Package com.opengamma.util.money

Examples of com.opengamma.util.money.CurrencyAmount

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  public double forward(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(fixedCouponSwap, "Swap");
    ArgumentChecker.isTrue(fixedCouponSwap.getFirstLeg().getNumberOfPayments() == 1, "Swap should have one fixed payment");
    ArgumentChecker.isTrue(fixedCouponSwap.getSecondLeg().getNumberOfPayments() == 1, "Swap should have one floating payment");
    CouponFixedAccruedCompounding cpnFixed = fixedCouponSwap.getFirstLeg().getNthPayment(0);
    CurrencyAmount pvLegFloating = METHOD_COUPON_ON_CMP.presentValue(fixedCouponSwap.getSecondLeg().getNthPayment(0), curves);
    double dfPay = curves.getCurve(cpnFixed.getFundingCurveName()).getDiscountFactor(cpnFixed.getPaymentTime());
    double rate = Math.pow(-pvLegFloating.getAmount() / (dfPay * cpnFixed.getNotional()), 1.0d / cpnFixed.getPaymentYearFraction()) - 1.0d;
    return rate;
  }
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  public double forwardModified(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(fixedCouponSwap, "Swap");
    ArgumentChecker.isTrue(fixedCouponSwap.getFirstLeg().getNumberOfPayments() == 1, "Swap should have one fixed payment");
    ArgumentChecker.isTrue(fixedCouponSwap.getSecondLeg().getNumberOfPayments() == 1, "Swap should have one floating payment");
    CouponFixedAccruedCompounding cpnFixed = fixedCouponSwap.getFirstLeg().getNthPayment(0);
    CurrencyAmount pvLegFloating = METHOD_COUPON_ON_CMP.presentValue(fixedCouponSwap.getSecondLeg().getNthPayment(0), curves);
    double dfPay = curves.getCurve(cpnFixed.getFundingCurveName()).getDiscountFactor(cpnFixed.getPaymentTime());
    double rate = -pvLegFloating.getAmount() / (dfPay * cpnFixed.getNotional()) - 1.0d;
    return rate;
  }
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    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = black.getVolatilityModel().getVolatility(optionForex.getTimeToExpiry());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDomestic, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(optionForex);
    final double price = func.evaluate(dataBlack) * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }
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    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDomestic, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(optionForex);
    final double price = func.evaluate(dataBlack) * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }
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   * @param optionDigital The option.
   * @param smile The curve and smile data.
   * @return The gamma.
   */
  public double gammaRelative(final ForexOptionDigital optionDigital, final SmileDeltaTermStructureDataBundle smile) {
    final CurrencyAmount gamma = gamma(optionDigital, smile);
    return gamma.getAmount() / Math.abs(optionDigital.getUnderlyingForex().getPaymentCurrency2().getAmount());
  }
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    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
  }
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    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
  }
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    final double sign = (optionForex.getUnderlyingOption().isLong() ? 1.0 : -1.0);
    final double volatility = smileMulticurves.getVolatility(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex
        .getUnderlyingOption().getStrike(), forward);
    double price = BARRIER_FUNCTION.getPrice(optionForex.getUnderlyingOption(), optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic, volatility);
    price *= Math.abs(foreignAmount) * sign;
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }
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    double price = priceFlat;
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) {
      price += x[loopvv] * (priceVVsmile[loopvv] - priceVVATM[loopvv]);
    }
    price *= Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount pvCurrency = CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(pvCurrency);
  }
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    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = smileMulticurves.getVolatility(foreignCcy, domesticCcy, optionForex.getExpirationTime(), strike, forward);
    final double sigmaRootT = volatility * Math.sqrt(expiry);
    final double dM = Math.log(forward / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double pv = amount * dfDomestic * NORMAL.getCDF(omega * dM) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(domesticCcy, pv);
    return MultipleCurrencyAmount.of(priceCurrency);
  }
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  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
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  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethodTest
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