Package com.opengamma.analytics.financial.sensitivity

Examples of com.opengamma.analytics.financial.sensitivity.PositionGreek

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  @Override
  public Map<PositionGreek, Double> evaluate(final GreekDataBundle data) {
    ArgumentChecker.notNull(data, "Risk factor data bundle");
    final GreekResultCollection greeks = data.getGreekResults();
    final Map<PositionGreek, Double> riskFactors = new HashMap<>();
    PositionGreek positionGreek;
    for (final Pair<Greek, Double> entry : greeks) {
      positionGreek = new PositionGreek(entry.getFirst());
      riskFactors.put(positionGreek, entry.getSecond() * data.getOptionTradeData().getNumberOfContracts());
    }
    return riskFactors;
  }
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      greekResultCollection.put(greek, (Double) greekResult);
    }
    final GreekDataBundle dataBundle = new GreekDataBundle(greekResultCollection, null, new OptionTradeData(target.getPosition().getQuantity().doubleValue(), 25));
    final Map<PositionGreek, Double> positionGreeks = _converter.evaluate(dataBundle);
    final Set<ComputedValue> results = new HashSet<ComputedValue>();
    PositionGreek positionGreek;
    Double positionGreekResult;
    ValueSpecification resultSpecification;
    ComputedValue resultValue;
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties properties = createValueProperties().get();
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  }

  @Test
  public void test() {
    final Map<PositionGreek, Double> positionGreeks = G_TO_PG_CONVERTER.evaluate(GREEKS_DATA);
    assertEquals(DELTA * N, positionGreeks.get(new PositionGreek(Greek.DELTA)), EPS);
    assertEquals(GAMMA * N, positionGreeks.get(new PositionGreek(Greek.GAMMA)), EPS);
    assertEquals(VANNA * N, positionGreeks.get(new PositionGreek(Greek.VANNA)), EPS);

    final Map<ValueGreek, Double> valueGreeks = G_TO_VG_CONVERTER.evaluate(GREEKS_DATA);
    assertEquals(DELTA * N * PV * SPOT_PRICE, valueGreeks.get(new ValueGreek(Greek.DELTA)), EPS);
    assertEquals(GAMMA * N * PV * SPOT_PRICE * SPOT_PRICE, valueGreeks.get(new ValueGreek(Greek.GAMMA)), EPS);
    assertEquals(VANNA * N * PV * SPOT_PRICE * IMPLIED_VOLATILITY, valueGreeks.get(new ValueGreek(Greek.VANNA)), EPS);
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Related Classes of com.opengamma.analytics.financial.sensitivity.PositionGreek

  • com.opengamma.analytics.financial.riskfactor.GreekConverterTest
  • com.opengamma.analytics.financial.riskfactor.GreekToPositionGreekConverter
  • com.opengamma.financial.analytics.model.riskfactor.option.OptionGreekToPositionGreekConverterFunction
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