Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

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    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(shiftedCurves);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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      @Override
      public double getVolatility(final double time, final double strike, final double forward) {
        return volatilityData.getVolatility(time + shiftTime, strike, forward);
      }
    };
    return new SmileDeltaTermStructureDataBundle(shiftedCurves, smile, currencyPair);
  }
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      @Override
      public double getVolatility(final double time, final double strike, final double forward) {
        return volatilityData.getVolatility(time + shiftTime, strike, forward);
      }
    };
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(smile);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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   * @return The gamma.
   */
  public CurrencyAmount gammaSpot(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves, final boolean directQuote) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final PaymentFixed paymentCurrency2 = underlyingOption.getUnderlyingForex().getPaymentCurrency2();
    final double sign = (optionForex.getUnderlyingOption().isLong() ? 1.0 : -1.0);
    final double gammaDirect = gammaFd(optionForex, smile).getAmount() * sign;
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    if (directQuote) {
      return CurrencyAmount.of(paymentCurrency2.getCurrency(), gammaDirect);
    }
    final double deltaDirect = spotDeltaTheoretical(optionForex, curves) * sign;
    final double gamma = (gammaDirect * spot + 2 * deltaDirect) * spot * spot * spot;
 
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   * @return The theta
   */
  public CurrencyAmount forwardTheta(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);
    final ForexOptionVanilla upOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() + DEFAULT_THETA_SHIFT,
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   * @return The theta
   */
  public double thetaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);
    final ForexOptionVanilla upOption = new ForexOptionVanilla(underlyingOption.getUnderlyingForex(), underlyingOption.getTimeToExpiry() + DEFAULT_THETA_SHIFT,
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   * @return The theta
   */
  public double forwardDriftlessThetaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    final String domesticCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = underlyingOption.getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double foreignAmount = underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        underlyingOption.getTimeToExpiry(), underlyingOption.getStrike(), forward);
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   * @return The spot gamma
   */
  public double forwardGammaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final String domesticCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime();
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    return spotGammaTheoretical(optionForex, curves) * dfDomestic / (dfForeign * dfForeign);
  }
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   * @return Gamma
   */
  public double spotGammaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    // repackage for calls to BARRIER_FUNCTION
    final String domesticCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime();
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * Math.exp(-rateForeign * payTime) / Math.exp(-rateDomestic * payTime);
    final double foreignAmount = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike(), forward);
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   * @return Vomma as a SurfaceValue (point, value)
   */
  public double forwardVegaTheoretical(final ForexOptionSingleBarrier optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    // repackage for calls to BARRIER_FUNCTION
    final String domesticCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime();
    final double rateDomestic = smile.getCurve(domesticCurveName).getInterestRate(payTime);
    final double rateForeign = smile.getCurve(foreignCurveName).getInterestRate(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * Math.exp(-rateForeign * payTime) / Math.exp(-rateDomestic * payTime);
    final double foreignAmount = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getAmount();
    final double rebateByForeignUnit = optionForex.getRebate() / Math.abs(foreignAmount);
    final double vol = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike(), forward);
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