Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilitySensitivity

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    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeP));
    final ForexOptionVanilla vanillaM = new ForexOptionVanilla(forexM, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
    final ForexOptionVanilla vanillaP = new ForexOptionVanilla(forexP, FOREX_DIGITAL_CALL_DOM.getExpirationTime(), IS_CALL, IS_LONG);
    final PresentValueForexBlackVolatilitySensitivity pvbvP = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaP, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvbvM = METHOD_VANILLA_BLACK.presentValueBlackVolatilitySensitivity(vanillaM, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvbvExpected = pvbvM.plus(pvbvP.multipliedBy(-1.0)).multipliedBy(
        1.0 / (strikeP - strikeM) * Math.abs(FOREX.getPaymentCurrency2().getAmount()));
    final PresentValueForexBlackVolatilitySensitivity pvbvComputed = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    assertEquals("Forex Digital option: call spread method - present value volatility sensitivity", pvbvComputed.getVega().getMap().size(), 2);
    assertTrue("Forex Digital option: call spread method - present value volatility sensitivity",
        PresentValueForexBlackVolatilitySensitivity.compare(pvbvExpected, pvbvComputed, TOLERANCE_DELTA));
  }
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        SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega node size", SMILE_TERM.getNumberExpiration(), sensi.getVega().getData().length);
    assertEquals("Forex vanilla option: vega node size", SMILE_TERM.getNumberStrike(), sensi.getVega().getData()[0].length);
    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivitiesDown = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM,
        forward);
    final VolatilityAndBucketedSensitivities volAndSensitivitiesUp = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP,
        forward);
    final double[][] nodeWeightM = volAndSensitivitiesDown.getBucketedSensitivities();
    final double[][] nodeWeightP = volAndSensitivitiesUp.getBucketedSensitivities();
    final DoublesPair pointM = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM);
    final DoublesPair pointP = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP);
    for (int loopexp = 0; loopexp < SMILE_TERM.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < SMILE_TERM.getNumberStrike(); loopstrike++) {
        assertEquals("Forex vanilla digital: vega node", nodeWeightM[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointM)
            + nodeWeightP[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointP), sensi.getVega().getData()[loopexp][loopstrike], TOLERANCE_DELTA);
      }
    }
  }
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  @Test
  /**
   * Tests present value volatility sensitivity.
   */
  public void volatilitySensitivity() {
    final PresentValueForexBlackVolatilitySensitivity sensi = METHOD_OPTION.presentValueBlackVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    final DoublesPair point = new DoublesPair(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    assertEquals("Forex vanilla option: vega size", 1, sensi.getVega().getMap().entrySet().size());
    assertTrue("Forex vanilla option: vega", sensi.getVega().getMap().containsKey(point));
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_EXP_DATE);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, STRIKE, forward));
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(FOREX_CALL_OPTION, dataBlack);
    assertEquals("Forex vanilla option: vega", priceAdjoint[2] * NOTIONAL, sensi.getVega().getMap().get(point));
    final ForexOptionVanillaDefinition optionShortDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShort = optionShortDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShort, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
    // Put/call parity
    final ForexOptionVanillaDefinition optionShortPutDefinition = new ForexOptionVanillaDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, !IS_CALL, !IS_LONG);
    final ForexOptionVanilla optionShortPut = optionShortPutDefinition.toDerivative(REFERENCE_DATE);
    final PresentValueForexBlackVolatilitySensitivity sensiShortPut = METHOD_OPTION.presentValueBlackVolatilitySensitivity(optionShortPut, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega short", sensiShortPut.getVega().getMap().get(point) + sensi.getVega().getMap().get(point), 0.0, 1.0E-2);
  }
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  @Test
  /**
   * Test the present value curve sensitivity through the method and through the calculator.
   */
  public void volatilitySensitivityMethodVsCalculator() {
    final PresentValueForexBlackVolatilitySensitivity pvvsMethod = METHOD_OPTION.presentValueBlackVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvvsCalculator = FOREX_CALL_OPTION.accept(PVVSFBSC, SMILE_MULTICURVES);
    assertEquals("Forex present value curve sensitivity: Method vs Calculator", pvvsMethod, pvvsCalculator);
  }
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      assertEquals("Forex vanilla option: vanna-volga currency exposure put/call parity", ceForward.getAmount(USD), ceCall.getAmount(USD) + cePut.getAmount(USD),
          TOLERANCE_PV);
      assertEquals("Forex vanilla option: vanna-volga currency exposure put/call parity", ceForward.getAmount(EUR), ceCall.getAmount(EUR) + cePut.getAmount(EUR),
          TOLERANCE_PV);
      // Vega
      final PresentValueForexBlackVolatilitySensitivity pvbsCall = METHOD_VANNA_VOLGA.presentValueBlackVolatilitySensitivity(call[loopstrike], VANNAVOLGA_MULTICURVES);
      final PresentValueForexBlackVolatilitySensitivity pvbsPut = METHOD_VANNA_VOLGA.presentValueBlackVolatilitySensitivity(put[loopstrike], VANNAVOLGA_MULTICURVES);
      assertTrue(
          "Forex vanilla option: vanna-volga sensitivity put/call parity - strike " + loopstrike,
          PresentValueForexBlackVolatilitySensitivity.compare(pvbsCall.plus(pvbsPut),
              new PresentValueForexBlackVolatilitySensitivity(EUR, USD, SurfaceValue.from(DoublesPair.of(0.0d, 0.0d), 0.0d)), TOLERANCE_PV));
      // Curve sensitivty
      final MultipleCurrencyMulticurveSensitivity pvcsCall = METHOD_VANNA_VOLGA.presentValueCurveSensitivity(call[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyMulticurveSensitivity pvcsPut = METHOD_VANNA_VOLGA.presentValueCurveSensitivity(put[loopstrike], VANNAVOLGA_MULTICURVES);
      final MultipleCurrencyMulticurveSensitivity pvcsForward = METHOD_DISC.presentValueCurveSensitivity(forexForward, MULTICURVES).converted(USD, FX_MATRIX);
      final MultipleCurrencyMulticurveSensitivity pvcsOpt = pvcsCall.plus(pvcsPut).cleaned();
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    assertEquals("Forex single barrier option: currency exposure long/short parity", ceLong.getAmount(USD), -ceShort.getAmount(USD), TOLERANCE_PV);
    assertEquals("Forex single barrier option: currency exposure long/short parity", ceLong.getAmount(EUR), -ceShort.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_BARRIER.presentValueCurveSensitivity(BARRIER_SHORT, SMILE_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_BARRIER.presentValueCurveSensitivity(OPTION_BARRIER, SMILE_MULTICURVES);
    assertEquals("Forex single barrier option: curve sensitivity long/short parity", pvcsLong.getSensitivity(USD), pvcsShort.getSensitivity(USD).multipliedBy(-1.0));
    final PresentValueForexBlackVolatilitySensitivity pvvsShort = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(BARRIER_SHORT, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvvsLong = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(OPTION_BARRIER, SMILE_MULTICURVES);
    assertEquals("Forex single barrier option: volatility sensitivity long/short parity", pvvsLong, pvvsShort.multipliedBy(-1.0));
  }
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  @Test
  /**
   * Tests present value volatility sensitivity.
   */
  public void volatilitySensitivity() {
    final PresentValueForexBlackVolatilitySensitivity sensi = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(OPTION_BARRIER, SMILE_MULTICURVES);
    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    final DoublesPair point = new DoublesPair(OPTION_BARRIER.getUnderlyingOption().getTimeToExpiry(), STRIKE);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    assertEquals("Forex vanilla option: vega size", 1, sensi.getVega().getMap().entrySet().size());
    assertTrue("Forex vanilla option: vega", sensi.getVega().getMap().containsKey(point));
    final double timeToExpiry = TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_EXPIRY_DATE);
    final double payTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, payTime);
    final double dfForeign = MULTICURVES.getDiscountFactor(EUR, payTime);
    final double forward = SPOT * dfForeign / dfDomestic;
    final double rateDomestic = -Math.log(dfDomestic) / payTime;
    final double rateForeign = -Math.log(dfForeign) / payTime;
    final double volatility = SMILE_TERM.getVolatility(new Triple<>(timeToExpiry, STRIKE, forward));
    final double[] derivatives = new double[5];
    BLACK_BARRIER_FUNCTION.getPriceAdjoint(VANILLA_LONG, BARRIER_KI, REBATE / NOTIONAL, SPOT, rateDomestic - rateForeign, rateDomestic, volatility, derivatives);
    assertEquals("Forex vanilla option: vega", derivatives[4] * NOTIONAL, sensi.getVega().getMap().get(point));
    final PresentValueForexBlackVolatilitySensitivity sensiShort = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(BARRIER_SHORT, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: vega short", -sensi.getVega().getMap().get(point), sensiShort.getVega().getMap().get(point));
  }
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  @Test
  /**
   * Test the present value curve sensitivity through the method and through the calculator.
   */
  public void volatilitySensitivityMethodVsCalculator() {
    final PresentValueForexBlackVolatilitySensitivity pvvsMethod = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(OPTION_BARRIER, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity pvvsCalculator = OPTION_BARRIER.accept(PVFVFBC, SMILE_MULTICURVES);
    assertEquals("Forex present value curve sensitivity: Method vs Calculator", pvvsMethod, pvvsCalculator);
  }
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    final CurrencyAmount vommaBarrier_1 = METHOD_BARRIER.vommaFd(BARRIER_LIKE_VANILLA_DOWN, SMILE_MULTICURVES, 0.0001);
    final CurrencyAmount vommaBarrier_10 = METHOD_BARRIER.vommaFd(BARRIER_LIKE_VANILLA_DOWN, SMILE_MULTICURVES, 0.001);
    final CurrencyAmount vommaBarrier_100 = METHOD_BARRIER.vommaFd(BARRIER_LIKE_VANILLA_DOWN, SMILE_MULTICURVES, 0.01);
    final CurrencyAmount vommaVanilla = METHOD_VANILLA.vomma(VANILLA_LONG, SMILE_MULTICURVES);

    final PresentValueForexBlackVolatilitySensitivity vegaBarrier = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(BARRIER_LIKE_VANILLA_DOWN, SMILE_MULTICURVES);
    final PresentValueForexBlackVolatilitySensitivity vegaVanilla = METHOD_VANILLA.presentValueBlackVolatilitySensitivity(VANILLA_LONG, SMILE_MULTICURVES);
    assertEquals("Vega of KO Barrier with unreachable barrier doesn't match underlying Vanilla's", vegaVanilla.getVega().toSingleValue(), vegaBarrier.getVega()
        .toSingleValue(), 1e-8 * NOTIONAL);

    assertEquals("Vomma of KO Barrier with unreachable barrier doesn't match underlying Vanilla's", vommaVanilla.getAmount(), vommaBarrier_p1.getAmount(),
        1e-6 * NOTIONAL);
    assertTrue("Vomma of KO Barrier with unreachable barrier doesn't match underlying Vanilla's",
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  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 PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
    return Collections.singleton(new ComputedValue(spec, result));
  }
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