Package com.opengamma.analytics.financial.forex.derivative

Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    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 PresentValueForexBlackVolatilitySensitivity vsCallEURUSD = METHOD_OPTION.presentValueBlackVolatilitySensitivity(callEURUSD, SMILE_BUNDLE);
    final PresentValueForexBlackVolatilitySensitivity vsPutUSDEUR = METHOD_OPTION.presentValueBlackVolatilitySensitivity(putUSDEUR, SMILE_BUNDLE);
    final DoublesPair point = DoublesPair.of(callEURUSD.getTimeToExpiry(), strike);
    assertEquals("Forex vanilla option: volatilityNode", vsCallEURUSD.getVega().getMap().get(point) / SPOT, vsPutUSDEUR.getVega().getMap().get(point), 1.0E-2);
  }
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    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));
    AssertSensivityObjects.assertEquals("Forex Option: present value curve sensitivity converted", sensiConverted, sensiComp, TOLERANCE_DELTA);
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  /**
   * Tests the Theta (1 day change of pv) for forex options transactions.
   */
  public void thetaBeforeExpiration() {
    final MultipleCurrencyAmount theta = THETAC.getTheta(FOREX_OPTION_CALL_DEFINITION, REFERENCE_DATE, CURVES_NAME, SMILE_BUNDLE, 1);
    final ForexOptionVanilla swapToday = FOREX_OPTION_CALL_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionVanilla swapTomorrow = FOREX_OPTION_CALL_DEFINITION.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount pvToday = swapToday.accept(PVC_BLACK, SMILE_BUNDLE);
    final YieldCurveBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(SMILE_BUNDLE, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final MultipleCurrencyAmount pvTomorrow = swapTomorrow.accept(PVC_BLACK, tomorrowData);
    final MultipleCurrencyAmount thetaExpected = pvTomorrow.plus(pvToday.multipliedBy(-1.0));
    assertEquals("ThetaCalculator: forex option", thetaExpected.getAmount(USD), theta.getAmount(USD), TOLERANCE_PV);
  }
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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;
    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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Related Classes of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla

  • com.opengamma.analytics.financial.forex.definition.ForexOptionSingleBarrierDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinitionTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadBlackSmileMethod
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