Package com.opengamma.util.money

Examples of com.opengamma.util.money.CurrencyAmount

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   */
  public CurrencyAmount gamma(final ForexOptionDigital optionDigital, final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionDigital, "Forex option");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = BASE_METHOD.gamma(callSpread[0], smileMulticurves, optionDigital.payDomestic());
    final CurrencyAmount gammaP = BASE_METHOD.gamma(callSpread[1], smileMulticurves, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
  }
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   */
  public CurrencyAmount gammaSpot(final ForexOptionDigital optionDigital, final BlackForexSmileProviderInterface smileMulticurves) {
    ArgumentChecker.notNull(optionDigital, "Forex option");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = BASE_METHOD.gammaSpot(callSpread[0], smileMulticurves, optionDigital.payDomestic());
    final CurrencyAmount gammaP = BASE_METHOD.gammaSpot(callSpread[1], smileMulticurves, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
  }
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   * @param sabrData The SABR and curve data.
   * @return The coupon price.
   */
  public CurrencyAmount presentValue(final CouponCMS cmsCoupon, final SABRInterestRateDataBundle sabrData) {
    final CapFloorCMS cap0 = CapFloorCMS.from(cmsCoupon, 0.0, true);
    final CurrencyAmount priceCMSCoupon = _capFloorMethod.presentValue(cap0, sabrData);
    return priceCMSCoupon;
  }
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    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), expiryTime, strike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, dfDelivery, volatility);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, !optionForex.isCall());
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount priceCurrency = CurrencyAmount.of(optionForex.getCurrency2(), price);
    return MultipleCurrencyAmount.of(priceCurrency);
  }
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  /**
   * Tests the method against the present value calculator.
   */
  public void presentValueSABRReplicationMethodSpecificVsGeneric() {
    final double pvSpecific = METHOD.presentValue(CMS_COUPON_PAYER, SABR_BUNDLE).getAmount();
    final CurrencyAmount pvGeneric = METHOD_GENERIC.presentValue(CMS_COUPON_PAYER, SABR_BUNDLE);
    assertEquals("Coupon CMS SABR: method : Specific vs Generic", pvSpecific, pvGeneric.getAmount());
  }
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  @Test
  /**
   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueBelowCutOff() {
    final CurrencyAmount methodPrice = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final double df = CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getPaymentTime());
    final double forward = CAP_LONG.accept(PRC, CURVES);
    final double maturity = CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
    final DoublesPair expiryMaturity = new DoublesPair(CAP_LONG.getFixingTime(), maturity);
    final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
    final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
    final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
    final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, CUT_OFF_STRIKE, CAP_LONG.getFixingTime(), MU);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(CAP_LONG.getStrike(), CAP_LONG.getFixingTime(), CAP_LONG.isCap());
    final double expectedPrice = sabrExtrapolation.price(option) * CAP_LONG.getNotional() * CAP_LONG.getPaymentYearFraction() * df;
    assertEquals("Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
  }
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  @Test
  /**
   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueAboveCutOff() {
    CurrencyAmount methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final double df = CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_HIGH_LONG.getPaymentTime());
    final double forward = CAP_HIGH_LONG.accept(PRC, CURVES);
    final double maturity = CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime();
    final DoublesPair expiryMaturity = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), maturity);
    final double alpha = SABR_PARAMETERS.getAlpha(expiryMaturity);
    final double beta = SABR_PARAMETERS.getBeta(expiryMaturity);
    final double rho = SABR_PARAMETERS.getRho(expiryMaturity);
    final double nu = SABR_PARAMETERS.getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, CUT_OFF_STRIKE, CAP_HIGH_LONG.getFixingTime(), MU);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(CAP_HIGH_LONG.getStrike(), CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.isCap());
    final double expectedPrice = sabrExtrapolation.price(option) * CAP_HIGH_LONG.getNotional() * CAP_HIGH_LONG.getPaymentYearFraction() * df;
    assertEquals("Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
    methodPrice = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    assertEquals("Cap/floor: SABR with extrapolation pricing", expectedPrice, methodPrice.getAmount(), 1E-2);
  }
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  @Test
  /**
   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueLongShortParityBelowCutOff() {
    final CurrencyAmount priceLong = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final CurrencyAmount priceShort = METHOD.presentValue(CAP_SHORT, SABR_BUNDLE);
    assertEquals("Cap/floor: SABR with extrapolation pricing: long/short parity", priceLong.getAmount(), -priceShort.getAmount(), 1E-2);
  }
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  @Test
  /**
   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueLongShortParityAboveCutOff() {
    final CurrencyAmount priceLong = METHOD.presentValue(CAP_HIGH_LONG, SABR_BUNDLE);
    final CurrencyAmount priceShort = METHOD.presentValue(CAP_HIGH_SHORT, SABR_BUNDLE);
    assertEquals("Cap/floor: SABR with extrapolation pricing: long/short parity", priceLong.getAmount(), -priceShort.getAmount(), 1E-2);
  }
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    double price = priceFlat;
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) {
      price += x[loopvv] * (priceVVsmile[loopvv] - priceVVATM[loopvv]);
    }
    price *= Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final CurrencyAmount pvCurrency = CurrencyAmount.of(optionForex.getUnderlyingForex().getCurrency2(), price);
    return MultipleCurrencyAmount.of(pvCurrency);
  }
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