Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

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  public void toDerivativeDeprecated() {
    final String discountingEUR = "Discounting EUR";
    final String discountingUSD = "Discounting USD";
    final String[] curves_name = new String[] {discountingEUR, discountingUSD};
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
    final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate, curves_name);
    final Forex fx = FX_DEFINITION.toDerivative(referenceDate, curves_name);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
    final ForexOptionDigital optionConstructed = new ForexOptionDigital(fx, expirationTime, IS_CALL, IS_LONG, PAY_DOM);
    assertEquals("Convertion to derivative", optionConstructed, optionConverted);
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  /**
   * Tests the conversion to derivative.
   */
  public void toDerivative() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
    final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate);
    final Forex fx = FX_DEFINITION.toDerivative(referenceDate);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
    final ForexOptionDigital optionConstructed = new ForexOptionDigital(fx, expirationTime, IS_CALL, IS_LONG, PAY_DOM);
    assertEquals("Convertion to derivative", optionConstructed, optionConverted);
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedONDefinition) {
          ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
        } else {
          if (instrument instanceof SwapFixedIborDefinition) {
            ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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  public void toDerivativeDeprecated() {
    final String discountingEUR = "Discounting EUR";
    final String discountingUSD = "Discounting USD";
    final String[] curves_name = new String[] {discountingEUR, discountingUSD};
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
    final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate, curves_name);
    final Forex fx = FX_DEFINITION.toDerivative(referenceDate, curves_name);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
    final ForexOptionVanilla optionConstructed = new ForexOptionVanilla(fx, expirationTime, IS_CALL, IS_LONG);
    assertEquals("Convertion to derivative", optionConstructed, optionConverted);
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
    } else {
      if (instrument instanceof SwapFixedIborDefinition) {
        ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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  /**
   * Tests the conversion to derivative.
   */
  public void toDerivative() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 20);
    final InstrumentDerivative optionConverted = FX_OPTION_DEFINITION.toDerivative(referenceDate);
    final Forex fx = FX_DEFINITION.toDerivative(referenceDate);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double expirationTime = actAct.getDayCountFraction(referenceDate, EXPIRATION_DATE);
    final ForexOptionVanilla optionConstructed = new ForexOptionVanilla(fx, expirationTime, IS_CALL, IS_LONG);
    assertEquals("Convertion to derivative", optionConstructed, optionConverted);
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedONDefinition) {
          ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
        } else {
          if (instrument instanceof SwapFixedIborDefinition) {
            ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
    } else {
      if (instrument instanceof SwapFixedIborDefinition) {
        ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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   */
  public void currencyExposureVsPresentValue() {
    final MultipleCurrencyAmount pv = METHOD_BLACK_TS.presentValue(CALL_LONG, BUNDLE_BLACK_TS);
    final MultipleCurrencyAmount ce = METHOD_BLACK_TS.currencyExposure(CALL_LONG, BUNDLE_BLACK_TS);
    assertEquals("Forex vanilla option: currency exposure vs present value", ce.getAmount(USD) + ce.getAmount(EUR) * SPOT, pv.getAmount(USD), TOLERANCE_PV);
    final InstrumentDerivative instrument = CALL_LONG;
    final MultipleCurrencyAmount ce2 = METHOD_BLACK_TS.currencyExposure(instrument, BUNDLE_BLACK_TS);
    assertEquals("Forex vanilla option: currency exposure", ce.getAmount(USD), ce2.getAmount(USD), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure", ce.getAmount(EUR), ce2.getAmount(EUR), TOLERANCE_PV);
  }
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedONDefinition) {
          ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
        } else {
          ird = instrument.toDerivative(NOW);
        }
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Related Classes of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

  • com.opengamma.analytics.financial.curve.interestrate.building.MultipleYieldCurveFinderGeneratorJacobian
  • com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexSwapDefinitionTest
  • com.opengamma.analytics.financial.forex.method.ForexDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexNonDeliverableForwardDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
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