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

   * 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, CURVES_NAME);


    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_BUNDLE);
    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, CURVES_NAME);
    final ForexOptionSingleBarrier optionBarrierScale = new ForexOptionSingleBarrier(optionScale, BARRIER_KI, scale * REBATE);
    final MultipleCurrencyAmount priceBarrierScale = METHOD_BARRIER.presentValue(optionBarrierScale, SMILE_BUNDLE);
    assertEquals("Barriers are cheaper than vanilla", priceBarrier.getAmount(USD) * scale, priceBarrierScale.getAmount(USD), 1.0E-2);
    final MultipleCurrencyAmount priceBarrierShort = METHOD_BARRIER.presentValue(BARRIER_SHORT, SMILE_BUNDLE);
    assertEquals("Barriers are cheaper than vanilla", -priceBarrier.getAmount(USD), priceBarrierShort.getAmount(USD), 1.0E-2);

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      case KNOCK_OUT: // Long a linear at strike, short a linear at barrier, short a binary at barrier of size (barrier-strike)


        final ForexOptionVanillaDefinition longLinearK = new ForexOptionVanillaDefinition(fxFwd, expiry, useCallSpread, isLong);
        final ForexOptionVanillaDefinition shortLinearB = new ForexOptionVanillaDefinition(fxFwdForBarrier, expiry, useCallSpread, !isLong);
        vanillas.add(longLinearK.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(shortLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Short a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition shortNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, !isLong);
        final ForexOptionVanillaDefinition longFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, isLong);
        vanillas.add(shortNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(longFar.toDerivative(valTime, baseQuoteCurveNames));

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        vanillas.add(shortLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Short a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition shortNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, !isLong);
        final ForexOptionVanillaDefinition longFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, isLong);
        vanillas.add(shortNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(longFar.toDerivative(valTime, baseQuoteCurveNames));
        break;


      case KNOCK_IN:  // Long a linear at barrier, long a binary at barrier of size (barrier - strike)


        final ForexOptionVanillaDefinition longLinearB = new ForexOptionVanillaDefinition(fxFwdForBarrier, expiry, useCallSpread, isLong);

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        break;


      case KNOCK_IN:  // Long a linear at barrier, long a binary at barrier of size (barrier - strike)


        final ForexOptionVanillaDefinition longLinearB = new ForexOptionVanillaDefinition(fxFwdForBarrier, expiry, useCallSpread, isLong);
        vanillas.add(longLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Long a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition longNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, isLong);
        final ForexOptionVanillaDefinition shortFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, !isLong);
        vanillas.add(longNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(shortFar.toDerivative(valTime, baseQuoteCurveNames));

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        vanillas.add(longLinearB.toDerivative(valTime, baseQuoteCurveNames));
        // Long a binary of size, barrier - strike. Modelled as call spread struck around strike + oh, with spread of 2*eps
        final ForexOptionVanillaDefinition longNear = new ForexOptionVanillaDefinition(fxFwdForNearStrike, expiry, useCallSpread, isLong);
        final ForexOptionVanillaDefinition shortFar = new ForexOptionVanillaDefinition(fxFwdForFarStrike, expiry, useCallSpread, !isLong);
        vanillas.add(longNear.toDerivative(valTime, baseQuoteCurveNames));
        vanillas.add(shortFar.toDerivative(valTime, baseQuoteCurveNames));
        break;
      default:
        throw new OpenGammaRuntimeException("Encountered an EquityBarrierOption with unexpected BarrierDirection of: " + bUpDown);
    }
    return vanillas;

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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, CURVES_NAME);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, PAY_DATE[indexPay]));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(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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    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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.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(new Triple<>(timeToExpiry, strike, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(forexOption);

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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 InstrumentDerivative callEURUSD = callEURUSDDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[1] });
    final InstrumentDerivative putUSDEUR = putUSDEURDefinition.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[1], CURVES_NAME[0] });
    final MultipleCurrencyAmount pvCallEURUSD = METHOD_OPTION.presentValue(callEURUSD, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvPutUSDEUR = METHOD_OPTION.presentValue(putUSDEUR, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvCallEURUSD.getAmount(USD) / SPOT, pvPutUSDEUR.getAmount(EUR), 1E-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 forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvMethod = METHOD_OPTION.presentValue(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), 1E-2);
  }

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