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

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

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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);
      assertEquals("Forex vanilla option: present value vanna-volga / hard-coded", pvExpected[loopstrike], pvVV[loopstrike], TOLERANCE_PV);
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    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());
    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
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    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike];
    final double[] pvInt = new double[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);
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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = SMILE_BUNDLE.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
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    final double[] volVV = smileAtTime.getVolatility();
    final ForexOptionVanilla[] optReference = new ForexOptionVanilla[3];
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikesVV[loopvv]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      optReference[loopvv] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final MultipleCurrencyAmount[] ceVV = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceFlat = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceExpected = new MultipleCurrencyAmount[nbStrike + 1];
    final MultipleCurrencyAmount[] ceVVATM = new MultipleCurrencyAmount[3];
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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    final double[] pvInt = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      pvVV[loopstrike] = METHOD_VANNA_VOLGA.presentValue(forexOption[loopstrike], SMILE_BUNDLE).getAmount(USD);
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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike + 1];
    final double[] pvInt = new double[nbStrike + 1];
    final double[] volVV = new double[nbStrike + 1];
    final double[] volInt = new double[nbStrike + 1];
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    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strikes[loopstrike] = strikeMin + loopstrike * strikeRange / nbStrike;
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }

    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileTime.getStrike(forward);
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    final double notional = 100000000;
    final ZonedDateTime optionExpiry = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, Period.ofMonths(18), BUSINESS_DAY, CALENDAR);
    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);

    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());

    final double[] strikes = smileTime.getStrike(forward);
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    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvVV = new double[nbStrike];
    final double[] pvInt = new double[nbStrike];
    final double[] volVV = new double[nbStrike];
    final double[] volInt = new double[nbStrike];
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