Examples of com.opengamma.analytics.financial.forex.definition.ForexDefinition.toDerivative()

com.opengamma.analytics.financial.forex.definition.ForexDefinition.toDerivative()
{@inheritDoc}The first curve is the discounting curve for the first currency and the second curve is the discounting curve for the second currency. @deprecated Use the method that does not take yield curve names

  /**
   * Test the present value of EUR/USD is the same as an USD/EUR.
   */
  public void presentValueReverse() {
    final ForexDefinition fxReverseDefinition = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0 / FX_RATE);
    final Forex fxReverse = fxReverseDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv = METHOD_FX.presentValue(FX, MULTICURVES);
    final MultipleCurrencyAmount pvReverse = METHOD_FX.presentValue(fxReverse, MULTICURVES);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_1), pvReverse.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_2), pvReverse.getAmount(CUR_2), TOLERANCE_PV);
  }

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   * Tests the parSpread for forex transactions.
   */
  public void parSpread() {
    final double ps = METHOD_FX.parSpread(FX, MULTICURVES);
    final ForexDefinition fx0Definition = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE + ps);
    final Forex fx0 = fx0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fx0.accept(PVDC, MULTICURVES);
    assertEquals("ForexDiscountingMethod: parSpread", 0, MULTICURVES.getFxRates().convert(pv0, CUR_1).getAmount(), TOLERANCE_RATE);
  }


  @Test

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  /**
   * Test the present value of EUR/USD is the same as an USD/EUR.
   */
  public void presentValueReverse() {
    final ForexDefinition fxReverseDefinition = new ForexDefinition(CUR_2, CUR_1, PAYMENT_DATE, -NOMINAL_1 * FX_RATE, 1.0 / FX_RATE);
    final Forex fxReverse = fxReverseDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pv = METHOD.presentValue(FX, CURVES);
    final MultipleCurrencyAmount pvReverse = METHOD.presentValue(fxReverse, CURVES);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_1), pvReverse.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("Forex present value: Reverse description", pv.getAmount(CUR_2), pvReverse.getAmount(CUR_2), 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 ForexOptionDigitalDefinition forexOptionDefinitionCall = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = METHOD_BLACK_DIGITAL.presentValueCurveSensitivity(forexOptionCall, SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexForward.getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexForward.getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(forexOptionCall.getExpirationTime(), forward, forward));

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      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, !isCall, !isLong);
      call[loopstrike] = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      put[loopstrike] = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      // Present value
      final MultipleCurrencyAmount pvCall = METHOD_VANNA_VOLGA.presentValue(call[loopstrike], SMILE_BUNDLE);
      final MultipleCurrencyAmount pvPut = METHOD_VANNA_VOLGA.presentValue(put[loopstrike], SMILE_BUNDLE);
      final MultipleCurrencyAmount pvForward = METHOD_DISC.presentValue(forexForward, SMILE_BUNDLE);
      assertEquals("Forex vanilla option: vanna-volga present value put/call parity", pvForward.getAmount(USD) + pvForward.getAmount(EUR) * SPOT, pvCall.getAmount(USD) + pvPut.getAmount(USD),

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      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, !isCall, !isLong);
      call[loopstrike] = callDefinition.toDerivative(REFERENCE_DATE);
      put[loopstrike] = putDefinition.toDerivative(REFERENCE_DATE);
      final Forex forexForward = forexUnderlyingDefinition.toDerivative(REFERENCE_DATE);
      // Present value
      final MultipleCurrencyAmount pvCall = METHOD_VANNA_VOLGA.presentValue(call[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvPut = METHOD_VANNA_VOLGA.presentValue(put[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyAmount pvForward = METHOD_DISC.presentValue(forexForward, MULTICURVES);
      assertEquals("Forex vanilla option: vanna-volga present value put/call parity", pvForward.getAmount(USD) + pvForward.getAmount(EUR) * SPOT, pvCall.getAmount(USD)

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    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)
        - currencyExposurePut.getAmount(EUR), TOLERANCE_PV);

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