Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilitySensitivity

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    final double volatilitySensitivityValue = priceDerivatives[4] * Math.abs(foreignAmount) * sign;
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    //    Map<DoublesPair, Double> result = new HashMap<DoublesPair, Double>();
    //    result.put(point, volatilitySensitivityValue);
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex
        .getUnderlyingOption().getUnderlyingForex().getCurrency2(), result);
    return sensi;
  }
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      final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double df = multicurves.getDiscountFactor(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot
        * multicurves.getDiscountFactor(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime()) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = volatilityModel.getVolatilityAndSensitivities(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption()
        .getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex()
        .getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    return sensi;
  }
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      final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double df = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime()) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionForex.getCurrency1(), optionForex.getCurrency2(),
        optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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   */
  public PresentValueForexBlackVolatilitySensitivity presentValueBlackVolatilitySensitivity(final ForexOptionDigital optionDigital, final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionDigital, "Forex option");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final PresentValueForexBlackVolatilitySensitivity pvbsM = BASE_METHOD.presentValueBlackVolatilitySensitivity(callSpread[0], smileMulticurves);
    final PresentValueForexBlackVolatilitySensitivity pvbsP = BASE_METHOD.presentValueBlackVolatilitySensitivity(callSpread[1], smileMulticurves);
    return pvbsM.plus(pvbsP);
  }
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      final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionDigital, "Forex option");
    Validate.notNull(smileMulticurves, "Smile");
    Validate.isTrue(smileMulticurves.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionDigital, smileMulticurves); // In ccy2
    final double df = multicurves.getDiscountFactor(optionDigital.getCurrency2(), optionDigital.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionDigital.getCurrency1(), optionDigital.getCurrency2());
    final double forward = spot * multicurves.getDiscountFactor(optionDigital.getCurrency1(), optionDigital.getUnderlyingForex().getPaymentTime()) / df;
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (final DoublesPair point : pointSensitivity.getVega().getMap().keySet()) {
      final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionDigital.getCurrency1(), optionDigital.getCurrency2(),
          optionDigital.getExpirationTime(), point.second, forward);
      final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
      for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
        for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
          vega[loopexp][loopstrike] += nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
        }
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionDigital.getUnderlyingForex().getCurrency1(), optionDigital.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
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    final double sigmaRootTBar = (-Math.log(forward / strike) / (sigmaRootT * sigmaRootT) - 0.5) * dMBar;
    final double volatilityBar = Math.sqrt(expiry) * sigmaRootTBar;
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilityBar);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(foreignCcy, domesticCcy, result);
    return sensi;
  }
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      final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In dom ccy
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    final double expiry = optionForex.getExpirationTime();
    // Forward sweep
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    if (optionForex.payDomestic()) {
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency1();
      strike = optionForex.getStrike();
    } else {
      strike = 1.0 / optionForex.getStrike();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency1();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency2();
    }
    final double dfDomestic = multicurves.getDiscountFactor(domesticCcy, payTime);
    final double dfForeign = multicurves.getDiscountFactor(foreignCcy, payTime);
    final double spot = multicurves.getFxRate(foreignCcy, domesticCcy);
    final double forward = spot * dfForeign / dfDomestic;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(foreignCcy, domesticCcy, expiry, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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    final SurfaceValue result = new SurfaceValue();
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(), strikesVV[loopvv]);
      result.add(point, vegaReference[loopvv] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0));
    }
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    // TODO: Review when the currency order is not in the standard order.
    return sensi;
  }
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    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == black.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    return sensi;
  }
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