Examples of SmileDeltaTermStructureDataBundle

com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle
Class describing the data required to price instruments with the volatility delta and time dependent. @deprecated Use {@link BlackForexSmileProviderDiscount}

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

    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);
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }

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

   * @return The implied volatility.
   */
  public double impliedVolatility(final ForexOptionVanilla 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 dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    return volatility;
  }

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

   * @return The delta.
   */
  public CurrencyAmount delta(final ForexOptionVanilla 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);
    return CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), deltaRelative * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()));
  }

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

   * @return The gamma.
   */
  public CurrencyAmount gamma(final ForexOptionVanilla 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 gammaRelative = gammaRelative(optionForex, smile, directQuote);
    return CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), gammaRelative * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()));
  }

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

   * @return The gamma.
   */
  public CurrencyAmount gammaSpot(final ForexOptionVanilla 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 gammaRelativeSpot = gammaRelativeSpot(optionForex, smile, directQuote);
    return CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), gammaRelativeSpot * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()));
  }

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

   * @return The theta. In the same currency as present value.
   */
  public CurrencyAmount theta(final ForexOptionVanilla 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 double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double sign = (optionForex.isLong() ? 1.0 : -1.0);
    final double theta = BlackFormulaRepository.driftlessTheta(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility) * sign
        * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount());

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

   * @return The theta
   */
  public CurrencyAmount forwardTheta(final ForexOptionVanilla 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 double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getInterestRate(optionForex.getUnderlyingForex().getPaymentTime());
    final double rForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getInterestRate(optionForex.getUnderlyingForex().getPaymentTime());
    final double interestRate = rDomestic - rForeign;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final boolean isCall = optionForex.isCall();
    final double sign = (optionForex.isLong() ? 1.0 : -1.0);
    final double theta = BlackScholesFormulaRepository.theta(spot, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility, rDomestic, interestRate, isCall) * sign

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

   * @return The theta
   */
  public double thetaTheoretical(final ForexOptionVanilla 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 double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double rDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getInterestRate(optionForex.getUnderlyingForex().getPaymentTime());
    final double rForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getInterestRate(optionForex.getUnderlyingForex().getPaymentTime());
    final double interestRate = rDomestic - rForeign;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final boolean isCall = optionForex.isCall();
    return BlackScholesFormulaRepository.theta(spot, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility, rDomestic, interestRate, isCall);
  }

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

   * @return The forward driftless theta
   */
  public double forwardDriftlessThetaTheoretical(final ForexOptionVanilla 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 double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    return BlackFormulaRepository.driftlessTheta(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility);
  }

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

   * @return The forward vega
   */
  public double forwardVegaTheoretical(final ForexOptionVanilla 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 double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    return BlackFormulaRepository.vega(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility);
  }

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