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

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

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    final double notional = 1;
    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 ce = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative delta", ce.getAmount(EUR), delta, TOLERANCE_RELATIVE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
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    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * SHIFT), delta, TOLERANCE_RELATIVE);
  }
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    final double notional = 1;
    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 ce = METHOD_OPTION.currencyExposure(forexOption, SMILE_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelative(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative delta", ce.getAmount(EUR), delta, TOLERANCE_RELATIVE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
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    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double delta = METHOD_OPTION.deltaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * SHIFT / SPOT), delta, TOLERANCE_RELATIVE);
  }
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    final double notional = 1;
    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 pv = METHOD_OPTION.presentValue(forexOption, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double gamma = METHOD_OPTION.gammaRelative(forexOption, SMILE_FLAT_MULTICURVES, true);
    assertEquals("Forex: relative gamma", 1.0, (pvP.getAmount(USD) + pvM.getAmount(USD) - 2 * pv.getAmount(USD)) / (SHIFT * SHIFT) / gamma, 2.0E-4);
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    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv = METHOD_OPTION.presentValue(forexOption, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvM = METHOD_OPTION.presentValue(forexOption, SMILE_M_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_OPTION.presentValue(forexOption, SMILE_P_MULTICURVES);
    final double gamma = METHOD_OPTION.gammaRelative(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", 1.0, (pvP.getAmount(EUR) + pvM.getAmount(EUR) - 2 * pv.getAmount(EUR)) / (SHIFT * SHIFT) / gamma, 1.0E-4);
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    final double notional = 1;
    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 double deltaM = METHOD_OPTION.deltaRelative(forexOption, SMILE_M_MULTICURVES, true);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, SMILE_P_MULTICURVES, true);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, true);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * SHIFT / SPOT), TOLERANCE_RELATIVE);
  }
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    final double notional = 1;
    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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double deltaM = METHOD_OPTION.deltaRelative(forexOption, SMILE_M_MULTICURVES, false);
    final double deltaP = METHOD_OPTION.deltaRelative(forexOption, SMILE_P_MULTICURVES, false);
    final double gamma = METHOD_OPTION.gammaRelativeSpot(forexOption, SMILE_FLAT_MULTICURVES, false);
    assertEquals("Forex: relative gamma", gamma, (deltaP - deltaM) / (2 * SHIFT / SPOT), TOLERANCE_RELATIVE);
  }
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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 ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double gammaRelative = METHOD_OPTION.gammaRelative(forexOption, SMILE_MULTICURVES, true);
    final double gammaExpected = gammaRelative * notional;
    final CurrencyAmount gammaComputed = METHOD_OPTION.gamma(forexOption, SMILE_MULTICURVES, true);
    assertEquals("Forex: relative gamma", 1.0, gammaExpected / gammaComputed.getAmount(), 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(USD, EUR, payDate, notional, 1.0 / strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double gammaRelative = METHOD_OPTION.gammaRelative(forexOption, SMILE_MULTICURVES, false);
    final double gammaExpected = gammaRelative * notional;
    final CurrencyAmount gammaComputed = METHOD_OPTION.gamma(forexOption, SMILE_MULTICURVES, false);
    assertEquals("Forex: relative gamma", 1.0, gammaExpected / gammaComputed.getAmount(), TOLERANCE_PV);
  }
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