Package com.opengamma.analytics.financial.forex.calculator

Examples of com.opengamma.analytics.financial.forex.calculator.PresentValueCurveSensitivityCallSpreadBlackForexCalculator


  /**
   * Tests the present value curve sensitivity. Method vs Calculator.
   */
  public void presentValueCurveSensitivityMethodVCalculator() {
    final MultipleCurrencyInterestRateCurveSensitivity pvcsMethod = METHOD_DIGITAL_SPREAD.presentValueCurveSensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final PresentValueCurveSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueCurveSensitivityCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final MultipleCurrencyInterestRateCurveSensitivity pvcsCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
    AssertSensivityObjects.assertEquals("Forex Digital option: call spread method - present value", pvcsMethod, pvcsCalculator, TOLERANCE_DELTA);
  }
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  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueCurveSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueCurveSensitivityCallSpreadBlackForexCalculator(spread);
    final MultipleCurrencyInterestRateCurveSensitivity result = fxDigital.accept(calculator, data);
    return Collections.singleton(new ComputedValue(spec, result));
  }
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