Package com.opengamma.analytics.util.amount

Examples of com.opengamma.analytics.util.amount.SurfaceValue

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  /**
   * Test the option price Black sensitivity
   */
  @Test
  public void presentValueNormalSensitivity() {
    final SurfaceValue pvnsSecurity = METHOD_SECURITY_OPTION_NORMAL.priceNormalSensitivity(OPTION_ERU2, NORMAL_MULTICURVES);
    final SurfaceValue pvnsTransactionComputed = METHOD_TRANSACTION_OPTION_NORMAL.presentValueNormalSensitivity(TRANSACTION_1, NORMAL_MULTICURVES);
    final SurfaceValue pvnsTransactionExpected = SurfaceValue.multiplyBy(pvnsSecurity, QUANTITY * NOTIONAL * FUTURE_FACTOR);
    assertTrue("Future option with Black volatilities: option security vol sensi", SurfaceValue.compare(pvnsTransactionComputed, pvnsTransactionExpected, TOLERANCE_PV_DELTA));
  }
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    final YieldCurveWithBlackCubeBundle blackBundlePlus = new YieldCurveWithBlackCubeBundle(blackParameterPlus, CURVES);
    final YieldCurveWithBlackCubeBundle blackBundleMinus = new YieldCurveWithBlackCubeBundle(blackParameterMinus, CURVES);
    final double pricePlus = METHOD_SECURITY_OPTION_BLACK.optionPrice(OPTION_ERU2, blackBundlePlus);
    final double priceMinus = METHOD_SECURITY_OPTION_BLACK.optionPrice(OPTION_ERU2, blackBundleMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
    final SurfaceValue priceSensiComputed = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_BUNDLE);
    final DoublesPair point = new DoublesPair(OPTION_ERU2.getExpirationTime(), STRIKE);
    assertEquals("Future option with Black volatilities: option security vol sensi", priceSensiExpected, priceSensiComputed.getMap().get(point), TOLERANCE_DELTA);
    assertEquals("Future option with Black volatilities: option security vol sensi", 1, priceSensiComputed.getMap().size());
  }
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  @Test
  /**
   * Test the option price Vega (a double) vs the Black sensitivity (a SurfaceValue)
   */
  public void priceVegaVsBlackSensitivity() {
    final SurfaceValue blackSens = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_BUNDLE);
    final double vega = METHOD_SECURITY_OPTION_BLACK.optionPriceVega(OPTION_ERU2, BLACK_BUNDLE);
    final DoublesPair point = new DoublesPair(OPTION_ERU2.getExpirationTime(), STRIKE);
    assertEquals("Future option with Black volatilities: option security vol sensi", vega, blackSens.getMap().get(point), TOLERANCE_DELTA);
    final SurfaceValue sensFromVega = SurfaceValue.from(point,vega);
    assertTrue("SurfaceValue produced by priceBlackSensitivity() is not equal to one from optionPriceVega()", sensFromVega.equals(blackSens));
  }
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  @Test
  /**
   * Test the option price Black sensitivity
   */
  public void presentValueBlackSensitivity() {
    final SurfaceValue pvbsSecurity = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_BUNDLE);
    final SurfaceValue pvbsTransactionComputed = METHOD_TRANSACTION_OPTION_BLACK.presentValueBlackSensitivity(TRANSACTION_1, BLACK_BUNDLE);
    final SurfaceValue pvbsTransactionExpected = SurfaceValue.multiplyBy(pvbsSecurity, QUANTITY * NOTIONAL * FUTURE_FACTOR);
    assertTrue("Future option with Black volatilities: option security vol sensi", SurfaceValue.compare(pvbsTransactionComputed, pvbsTransactionExpected, TOLERANCE_DELTA));
  }
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    final BlackSTIRFuturesSmileProviderDiscount blackPlus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterPlus, EURIBOR3M);
    final BlackSTIRFuturesSmileProviderDiscount blackMinus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterMinus, EURIBOR3M);
    final double pricePlus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackPlus);
    final double priceMinus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
    final SurfaceValue priceSensiComputed = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_MULTICURVES);
    final DoublesPair point = new DoublesPair(OPTION_ERU2.getExpirationTime(), STRIKE);
    assertEquals("Future option with Black volatilities: option security vol sensi", priceSensiExpected, priceSensiComputed.getMap().get(point), TOLERANCE_PRICE_DELTA);
    assertEquals("Future option with Black volatilities: option security vol sensi", 1, priceSensiComputed.getMap().size());
  }
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  @Test
  /**
   * Test the option price Black sensitivity
   */
  public void presentValueBlackSensitivity() {
    final SurfaceValue pvbsSecurity = METHOD_SECURITY_OPTION_BLACK.priceBlackSensitivity(OPTION_ERU2, BLACK_MULTICURVES);
    final SurfaceValue pvbsTransactionComputed = METHOD_TRANSACTION_OPTION_BLACK.presentValueBlackSensitivity(TRANSACTION_1, BLACK_MULTICURVES);
    final SurfaceValue pvbsTransactionExpected = SurfaceValue.multiplyBy(pvbsSecurity, QUANTITY * NOTIONAL * FUTURE_FACTOR);
    assertTrue("Future option with Black volatilities: option security vol sensi", SurfaceValue.compare(pvbsTransactionComputed, pvbsTransactionExpected, TOLERANCE_PV_DELTA));
  }
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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final SurfaceValue sensitivities = derivative.accept(CALCULATOR, blackData);
        final double vega = sensitivities.toSingleValue();
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, vega));
      }
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  @Override
  protected Set<ComputedValue> getResult(final FunctionExecutionContext context, final Set<ValueRequirement> desiredValues, final FunctionInputs inputs,
      final ComputationTarget target, final InstrumentDerivative irFutureOption, final SABRInterestRateDataBundle data) {
    final PresentValueSABRSensitivityDataBundle sensitivities = irFutureOption.accept(CALCULATOR, data);
    final SurfaceValue alphaSurface = sensitivities.getAlpha();
    final SurfaceValue betaSurface = sensitivities.getBeta();
    final SurfaceValue rhoSurface = sensitivities.getRho();
    final SurfaceValue nuSurface = sensitivities.getNu();
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(4);
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    super(ValueRequirementNames.VALUE_VEGA);
  }

  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec, Set<ValueRequirement> desiredValues) {
    final SurfaceValue sensitivities = irFutureOption.accept(CALCULATOR, data);
    final HashMap<DoublesPair, Double> result = sensitivities.getMap();
    if (result.size() != 1) {
      throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
    }
    return Collections.singleton(new ComputedValue(spec, result.values().iterator().next()));
  }
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