Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative.accept()

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnFarDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(FAR_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getFarLeg().getPaymentCurrency1().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency1()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getFarLeg().getPaymentCurrency2().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency2()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pvMethod = METHOD_BLACK_DIGITAL.presentValue(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex Digital option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), 1E-2);
  }

  @Test
  /**
 
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final InstrumentDerivative forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount ceMethod = METHOD_BLACK_DIGITAL.currencyExposure(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), 1E-2);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), 1E-2);
  }

  @Test
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    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final CurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, CURVES_BLACK);
    final CurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, CURVES_BLACK);
    final double pvSwap = swapRec.accept(PVC_BLACK, CURVES);
    assertEquals("Swaption Black method: present value", pvSwap, pvLR.getAmount() + pvSP.getAmount(), TOLERANCE_PV);
  }

  @Test
  /**
 
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            if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
              final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
              InterestRateFutureTransactionDefinition unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
              unitNotional = unitNotional.withNewNotionalAndTransactionPrice(1, marketValue);
              InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
              unitNotionalDerivative = unitNotionalDerivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(unitNotionalDerivative);
              initialRatesGuess.add(1 - marketValue);
            } else {
              derivative = derivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(derivative);
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    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    final InstrumentDefinition<?> defn = security.accept(_converter);
    final InstrumentDerivative derivative = defn.toDerivative(now);
    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
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    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);
  }

  @Test
  /**
 
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    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 ceMethod = METHOD_OPTION.currencyExposure(forexOption, SMILE_BUNDLE);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEC_BLACK, SMILE_BUNDLE);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), 1E-2);
    assertEquals("Forex vanilla option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), 1E-2);
  }

  @Test
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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforeNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE.minusDays(1));
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency1().getReferenceAmount(),
        cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency2().getReferenceAmount(),
        cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
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