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

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

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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 rDomestic = CURVES.getCurve(CURVES_NAME[1]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
    final double rForeign = CURVES.getCurve(CURVES_NAME[0]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
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    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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(TimeCalculator.getTimeBetween(REFERENCE_DATE, expiryDate), strike, 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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, 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);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
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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);
    final double dfDomestic = MULTICURVES.getDiscountFactor(EUR, forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = MULTICURVES.getDiscountFactor(USD, forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = 1 / SPOT * dfForeign / dfDomestic;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, strike, 1 / 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);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
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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 callDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigitalDefinition putDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionDigital call = callDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionDigital put = putDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCall = METHOD_BLACK_DIGITAL.presentValue(call, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPut = METHOD_BLACK_DIGITAL.presentValue(put, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCash = put.getUnderlyingForex().getPaymentCurrency2().accept(PVDC, MULTICURVES);
    assertEquals("Forex Digital option: present value", pvCall.getAmount(USD) + pvPut.getAmount(USD), Math.abs(pvCash.getAmount(USD)), 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 pvMethod = METHOD_BLACK_DIGITAL.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex Digital 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 ForexOptionDigitalDefinition forexOptionShortDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionDigital forexOptionShort = forexOptionShortDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvShort = METHOD_BLACK_DIGITAL.presentValue(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvLong = METHOD_BLACK_DIGITAL.presentValue(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: present value long/short parity", pvLong.getAmount(USD), -pvShort.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount ceShort = METHOD_BLACK_DIGITAL.currencyExposure(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceLong = METHOD_BLACK_DIGITAL.currencyExposure(FOREX_DIGITAL_CALL_DOM, SMILE_MULTICURVES);
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    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    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 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 double sigmaRootT = volatility * Math.sqrt(forexOptionCall.getExpirationTime());
 
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