Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

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

Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla
Class describing a vanilla foreign exchange European option. When the option is a call, the option holder has the right to enter into the Forex transaction; if the option is a put, the option holder has the right to enter into a Forex transaction equal to the underlying but with opposite signs. A Call on a Forex EUR 1.00 / USD -1.41 is thus the right to call 1.00 EUR and put 1.41 USD. A put on a Forex EUR -1.00 / USD 1.41 is the right to exchange -(-1.00) EUR = 1.00 EUR and -1.41 EUR; it is thus also the right to call 1.00 EUR and put 1.41 USD. A put on a Forex USD 1.41 / EUR -1.00 is also the right to call 1.00 EUR and put 1.41 USD.

    final ZonedDateTime payDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    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 double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)) / df;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOption);

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.presentValue(callEURUSD, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.presentValue(putUSDEUR, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvCallEURUSD.getAmount(USD) / SPOT, pvPutUSDEUR.getAmount(EUR), TOLERANCE_PV);
  }

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    final double notional = 100000000;
    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 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);
  }

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  /**
   * Tests the present value long/short parity.
   */
  public void presentValueLongShort() {
    final ForexOptionVanillaDefinition forexOptionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionVanilla forexOptionShort = forexOptionShortDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvShort = METHOD_OPTION.presentValue(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvLong = METHOD_OPTION.presentValue(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value long/short parity", pvLong.getAmount(USD), -pvShort.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount ceShort = METHOD_OPTION.currencyExposure(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceLong = METHOD_OPTION.currencyExposure(FOREX_CALL_OPTION, SMILE_MULTICURVES);

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition forexOptionDefinitionPut = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)); // USD
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)); // EUR
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDomestic, volatility);

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.currencyExposure(callEURUSD, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.currencyExposure(putUSDEUR, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(EUR), pvPutUSDEUR.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(USD), pvPutUSDEUR.getAmount(USD), TOLERANCE_PV);
  }

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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 ForexOptionVanillaDefinition forexOptionDefinitionPut = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_OPTION.currencyExposure(forexOptionCall, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_OPTION.currencyExposure(forexOptionPut, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposureForward = METHOD_DISC.currencyExposure(forexForward, MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure put/call parity foreign", currencyExposureForward.getAmount(EUR), currencyExposureCall.getAmount(EUR)

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    final double notional = 100000000;
    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 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);
  }

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    final double notional = 1;
    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ce = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative delta", ce.getAmount(EUR), delta, TOLERANCE_RELATIVE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);

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    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * SHIFT), delta, TOLERANCE_RELATIVE);
  }

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