Package com.opengamma.analytics.financial.forex.derivative

Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla.accept()

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvMethod = METHOD_OPTION.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), TOLERANCE_PV);
  }

  @Test
  /**
 
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ceMethod = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), TOLERANCE_PV);
  }

  @Test
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    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double gammaRelativeSpot = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_MULTICURVES, true);
    final double gammaSpotExpected = gammaRelativeSpot * notional;
    final CurrencyAmount gammaSpotComputed = METHOD_OPTION.gammaSpot(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotExpected / gammaSpotComputed.getAmount(), TOLERANCE_PV);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotExpected / forexOption.accept(GSFBSC, SMILE_MULTICURVES).getAmount(), TOLERANCE_PV);
    final double gammaSpotExpected2 = METHOD_OPTION.gamma(forexOption, SMILE_MULTICURVES, true).getAmount() * SPOT;
    assertEquals("Forex: relative gamma", 1.0, gammaSpotExpected2 / gammaSpotComputed.getAmount(), TOLERANCE_PV);
  }

  @Test
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaValueBlackForexCalculator calculator = GammaValueBlackForexCalculator.getInstance();
    final CurrencyAmount gammaCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaMethod = METHOD_OPTION.gamma(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaCalculator.getAmount() / gammaMethod.getAmount(), TOLERANCE_PV);
  }

  @Test
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final GammaSpotBlackForexCalculator calculator = GammaSpotBlackForexCalculator.getInstance();
    final CurrencyAmount gammaSpotCalculator = forexOption.accept(calculator, SMILE_BUNDLE);
    final CurrencyAmount gammaSpotMethod = METHOD_OPTION.gammaSpot(forexOption, SMILE_BUNDLE, true);
    assertEquals("Forex: relative gamma", 1.0, gammaSpotCalculator.getAmount() / gammaSpotMethod.getAmount(), TOLERANCE_PV);
  }

  @Test
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    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = forexOptionCall.accept(PVCSC_BLACK, SMILE_BUNDLE);
    final InterestRateCurveSensitivity sensiConverted = PVCSCC_BLACK.visit(forexOptionCall, SMILE_BUNDLE);
    InterestRateCurveSensitivity sensiComp = new InterestRateCurveSensitivity();
    sensiComp = sensiComp.plus(CURVES_NAME[1], sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]));
    sensiComp = sensiComp.plus(CURVES_NAME[0], InterestRateCurveSensitivityUtils.multiplySensitivity(sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]), SPOT));
    AssertSensivityObjects.assertEquals("Forex Option: present value curve sensitivity converted", sensiConverted, sensiComp, TOLERANCE_DELTA);
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    final MultipleCurrencyAmount theta = THETAC.getTheta(FOREX_OPTION_CALL_DEFINITION, REFERENCE_DATE, CURVES_NAME, SMILE_BUNDLE, 1);
    final ForexOptionVanilla swapToday = FOREX_OPTION_CALL_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionVanilla swapTomorrow = FOREX_OPTION_CALL_DEFINITION.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount pvToday = swapToday.accept(PVC_BLACK, SMILE_BUNDLE);
    final YieldCurveBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(SMILE_BUNDLE, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final MultipleCurrencyAmount pvTomorrow = swapTomorrow.accept(PVC_BLACK, tomorrowData);
    final MultipleCurrencyAmount thetaExpected = pvTomorrow.plus(pvToday.multipliedBy(-1.0));
    assertEquals("ThetaCalculator: forex option", thetaExpected.getAmount(USD), theta.getAmount(USD), TOLERANCE_PV);
  }

  @Test
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