Package com.opengamma.analytics.financial.forex.definition

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

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    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 ForexOptionDigitalDefinition forexOptionDefinitionPut = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final ForexOptionDigital forexOptionPut = forexOptionDefinitionPut.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount currencyExposureCall = METHOD_BLACK_DIGITAL.currencyExposure(forexOptionCall, SMILE_MULTICURVES);
    final MultipleCurrencyAmount currencyExposurePut = METHOD_BLACK_DIGITAL.currencyExposure(forexOptionPut, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCash = forexOptionPut.getUnderlyingForex().getPaymentCurrency2().accept(PVDC, MULTICURVES);
    assertEquals("Forex Digital option: currency exposure put/call parity foreign", 0, currencyExposureCall.getAmount(EUR) + currencyExposurePut.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 ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ceMethod = METHOD_BLACK_DIGITAL.currencyExposure(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEFBC, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), 1E-2);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), 1E-2);
  }
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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 ForexOptionDigitalDefinition forexOptionDefinitionCall = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_FBS_C.calculateSensitivity(forexOptionCall, SMILE_FLAT_MULTICURVES, SMILE_FLAT_MULTICURVES
        .getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_FBS_FDC.calculateSensitivity(forexOptionCall, SMILE_FLAT_MULTICURVES);
    AssertSensivityObjects.assertEquals("FX digital option: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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    final double dMMinus = Math.log(forward / strike) / sigmaRootTMinus - 0.5 * sigmaRootTMinus;
    final double pvMinus = Math.abs(FOREX_DIGITAL_CALL_DOM.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMMinus)
        * (FOREX_DIGITAL_CALL_DOM.isLong() ? 1.0 : -1.0);
    assertEquals("Forex Digital option: vega", (pvPlus - pvMinus) / (2 * shift), sensi.getVega().getMap().get(point), TOLERANCE_PV);
    final ForexOptionDigitalDefinition optionShortDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionDigital optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(optionShort, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionDigitalDefinition optionShortPutDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, IS_LONG);
    final ForexOptionDigital optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE);
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    final ForexOptionDigital optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(optionShort, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionDigitalDefinition optionShortPutDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, IS_LONG);
    final ForexOptionDigital optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_BLACK_DIGITAL.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, TOLERANCE_PV);
  }

  @Test
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    final boolean isLong = true;
    final double notional = 100000000;
    final ZonedDateTime expiryDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofYears(1), BUSINESS_DAY, CALENDAR, true);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, ScheduleCalculator.getAdjustedDate(expiryDate, SETTLEMENT_DAYS, CALENDAR), notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expiryDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(TimeCalculator.getTimeBetween(REFERENCE_DATE, expiryDate), forward, forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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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 double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, forward, forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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    final boolean isLong = true;
    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, 1.0 / strike, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
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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 double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong, payDomestic);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = 1 / SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, 1.0 / forward, 1.0 / forward));
    final double sigmaRootT = volatility * Math.sqrt(forexOption.getExpirationTime());
 
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    final boolean isLong = true;
    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, 1.0, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong, false);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
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