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

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

823
824
825
826
827
828
829
830
831
832
833
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, STRIKE, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(FOREX_CALL_OPTION, dataBlack);
    assertEquals("Forex vanilla option: vega", priceAdjoint[2] * NOTIONAL, sensi.getVega().getMap().get(point));
    final ForexOptionVanillaDefinition optionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShort, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionVanillaDefinition optionShortPutDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
View Full Code Here
828
829
830
831
832
833
834
835
836
837
838
    final ForexOptionVanilla optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShort, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionVanillaDefinition optionShortPutDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, 1.0E-2);
  }

  @Test
View Full Code Here
859
860
861
862
863
864
865
866
867
868
869
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final PresentValueForexBlackVolatilitySensitivity vsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilitySensitivity(callEURUSD, SMILE_BUNDLE);
    final PresentValueForexBlackVolatilitySensitivity vsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilitySensitivity(putUSDEUR, SMILE_BUNDLE);
    final DoublesPair point = DoublesPair.of(callEURUSD.getTimeToExpiry(), strike);
    assertEquals("Forex vanilla option: volatilityNode", vsCallEURUSD.getVega().getMap().get(point) / SPOT, vsPutUSDEUR.getVega().getMap().get(point), 1.0E-2);
  }
View Full Code Here
203
204
205
206
207
208
209
210
211
212
213
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.presentValue(callEURUSD, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.presentValue(putUSDEUR, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvCallEURUSD.getAmount(USD) / SPOT, pvPutUSDEUR.getAmount(EUR), TOLERANCE_PV);
  }

View Full Code Here
222
223
224
225
226
227
228
229
230
231
232
    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 ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvMethod = METHOD_OPTION.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), TOLERANCE_PV);
  }
View Full Code Here
234
235
236
237
238
239
240
241
242
243
244
  /**
   * Tests the present value long/short parity.
   */
  public void presentValueLongShort() {
    final ForexOptionVanillaDefinition forexOptionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionVanilla forexOptionShort = forexOptionShortDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvShort = METHOD_OPTION.presentValue(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvLong = METHOD_OPTION.presentValue(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value long/short parity", pvLong.getAmount(USD), -pvShort.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount ceShort = METHOD_OPTION.currencyExposure(forexOptionShort, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceLong = METHOD_OPTION.currencyExposure(FOREX_CALL_OPTION, SMILE_MULTICURVES);
View Full Code Here
260
261
262
263
264
265
266
267
268
269
270
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, expDate);
    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 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 BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDomestic, volatility);
View Full Code Here
310
311
312
313
314
315
316
317
318
319
320
    final ForexDefinition forexEURUSDDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexDefinition forexUSDEURDefinition = new ForexDefinition(USD, EUR, payDate, -notional * strike, 1.0 / strike);
    final ForexOptionVanillaDefinition callEURUSDDefinition = new ForexOptionVanillaDefinition(forexEURUSDDefinition, expDate, isCall, isLong);
    final ForexOptionVanillaDefinition putUSDEURDefinition = new ForexOptionVanillaDefinition(forexUSDEURDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE);
    final ForexOptionVanilla putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.currencyExposure(callEURUSD, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.currencyExposure(putUSDEUR, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(EUR), pvPutUSDEUR.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure", pvCallEURUSD.getAmount(USD), pvPutUSDEUR.getAmount(USD), TOLERANCE_PV);
  }
View Full Code Here
332
333
334
335
336
337
338
339
340
341
342
    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    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)
View Full Code Here
356
357
358
359
360
361
362
363
364
365
366
    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 ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ceMethod = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), TOLERANCE_PV);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), TOLERANCE_PV);
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.