Examples of VarianceSwap

com.opengamma.analytics.financial.varianceswap.VarianceSwap
A Variance Swap is a forward contract on the realised variance of a generic underlying. This could be a single equity price, the value of an equity index, an FX rate or any other financial metric on which a variance swap contract is based.
The floating leg of a Variance Swap is the realized variance and is calculate using the second moment of log returns of the underlying asset Because variance is additive in time, the value of a VarianceSwap can be decomposed at any point in time between realized and implied variance as _varNotional * Z(t,T) * [ t/T * RealizedVol(0,t)^2 + (T-t)/T * ImpliedVol(t,T)^2 - volStrike^2 ]

Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

    final double[] observations = realizedTS.valuesArrayFast();
    final double[] observationWeights = {}; // TODO Case 2011-06-29 Calendar Add functionality for non-trivial weighting of observations
    final int nGoodBusinessDays = countExpectedGoodDays(_obsStartDate.toLocalDate(), valueDate.toLocalDate(), _calendar, _obsFreq);
    final int nObsDisrupted = nGoodBusinessDays - observations.length;
    ArgumentChecker.isTrue(nObsDisrupted >= 0, "Have more observations {} than good business days {}", observations.length, nGoodBusinessDays);
    return new VarianceSwap(timeToObsStart, timeToObsEnd, timeToSettlement, _varStrike, _varNotional, _currency, _annualizationFactor, _nObsExpected, nObsDisrupted,
        observations, observationWeights);
  }

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

  @Test
  public void testBlackVegaParallel() {


    final double expiry = 0.5;
    final double sigma = SURFACE.getZValue(expiry, 100.0);
    final VarianceSwap swap = new VarianceSwap(tPlusOne, expiry, expiry, varStrike, varNotional, Currency.EUR, annualization, nObsExpected, noObsDisrupted, noObservations, noObsWeights);
    final double zcb = MARKET.getDiscountCurve().getDiscountFactor(swap.getTimeToSettlement());


    final Double vegaParallel = DELTA_CAL.calcBlackVegaParallel(swap, MARKET);
    final double theoreticalVega = 2 * sigma * zcb * swap.getVarNotional();


    assertEquals(theoreticalVega, vegaParallel, 0.01);
  }

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

   * Variance is additive, hence a forward starting VarianceSwap may be decomposed into the difference of two spot starting ones.
   */
  public void swapForwardStarting() {


    // First, create a swap which starts in 1 year and observes for a further four
    final VarianceSwap swapForwardStarting1to5 = new VarianceSwap(expiry1, expiry5, expiry5, varStrike, varNotional, Currency.EUR, annualization, nObsExpected, noObsDisrupted, singleObsSoNoReturn,
        noObsWeights);


    final double pvFowardStart = PRICER.presentValue(swapForwardStarting1to5, MARKET);


    // Second, create two spot starting swaps. One that expires at the end of observations, one expiring at the beginnning
    final VarianceSwap swapSpotStarting1 = new VarianceSwap(now, expiry1, expiry5, varStrike, varNotional, Currency.EUR, annualization, nObsExpected, noObsDisrupted, singleObsSoNoReturn, noObsWeights);
    final VarianceSwap swapSpotStarting5 = new VarianceSwap(now, expiry5, expiry5, varStrike, varNotional, Currency.EUR, annualization, nObsExpected, noObsDisrupted, singleObsSoNoReturn, noObsWeights);


    final double pvSpot1 = PRICER.presentValue(swapSpotStarting1, MARKET);
    final double pvSpot5 = PRICER.presentValue(swapSpotStarting5, MARKET);


    final double pvDiffOfTwoSpotStarts = (5.0 * pvSpot5 - 1.0 * pvSpot1) / 4.0;

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void onFirstObsWithoutObs() {


    final VarianceSwap swapOnFirstObsWithoutObs = new VarianceSwap(now, expiry5, expiry5, varStrike, varNotional, Currency.EUR, annualization, nObsExpected, noObsDisrupted, noObservations,
        noObsWeights);
    @SuppressWarnings("unused")
    final double pv = PRICER.presentValue(swapOnFirstObsWithoutObs, MARKET);
  }

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

  @Test
  /**
   * After lastObs but before settlement date, presentValue == RealizedVar
   */
  public void swapObservationsCompleted() {
    final VarianceSwap swapPaysTomorrow = new VarianceSwap(-1., -tPlusOne, tPlusOne, varStrike, varNotional, Currency.EUR, annualization, nObs - 1, 0, obs, obsWeight);


    final double pv = PRICER.presentValue(swapPaysTomorrow, MARKET);
    final double variance = new RealizedVariance().evaluate(swapPaysTomorrow);
    final double pvOfHedge = swapStartsNow.getVarNotional() * (variance - swapStartsNow.getVarStrike()) * MARKET.getDiscountCurve().getDiscountFactor(tPlusOne);
    assertEquals(pvOfHedge, pv, 0.01);

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

  @Test
  /**
   * After settlement, presentValue == 0.0
   */
  public void swapAfterSettlement() {
    final VarianceSwap swapEnded = new VarianceSwap(-1.0, -1.0 / 365, -1.0 / 365, varStrike, varNotional, Currency.EUR, annualization, nObs, 0, obs, obsWeight);
    final double pv = PRICER.presentValue(swapEnded, MARKET);
    assertEquals(0.0, pv, TOLERATED);
  }

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Examples of com.opengamma.analytics.financial.varianceswap.VarianceSwap

    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock).minusYears(2); //TODO remove me - just for testing


    final VarianceSwapDefinition defn = security.accept(_converter);
    final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final VarianceSwap deriv = defn.toDerivative(now, timeSeries.getTimeSeries());


    // 2. Build up the market data bundle
    final Object volSurfaceObject = inputs.getValue(getVolatilitySurfaceRequirement(security, surfaceName));
    if (volSurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get Volatility Surface");

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