Examples of GammaSpotCallSpreadBlackForexCalculator

  @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 GammaSpotCallSpreadBlackForexCalculator calculator = new GammaSpotCallSpreadBlackForexCalculator(spread);
    final CurrencyAmount result = fxDigital.accept(calculator, data);
    final double gammaSpot = result.getAmount() / 100.0; // FIXME: the 100 should be removed when the scaling is available
    return Collections.singleton(new ComputedValue(spec, gammaSpot));
  }

  @Test
  /**
   * Tests the gamma for Forex option. Payment in foreign currency.
   */
  public void gammaSpotMethodVsCalculator() {
    final GammaSpotCallSpreadBlackForexCalculator calculator = new GammaSpotCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final ForexOptionDigitalDefinition digitalForeignDefinition = new ForexOptionDigitalDefinition(FOREX_DEFINITION, OPTION_EXP_DATE, IS_CALL, IS_LONG, false);
    final ForexOptionDigital digitalForeign = digitalForeignDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount gammaForeignMethod = METHOD_DIGITAL_SPREAD.gammaSpot(digitalForeign, SMILE_BUNDLE);
    final CurrencyAmount gammaForeignCalculator = digitalForeign.accept(calculator, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - gamma spot", gammaForeignCalculator.getAmount(), gammaForeignMethod.getAmount(), TOLERANCE_PV);

Examples of GammaSpotCallSpreadBlackForexCalculator

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

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