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

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

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   * @return The implied volatility.
   */
  public double impliedVolatility(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 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 volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getUnderlyingOption()
        .getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike(), forward);
    return volatility;
  }
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   * @return The delta.
   */
  public CurrencyAmount delta(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 double deltaRelative = deltaRelative(optionForex, smile, directQuote);
    final ForexOptionVanilla underlyingOption = optionForex.getUnderlyingOption();
    return CurrencyAmount.of(underlyingOption.getUnderlyingForex().getCurrency2(), deltaRelative * Math.abs(underlyingOption.getUnderlyingForex().getPaymentCurrency1().getAmount()));
  }
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   * @return The forward delta
   */
  public double forwardDeltaTheoretical(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 foreignCurveName = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    final double payTime = optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime();
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    return spotDeltaTheoretical(optionForex, curves) / dfForeign;
  }
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   * @return The spot delta
   */
  public double spotDeltaTheoretical(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 = 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);
    final double[] adjoint = new double[5];
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    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    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 SmileDeltaTermStructureDataBundle tomorrowData = data.with(data);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    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 SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    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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   * @return The implied volatility.
   */
  public double impliedVolatility(final ForexOptionDigital 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;
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    // Forward sweep
    final Currency domesticCcy;
    final Currency foreignCcy;
    final String foreignCurveName;
    final String domesticCurveName;
    if (optionForex.payDomestic()) {
      foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
      domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency1();
    } else {
      foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
      domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency1();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency2();
    }
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(foreignCcy, domesticCcy);
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, foreignCcy, domesticCcy, optionForex.getExpirationTime(), forward, forward);
    return volatility;
  }
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   * @return The delta.
   */
  public CurrencyAmount delta(final ForexOptionDigital 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 double deltaRelative = deltaRelative(optionForex, smile, directQuote);
    final Currency domesticCcy;
    if (optionForex.payDomestic()) {
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
    } else {
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   * @return The gamma.
   */
  public CurrencyAmount gamma(final ForexOptionDigital 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 Currency domesticCcy;
    if (optionForex.payDomestic()) {
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
    } else {
      domesticCcy = optionForex.getUnderlyingForex().getCurrency1();
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