Examples of CurrencyExposureCallSpreadBlackForexCalculator

com.opengamma.analytics.financial.forex.calculator.CurrencyExposureCallSpreadBlackForexCalculator
Calculator of the present value for Forex digital options using vanilla call spread with Black formula for underlying vanilla. To compute the currency exposure, the Black volatility is kept constant; the volatility is not recomputed for spot and forward changes. @deprecated Curve builders that use and populate {@link YieldCurveBundle}s are deprecated.

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

  /**
   * Tests the currency exposure. Method vs Calculator.
   */
  public void currencyExposureMethodVCalculator() {
    final MultipleCurrencyAmount ceMethod = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final CurrencyExposureCallSpreadBlackForexCalculator calculator = new CurrencyExposureCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final MultipleCurrencyAmount ceCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - currency exposure", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), TOLERANCE_PV);
    assertEquals("Forex Digital option: call spread method - currency exposure", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), TOLERANCE_PV);
  }

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

  @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 CurrencyExposureCallSpreadBlackForexCalculator calculator = new CurrencyExposureCallSpreadBlackForexCalculator(spread);
    final MultipleCurrencyAmount result = fxDigital.accept(calculator, data);
    return Collections.singleton(new ComputedValue(spec, result));
  }

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