Package com.opengamma.analytics.financial.interestrate.future.derivative

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity

96
97
98
99
100
101
102
103
104
105
  }

  @Test
  public void toDerivative() {
    final double expirationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureSecurity underlyingFuture = ERU2.toDerivative(REFERENCE_DATE);
    final InterestRateFutureOptionMarginSecurity security = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, STRIKE, IS_CALL);
    final InterestRateFutureOptionMarginSecurity convertedSecurity = OPTION_ERU2.toDerivative(REFERENCE_DATE);
    assertTrue("Rate future option with margining security converter", security.equals(convertedSecurity));
  }
View Full Code Here
106
107
108
109
110
111
112
113
114
115
  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeDeprecated() {
    final double expirationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureSecurity underlyingFuture = ERU2.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final InterestRateFutureOptionMarginSecurity security = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, STRIKE, IS_CALL);
    final InterestRateFutureOptionMarginSecurity convertedSecurity = OPTION_ERU2.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    assertTrue("Rate future option with margining security converter", security.equals(convertedSecurity));
  }
View Full Code Here
92
93
94
95
96
97
98
99
100
101
  /**
   * Tests the toDerivative method.
   */
  public void toDerivative() {
    final InterestRateFutureOptionPremiumSecurity optionEDU2Converted = OPTION_EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final InterestRateFutureSecurity future = EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureOptionPremiumSecurity optionEDU2 = new InterestRateFutureOptionPremiumSecurity(future, expirationTime, STRIKE, IS_CALL);
    assertEquals("Option on future: to derivative", optionEDU2, optionEDU2Converted);
  }
View Full Code Here
110
111
112
113
114
115
116
117
118
119
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeDeprecated() {
    final InterestRateFutureOptionPremiumSecurity optionEDU2Converted = OPTION_EDU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    final InterestRateFutureSecurity future = EDU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureOptionPremiumSecurity optionEDU2 = new InterestRateFutureOptionPremiumSecurity(future, expirationTime, STRIKE, IS_CALL);
    assertEquals("Option on future: to derivative", optionEDU2, optionEDU2Converted);
  }
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
    final double referencePrice = 0.99;
    final String name = "ERU2";
    final LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18);
    final ZonedDateTime REFERENCE_DATE_ZONED = ZonedDateTime.of(LocalDateTime.of(REFERENCE_DATE, LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final InterestRateFutureSecurityDefinition eru2Definition = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, noitonal, futuresAccrualFactor, name, calendar);
    final InterestRateFutureSecurity eru2 = eru2Definition.toDerivative(REFERENCE_DATE_ZONED, referencePrice);
    final double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
    final double expectedFactor = 1.000079130767980;
    assertEquals("Hull-White one factor: future convexity adjusment factor", expectedFactor, factor, TOLERANCE_RATE);
    // Derivative with respect to volatility parameters
    final int nbSigma = MODEL_PARAMETERS.getVolatility().length;
    final double[] sigmaBar = new double[nbSigma];
    final double factor2 = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime(), sigmaBar);
    assertEquals("Hull-White one factor: future convexity adjusment factor", factor, factor2, TOLERANCE_RATE);
    final double[] sigmaBarExpected = new double[nbSigma];
    final double shift = 1E-6;
    for (int loops = 0; loops < nbSigma; loops++) {
      double[] volBumped = VOLATILITY.clone();
      volBumped[loops] += shift;
      HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volBumped, VOLATILITY_TIME);
      double factorPlus = MODEL.futuresConvexityFactor(parametersBumped, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
      volBumped[loops] -= 2 * shift;
      parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volBumped, VOLATILITY_TIME);
      double factorMinus = MODEL.futuresConvexityFactor(parametersBumped, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
      sigmaBarExpected[loops] = (factorPlus - factorMinus) / (2 * shift);
      assertEquals("Hull-White one factor: future convexity adjusment factor", sigmaBarExpected[loops], sigmaBar[loops], TOLERANCE_RATE);
    }
  }
View Full Code Here
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
   */
  public void deltaVsCurveSensitivity() {

    final double dOptionDFuture = METHOD_SECURITY_OPTION_BLACK.optionPriceDelta(OPTION_ERU2, BLACK_BUNDLE);
    final YieldAndDiscountCurve fwdCurve = BLACK_BUNDLE.getCurve(OPTION_ERU2.getForwardCurveName());
    final InterestRateFutureSecurity future = OPTION_ERU2.getUnderlyingFuture();
    final double tStart = future.getFixingPeriodStartTime();
    final double tEnd = future.getFixingPeriodEndTime();
    final double tau = future.getFixingPeriodAccrualFactor();
    final double dfStart = fwdCurve.getDiscountFactor(tStart);
    final double dfEnd = fwdCurve.getDiscountFactor(tEnd);
    final double dFdrStart = (tStart * dfStart) / (tau * dfEnd);
    final double dFdrEnd = (-tEnd * dfStart) / (tau * dfEnd);

    final InterestRateCurveSensitivity methodSens = METHOD_SECURITY_OPTION_BLACK.priceCurveSensitivity(OPTION_ERU2, BLACK_BUNDLE);
    final double sensStart = methodSens.getSensitivities().get(future.getForwardCurveName()).get(0).getSecondDouble();
    final double sensEnd = methodSens.getSensitivities().get(future.getForwardCurveName()).get(1).getSecondDouble();

    assertEquals("dOption / dRateStart: ", sensStart, dOptionDFuture * dFdrStart, 1.0e-8);
    assertEquals("dOption / dRateEnd: ", sensEnd, dOptionDFuture * dFdrEnd, 1.0e-8);
  }
View Full Code Here
202
203
204
205
206
207
208
209
210
211
212
    @Override
    public Double visitInterestRateFutureOptionPremiumSecurity(final InterestRateFutureOptionPremiumSecurity option) {
      final double t = option.getExpirationTime();
      final double k = option.getStrike();
      final boolean isCall = option.isCall();
      final InterestRateFutureSecurity irFuture = option.getUnderlyingFuture();
      final double f = 1 - _futurePricer.price(irFuture, _curves);
      final BlackFunctionData blackData = new BlackFunctionData(f, 1, 0);
      final EuropeanVanillaOption vanillaOption = new EuropeanVanillaOption(k, t, isCall);
      final HestonCharacteristicExponent ce = getModelParameters(_target, _inputs, t, k);
      return _fourierPricer.price(blackData, vanillaOption, ce, _alpha, _tolerance, true);
View Full Code Here
220
221
222
223
224
225
226
227
228
229
230
    @Override
    public Double visitInterestRateFutureOptionMarginSecurity(final InterestRateFutureOptionMarginSecurity option) {
      final double t = option.getExpirationTime();
      final double k = option.getStrike();
      final boolean isCall = option.isCall();
      final InterestRateFutureSecurity irFuture = option.getUnderlyingFuture();
      final double f = 1 - _futurePricer.price(irFuture, _curves);
      final BlackFunctionData blackData = new BlackFunctionData(f, 1, 1e-6);
      final EuropeanVanillaOption vanillaOption = new EuropeanVanillaOption(k, t, isCall);
      final HestonCharacteristicExponent ce = getModelParameters(_target, _inputs, t, k);
      return _fourierPricer.price(blackData, vanillaOption, ce, _alpha, _tolerance, true);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity

  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginBlackSurfaceMethodTest
  • com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModelTest
  • com.opengamma.financial.analytics.model.irfutureoption.InterestRateFutureOptionHestonPresentValueFunction$MyDerivativeVisitor
    • 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.