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

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

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    final double shift = 1.0E-6;
    final FXMatrix fxMatrixM = new FXMatrix(EUR, USD, SPOT * (1 - shift));
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT * (1 + shift));
    final YieldCurveBundle fxDown = new YieldCurveBundle(fxMatrixM, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle fxUp = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundleM = new SmileDeltaTermStructureDataBundle(fxDown, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(fxUp, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 1;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
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    final double shift = 1.0E-6;
    final FXMatrix fxMatrixM = new FXMatrix(EUR, USD, SPOT - shift);
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final YieldCurveBundle fxDown = new YieldCurveBundle(fxMatrixM, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle fxUp = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundleM = new SmileDeltaTermStructureDataBundle(fxDown, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(fxUp, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 1;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
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    final double shift = 1.0E-6;
    final FXMatrix fxMatrixM = new FXMatrix(EUR, USD, SPOT - shift);
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final YieldCurveBundle fxDown = new YieldCurveBundle(fxMatrixM, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle fxUp = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundleM = new SmileDeltaTermStructureDataBundle(fxDown, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(fxUp, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 1;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
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    final double shift = 1.0E-6;
    final FXMatrix fxMatrixM = new FXMatrix(EUR, USD, SPOT * (1 - shift));
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT * (1 + shift));
    final YieldCurveBundle fxDown = new YieldCurveBundle(fxMatrixM, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle fxUp = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundleM = new SmileDeltaTermStructureDataBundle(fxDown, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(fxUp, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 1;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
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    final double shift = 1.0E-6;
    final FXMatrix fxMatrixM = new FXMatrix(EUR, USD, SPOT * (1 - shift));
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT * (1 + shift));
    final YieldCurveBundle fxDown = new YieldCurveBundle(fxMatrixM, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle fxUp = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundleM = new SmileDeltaTermStructureDataBundle(fxDown, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(fxUp, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final double strike = 1.45;
    final boolean isCall = true;
    final boolean isLong = true;
    final double notional = 1;
    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
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   */
  public void presentValueDoubleQuadratic() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = TestsDataSetsForex.smile3points(REFERENCE_DATE, interpolator);
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(CURVES, smileTerm, Pair.of(EUR, USD));
    final double strikeM = STRIKE * (1 - STANDARD_SPREAD);
    final double strikeP = STRIKE * (1 + STANDARD_SPREAD);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeP));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
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    final double shift = 0.000005;
    final FXMatrix fxMatrix = new FXMatrix(EUR, USD, SPOT);
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final YieldCurveBundle curves = new YieldCurveBundle(fxMatrix, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final YieldCurveBundle curvesP = new YieldCurveBundle(fxMatrixP, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curves, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final SmileDeltaTermStructureDataBundle smileBundleP = new SmileDeltaTermStructureDataBundle(curvesP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_FOR, smileBundle);
    final MultipleCurrencyAmount pv = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, smileBundle);
    final MultipleCurrencyAmount pvP = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, smileBundleP);
    assertEquals("Forex Digital option: call spread method - currency exposure - PL EUR", pvP.getAmount(EUR) - pv.getAmount(EUR), ce.getAmount(USD) * (1.0 / (SPOT + shift) - 1 / SPOT), TOLERANCE_PV);
    assertEquals("Forex Digital option: call spread method - currency exposure - PL USD", pvP.getAmount(EUR) * (SPOT + shift) - pv.getAmount(EUR) * SPOT, ce.getAmount(EUR) * (SPOT + shift - SPOT),
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   */
  public void profile() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = TestsDataSetsForex.smile5points(REFERENCE_DATE, interpolator);
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(CURVES, smileTerm, Pair.of(EUR, USD));

    final int nbStrike = 100;
    final double range = 0.40; // Spot = 1.40
    final double shift = 2 * range / nbStrike;
    final double[] strike = new double[nbStrike + 1];
    final ForexOptionDigital[] forexOptionDigital = new ForexOptionDigital[nbStrike + 1];
    final ForexOptionVanilla[] forexOptionVanilla = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = SPOT - range + loopstrike * shift;
      final ForexDefinition forexDefinitonUSD = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -NOTIONAL / strike[loopstrike], NOTIONAL);
      final ForexDefinition forexDefinitonEUR = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -1.0, strike[loopstrike]);
      final ForexOptionDigitalDefinition forexOptionDigitalDefiniton = new ForexOptionDigitalDefinition(forexDefinitonUSD, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      final ForexOptionVanillaDefinition forexOptionVanillaDefiniton = new ForexOptionVanillaDefinition(forexDefinitonEUR, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      forexOptionDigital[loopstrike] = forexOptionDigitalDefiniton.toDerivative(REFERENCE_DATE, CURVES_NAME);
      forexOptionVanilla[loopstrike] = forexOptionVanillaDefiniton.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvDigitalSpread = new double[nbStrike + 1];
    final double[] pvDigitalBlack = new double[nbStrike + 1];
    final double[] pvVanillaBlack = new double[nbStrike + 1];
    final double[] gammaDigitalSpread = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvDigitalSpread[loopstrike] = METHOD_DIGITAL_SPREAD.presentValue(forexOptionDigital[loopstrike], smileBundle).getAmount(USD);
      pvDigitalBlack[loopstrike] = METHOD_DIGITAL_BLACK.presentValue(forexOptionDigital[loopstrike], smileBundle).getAmount(USD);
      pvVanillaBlack[loopstrike] = METHOD_VANILLA_BLACK.presentValue(forexOptionVanilla[loopstrike], smileBundle).getAmount(USD);
      gammaDigitalSpread[loopstrike] = METHOD_DIGITAL_SPREAD.gamma(forexOptionDigital[loopstrike], smileBundle).getAmount();
    }

    final double dfDomestic = smileBundle.getCurve(forexOptionDigital[0].getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(
        forexOptionDigital[0].getUnderlyingForex().getPaymentTime());
    final double dfForeign = smileBundle.getCurve(forexOptionDigital[0].getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(
        forexOptionDigital[0].getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double[] volBlack = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      volBlack[loopstrike] = FXVolatilityUtils.getVolatility(smileBundle, EUR, USD, forexOptionDigital[loopstrike].getExpirationTime(), strike[loopstrike], forward);
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    if (security instanceof FXOptionSecurity) {
      final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    } else if (security instanceof FXDigitalOptionSecurity) {
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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