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

com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition.toDerivative()
{@inheritDoc} @deprecated Use the method that does not take yield curve names

    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);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);


    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);
    }
    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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   * the treatment of the barrier is: Price(t,T_exp) (roughly :))
   */
  public void testKnockInOutParity() {
    // Local version where expiry is OPTION_PAY_DATE
    final ForexOptionVanillaDefinition vanillaDefn = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_PAY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla vanillaExpiryEqualsPay = vanillaDefn.toDerivative(REFERENCE_DATE);


    final ForexOptionSingleBarrier knockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KO, 0.0);
    final ForexOptionSingleBarrier knockIn = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_KI, 0.0);
    final ForexOptionSingleBarrier impossibleKnockOut = new ForexOptionSingleBarrier(vanillaExpiryEqualsPay, BARRIER_IMPOSSIBLE_DOWN, 0.0);

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  public void scaleLongShortParity() {
    final MultipleCurrencyAmount priceBarrier = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_MULTICURVES);
    final double scale = 10;
    final ForexDefinition fxDefinitionScale = new ForexDefinition(EUR, USD, OPTION_PAY_DATE, NOTIONAL * scale, STRIKE);
    final ForexOptionVanillaDefinition optionDefinitionScale = new ForexOptionVanillaDefinition(fxDefinitionScale, OPTION_EXPIRY_DATE, IS_CALL, IS_LONG);
    final ForexOptionVanilla optionScale = optionDefinitionScale.toDerivative(REFERENCE_DATE);
    final ForexOptionSingleBarrier optionBarrierScale = new ForexOptionSingleBarrier(optionScale, BARRIER_KI, scale * REBATE);
    final MultipleCurrencyAmount priceBarrierScale = METHOD_BARRIER.presentValue(optionBarrierScale, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", priceBarrier.getAmount(USD) * scale, priceBarrierScale.getAmount(USD), TOLERANCE_PV);
    final MultipleCurrencyAmount priceBarrierShort = METHOD_BARRIER.presentValue(BARRIER_SHORT, SMILE_MULTICURVES);
    assertEquals("Barriers are cheaper than vanilla", -priceBarrier.getAmount(USD), priceBarrierShort.getAmount(USD), TOLERANCE_PV);

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      final ForexDefinition forexDefinitonUSD = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -NOTIONAL / strike[loopstrike], NOTIONAL);
      final ForexDefinition forexDefinitonEUR = ForexDefinition.fromAmounts(EUR, USD, OPTION_EXP_DATE, -1.0, strike[loopstrike]);
      final ForexOptionDigitalDefinition forexOptionDigitalDefiniton = new ForexOptionDigitalDefinition(forexDefinitonUSD, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      final ForexOptionVanillaDefinition forexOptionVanillaDefiniton = new ForexOptionVanillaDefinition(forexDefinitonEUR, OPTION_EXP_DATE, IS_CALL, IS_LONG);
      forexOptionDigital[loopstrike] = forexOptionDigitalDefiniton.toDerivative(REFERENCE_DATE, CURVES_NAME);
      forexOptionVanilla[loopstrike] = forexOptionVanillaDefiniton.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double[] pvDigitalSpread = new double[nbStrike + 1];
    final double[] pvDigitalBlack = new double[nbStrike + 1];
    final double[] pvVanillaBlack = new double[nbStrike + 1];
    final double[] gammaDigitalSpread = new double[nbStrike + 1];

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    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 PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(callEURUSD, SMILE_BUNDLE);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle nsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilityNodeSensitivity(putUSDEUR, SMILE_BUNDLE);
    for (int loopexp = 0; loopexp < nsCallEURUSD.getExpiries().getNumberOfElements(); loopexp++) {
      for (int loopdelta = 0; loopdelta < nsCallEURUSD.getDelta().getNumberOfElements(); loopdelta++) {
        assertEquals("Forex vanilla option: volatilityNode", nsCallEURUSD.getVega().getEntry(loopexp, loopdelta) / SPOT, nsPutUSDEUR.getVega().getEntry(loopexp, loopdelta), 1.0E-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 ForexOptionVanillaDefinition forexOptionDefinitionCall = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOptionCall = forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyInterestRateCurveSensitivity sensi = forexOptionCall.accept(PVCSC_BLACK, SMILE_BUNDLE);
    final InterestRateCurveSensitivity sensiConverted = PVCSCC_BLACK.visit(forexOptionCall, SMILE_BUNDLE);
    InterestRateCurveSensitivity sensiComp = new InterestRateCurveSensitivity();
    sensiComp = sensiComp.plus(CURVES_NAME[1], sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[1]));
    sensiComp = sensiComp.plus(CURVES_NAME[0], InterestRateCurveSensitivityUtils.multiplySensitivity(sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]), SPOT));

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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 ForexOptionVanillaDefinition callDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla call = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, payDate)) / df;
    final double volatility = SMILE_TERM.getVolatility(timeToExpiry, strike, forward);
    final double thetaUnit = BlackFormulaRepository.driftlessTheta(forward, strike, timeToExpiry, volatility);
    final double thetaExpected = thetaUnit * notional;

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    final double thetaExpected = thetaUnit * notional;
    final CurrencyAmount thetaCallComputed = METHOD_OPTION.theta(call, SMILE_BUNDLE);
    assertEquals("Theta theoretical: forex option", thetaExpected, thetaCallComputed.getAmount(), TOLERANCE_PV);
    assertEquals("Theta theoretical: forex option", USD, thetaCallComputed.getCurrency());
    final ForexOptionVanillaDefinition putDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
    final ForexOptionVanilla put = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount thetaPutComputed = METHOD_OPTION.theta(put, SMILE_BUNDLE);
    assertEquals("Theta theoretical: forex option", thetaCallComputed.getAmount(), thetaPutComputed.getAmount(), TOLERANCE_PV);
  }


}

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    final boolean isLong = true;
    final double notional = 100000000;
    final int indexPay = 2; // 1Y
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, PAY_DATE[indexPay], notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, EXPIRY_DATE[indexPay], isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay]));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay])) / df;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(TIME_TO_EXPIRY[indexPay + 1], strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOption);

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