Package com.opengamma.analytics.financial.interestrate

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

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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 InterestRateFutureTransactionDefinition) {
            ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
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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 InterestRateFutureTransactionDefinition) {
        ird = ((InterestRateFutureTransactionDefinition) instrument).toDerivative(NOW, 0.0); // Trade date = today, reference price not used.
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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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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    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 InstrumentDerivative callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final InstrumentDerivative putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.presentValue(callEURUSD, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.presentValue(putUSDEUR, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvCallEURUSD.getAmount(USD) / SPOT, pvPutUSDEUR.getAmount(EUR), 1E-2);
  }
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    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvMethod = METHOD_OPTION.presentValue(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), 1E-2);
  }
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  /**
   * Tests the present value long/short parity.
   */
  public void presentValueLongShort() {
    final ForexOptionVanillaDefinition forexOptionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final InstrumentDerivative forexOptionShort = forexOptionShortDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvShort = METHOD_OPTION.presentValue(forexOptionShort, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvLong = METHOD_OPTION.presentValue(FOREX_CALL_OPTION, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: present value long/short parity", pvLong.getAmount(USD), -pvShort.getAmount(USD), 1E-2);
    final MultipleCurrencyAmount ceShort = METHOD_OPTION.currencyExposure(forexOptionShort, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceLong = METHOD_OPTION.currencyExposure(FOREX_CALL_OPTION, SMILE_BUNDLE);
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    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 InstrumentDerivative callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final InstrumentDerivative putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.currencyExposure(callEURUSD, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.currencyExposure(putUSDEUR, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(EUR), pvPutUSDEUR.getAmount(EUR), 1.0E-2);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(USD), pvPutUSDEUR.getAmount(USD), 1.0E-2);
  }
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    final double notional = 100000000;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount ceMethod = METHOD_OPTION.currencyExposure(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), 1E-2);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), 1E-2);
  }
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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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