Examples of toDerivative()

Examples of com.opengamma.analytics.financial.commodity.definition.MetalFutureDefinition.toDerivative()

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  public void testMetalFutureOption() {
    final double answer = 0.018277536548956183;

    final MetalFutureDefinition definition = new MetalFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final MetalFuture future = definition.toDerivative(A_DATE);
    final MetalFutureOption option = new MetalFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }
}
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Examples of com.opengamma.analytics.financial.equity.variance.EquityVarianceSwapDefinition.toDerivative()

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    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve yieldCurve = (YieldAndDiscountCurve) yieldCurveObject;
    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVolsBackwardPDE(swap, spot, yieldCurve, dividends, volatilities);
    final ValueProperties properties = desiredValue.getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    final ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
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Examples of com.opengamma.analytics.financial.forex.definition.ForexDefinition.toDerivative()

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    final List<Double> ptsInt = new ArrayList<>();
    final List<Double> ptsDiff = new ArrayList<>();
    final List<Double> payTime = new ArrayList<>();
    while (!loopdate.isAfter(endDate)) {
      final ForexDefinition fxSwapDefinition = new ForexDefinition(EUR, USD, loopdate, notionalEUR, fxEURUSDFwdInit);
      final Forex fxSwap = fxSwapDefinition.toDerivative(NOW);
      final MultipleCurrencyAmount pvFxSwap = fxSwap.accept(PVDC, multicurves);
      final double pvUSDCurved = FX_MATRIX.convert(pvFxSwap, USD).getAmount();
      pvUSDCurve.add(pvUSDCurved);
      final double pvUSDPtsd = -(fxEURUSDFwdInit - FX_EURUSD - pointsCurve.getYValue(fxSwap.getPaymentTime()))
          * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
 
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Examples of com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinition.toDerivative()

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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 ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double dfForeign = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(forexOption.getUnderlyingForex().getPaymentTime());
    final double rDomestic = CURVES.getCurve(CURVES_NAME[1]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
    final double rForeign = CURVES.getCurve(CURVES_NAME[0]).getInterestRate(forexOption.getUnderlyingForex().getPaymentTime());
    final double forward = SPOT * dfForeign / dfDomestic;
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Examples of com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition.toDerivative()

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

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   * Tests the parSpread method.
   */
  public void parSpread() {
    final double parSpread = METHOD_FX_SWAP.parSpread((ForexSwap) FX_SWAP, CURVES_FX);
    final ForexSwapDefinition fxSwap0Definition = new ForexSwapDefinition(CUR_1, CUR_2, NEAR_DATE, FAR_DATE, NOMINAL_1, FX_RATE, FORWARD_POINTS + parSpread);
    final ForexSwap fxSwap0 = (ForexSwap) fxSwap0Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final MultipleCurrencyAmount pv0 = METHOD_FX_SWAP.presentValue(fxSwap0, CURVES);
    assertEquals("Forex swap: par spread", 0, FX_MATRIX.convert(pv0, CUR_1).getAmount(), TOLERANCE_PV);
  }

  @Test
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinition.toDerivative()

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        .isEndOfMonth());
    final ZonedDateTime END_DATE = START_DATE.plus(LENGTH_CMSCAP);
    final Period capPeriod = Period.ofMonths(6);
    final DayCount capDayCount = DayCountFactory.INSTANCE.getDayCount("ACT/360");
    final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, INDEX_SWAP_5Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
    final double pvCalculator = PVSSC.visit(cap, SABR_MULTICURVES).getAmount(EUR);
    double pvExpected = 0.0;
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvExpected += PVSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES).getAmount(EUR);
    }
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinition.toDerivative()

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        .isEndOfMonth());
    final ZonedDateTime END_DATE = START_DATE.plus(LENGTH_CMSCAP);
    final Period capPeriod = Period.ofMonths(6);
    final DayCount capDayCount = DayCountFactory.INSTANCE.getDayCount("ACT/360");
    final AnnuityCapFloorCMSDefinition capDefinition = AnnuityCapFloorCMSDefinition.from(START_DATE, END_DATE, NOTIONAL, INDEX_SWAP_5Y, capPeriod, capDayCount, false, STRIKE, IS_CAP, CALENDAR);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyMulticurveSensitivity pvcsCalculator = PVCSSSC.visit(cap, SABR_MULTICURVES);
    pvcsCalculator = pvcsCalculator.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsExpected = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(PVCSSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES));
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinition.toDerivative()

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    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, IBOR_INDEX, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    //    long startTime, endTime;
    //    startTime = System.currentTimeMillis();
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition.toDerivative()

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        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityCouponFixedDefinition couponDefinitionExPeriod = new AnnuityCouponFixedDefinition(couponExPeriodArray, getCalendar());
    final AnnuityCouponFixed couponStandard = couponDefinitionExPeriod.toDerivative(date);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(settleTime);
    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate,
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
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