deliverable option: vega node", nsFXO.getVega().getEntry(loopexp, loopstrike), nsNDO.getVega().getEntry(loopexp, loopstrike),
            TOLERANCE_PV_DELTA);
      }
    }
  }
View Full Code Here
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
  @Test
  /**
   * Tests present value volatility node sensitivity.
   */
  public void volatilityNodeSensitivity() {
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle sensi = METHOD_OPTION
        .presentValueBlackVolatilityNodeSensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega node size", NB_EXP + 1, sensi.getVega().getData().length);
    assertEquals("Forex vanilla option: vega node size", NB_STRIKE, 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_OPTION.presentValueBlackVolatilitySensitivity(FOREX_CALL_OPTION, 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 volAndSensitivities = SMILE_TERM.getVolatilityAndSensitivities(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE);
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      for (int loopstrike = 0; loopstrike < NB_STRIKE; loopstrike++) {
        assertEquals("Forex vanilla option: vega node", nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point),
            sensi.getVega().getData()[loopexp][loopstrike]);
      }
    }
  }
View Full Code Here
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsCallEURUSD = METHOD_OPTION
        .presentValueBlackVolatilityNodeSensitivity(callEURUSD, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(putUSDEUR, SMILE_MULTICURVES);
    for (int loopexp = 0; loopexp < nsCallEURUSD.getExpiries().getNumberOfElements(); loopexp++) {
      for (int loopdelta = 0; loopdelta < nsCallEURUSD.getDelta().getNumberOfElements(); loopdelta++) {
        assertEquals("Forex vanilla option: volatilityNode", nsCallEURUSD.getVega().getEntry(loopexp, loopdelta) / SPOT,
            nsPutUSDEUR.getVega().getEntry(loopexp, loopdelta), 1.0E-2);
      }
    }
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityNodeSensitivityDataBundle

  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
    • 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.