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

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

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    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getExpiryTime(), (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getCurrency1(), optionForex.getCurrency2(), result);
    return sensi;
  }
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    Validate.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double paymentTime = optionForex.getUnderlyingNDF().getPaymentTime();
    final double expiryTime = optionForex.getExpiryTime();
    final double strike = 1.0 / optionForex.getStrike(); // The strike is 1 ccy2=X ccy1; we want the price in ccy2 => we need 1 ccy1 = 1/X ccy2.
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double dfDelivery = multicurves.getDiscountFactor(optionForex.getCurrency2(), paymentTime);
    final double dfNonDelivery = multicurves.getDiscountFactor(optionForex.getCurrency1(), paymentTime);
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfNonDelivery / dfDelivery;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionForex.getCurrency1(), optionForex.getCurrency2(), expiryTime, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(expiryTime, (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    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));
  }
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    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 PresentValueForexBlackVolatilitySensitivity vsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilitySensitivity(callEURUSD, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity vsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilitySensitivity(putUSDEUR, SMILE_MULTICURVES);
    final DoublesPair point = DoublesPair.of(callEURUSD.getTimeToExpiry(), strike);
    assertEquals("Forex vanilla option: volatilityNode", vsCallEURUSD.getVega().getMap().get(point) / SPOT, vsPutUSDEUR.getVega().getMap().get(point), 1.0E-2);
  }
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        .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]);
      }
    }
  }
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        final double time = ((FudgeMsg) vegaEntryFields.get(i).getValue()).getDouble(TIME_FIELD_NAME);
        final double strike = ((FudgeMsg) vegaEntryFields.get(i).getValue()).getDouble(STRIKE_FIELD_NAME);
        final Double vegaValue = ((FudgeMsg) vegaEntryFields.get(i).getValue()).getDouble(VEGA_FIELD_NAME);
        vega.add(DoublesPair.of(time, strike), vegaValue);
      }
      return new PresentValueForexBlackVolatilitySensitivity(firstCurrency, secondCurrency, vega);
    }
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  @Override
  protected Object computeValues(final Set<ForexOptionVanilla> vanillaOptions, final ForexOptionDataBundle<?> market) {
    Validate.isTrue(market instanceof SmileDeltaTermStructureDataBundle, "FXOneLookBarrierOptionBlackVegaFunction requires a Vol surface with a smile.");
    double sum = 0.0;
    for (final ForexOptionVanilla derivative : vanillaOptions) {
      final PresentValueForexBlackVolatilitySensitivity result = derivative.accept(CALCULATOR, market);
      final CurrencyAmount vegaValue = result.toSingleValue();
      sum += vegaValue.getAmount();
    }
    return sum;
  }
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  /**
   * Tests present value volatility sensitivity.
   */
  public void volatilitySensitivity() {
    final double shift = 1.0E-6;
    final PresentValueForexBlackVolatilitySensitivity sensi = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    final DoublesPair point = new DoublesPair(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), STRIKE);
    assertEquals("Forex Digital option: vega", currencyPair, sensi.getCurrencyPair());
    assertEquals("Forex Digital option: vega size", 1, sensi.getVega().getMap().entrySet().size());
    assertTrue("Forex Digital option: vega", sensi.getVega().getMap().containsKey(point));
    final double strike = FOREX_DIGITAL_CALL_DOM.getStrike();
    final int omega = FOREX_DIGITAL_CALL_DOM.isCall() ? 1 : -1;
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, FOREX_DIGITAL_CALL_DOM.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, FOREX_DIGITAL_CALL_DOM.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strike, forward));
    final double sigmaRootTPlus = (volatility + shift) * Math.sqrt(FOREX_DIGITAL_CALL_DOM.getExpirationTime());
    final double dMPlus = Math.log(forward / strike) / sigmaRootTPlus - 0.5 * sigmaRootTPlus;
    final double pvPlus = Math.abs(FOREX_DIGITAL_CALL_DOM.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMPlus)
        * (FOREX_DIGITAL_CALL_DOM.isLong() ? 1.0 : -1.0);
    final double sigmaRootTMinus = (volatility - shift) * Math.sqrt(FOREX_DIGITAL_CALL_DOM.getExpirationTime());
    final double dMMinus = Math.log(forward / strike) / sigmaRootTMinus - 0.5 * sigmaRootTMinus;
    final double pvMinus = Math.abs(FOREX_DIGITAL_CALL_DOM.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMMinus)
        * (FOREX_DIGITAL_CALL_DOM.isLong() ? 1.0 : -1.0);
    assertEquals("Forex Digital option: vega", (pvPlus - pvMinus) / (2 * shift), sensi.getVega().getMap().get(point), TOLERANCE_PV);
    final ForexOptionDigitalDefinition optionShortDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionDigital optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(optionShort, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionDigitalDefinition optionShortPutDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, IS_LONG);
    final ForexOptionDigital optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, TOLERANCE_PV);
  }
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  @Test
  /**
   * Test the present value curve sensitivity through the method and through the calculator.
   */
  public void volatilitySensitivityMethodVsCalculator() {
    final PresentValueForexBlackVolatilitySensitivity pvvsMethod = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvvsCalculator = FOREX_DIGITAL_CALL_DOM.accept(PVVSFBSC, SMILE_MULTICURVES);
    assertEquals("Forex present value curve sensitivity: Method vs Calculator", pvvsMethod, pvvsCalculator);
  }
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  @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 PresentValueForexBlackVolatilitySensitivity result = forex.accept(CALCULATOR, data);
      final CurrencyAmount vegaValue = result.toSingleValue();
      final double scale = Double.parseDouble(desiredValues.iterator().next().getConstraint(ValuePropertyNames.SCALE));
      return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount() * scale));
    }
    throw new OpenGammaRuntimeException("Can only calculate vega for surfaces with smiles");
  }
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  @Test
  /**
   * Tests the present value curve sensitivity of NDO by comparison with vanilla European options.
   */
  public void presentValueVolatilitySensitivity() {
    final PresentValueForexBlackVolatilitySensitivity pvvsNDO = METHOD_NDO.presentValueBlackVolatilitySensitivity(NDO, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvvsFXO = METHOD_FXO.presentValueBlackVolatilitySensitivity(FOREX_OPT, SMILE_MULTICURVES);
    final DoublesPair point = DoublesPair.of(NDO.getExpiryTime(), NDO.getStrike());
    assertEquals("Forex non-deliverable option: present value curve sensitivity", pvvsFXO.getVega().getMap().get(point), pvvsNDO.getVega().getMap().get(point),
        TOLERANCE_PV_DELTA);
  }
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