Examples of InterestRateFutureOptionMarginTransaction

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return MARGINED_IR_FUTURE_OPTION_TXN.presentValueGamma(margined, (YieldCurveWithBlackCubeBundle) curves);
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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  }

  @Override
  public CurrencyAmount presentValue(final InstrumentDerivative instrument, final YieldCurveBundle curves) {
    ArgumentChecker.isTrue(instrument instanceof InterestRateFutureOptionMarginTransaction, "The instrument should be a InterestRateFutureOptionMarginTransaction");
    final InterestRateFutureOptionMarginTransaction transaction = (InterestRateFutureOptionMarginTransaction) instrument;
    final double priceSecurity = _securityMethod.optionPrice(transaction.getUnderlyingOption(), curves);
    final CurrencyAmount pvTransaction = presentValueFromPrice(transaction, priceSecurity);
    return pvTransaction;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return METHOD_OPTIONFUTURESMARGIN_SABR.presentValue(margined, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return MARGINNED_IR_FUTURE_OPTION.presentValue(margined, curves).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    if (tradeDateLocal.isBefore(dateTime.toLocalDate())) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
    }
    final InterestRateFutureOptionMarginTransaction optionTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, _quantity, referencePrice);
    return optionTransaction;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    if (tradeDateLocal.isBefore(dateTime.toLocalDate())) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
    }
    final InterestRateFutureOptionMarginTransaction optionTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, _quantity, referencePrice);
    return optionTransaction;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return METHOD_OPTIONFUTURESMARGIN_BLACK.presentValueBlackSensitivity(margined, (YieldCurveWithBlackCubeBundle) curves);
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(curves, "curves");
    final InterestRateFutureOptionPremiumSecurity premiumUnderlying = transaction.getUnderlyingOption();
    final InterestRateFutureOptionMarginSecurity underlyingOption = new InterestRateFutureOptionMarginSecurity(premiumUnderlying.getUnderlyingFuture(),
        premiumUnderlying.getExpirationTime(), premiumUnderlying.getStrike(), premiumUnderlying.isCall());
    final InterestRateFutureOptionMarginTransaction marginTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, transaction.getQuantity(), transaction.getTradePrice());
    return MARGINED_IR_FUTURE_OPTION.presentValueCurveSensitivity(marginTransaction, curves).getSensitivities();
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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  public void thetaIRFOReferencePrice() {
    final MultipleCurrencyAmount theta1_0 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ZERO, ONE_DAY_FWD);
    final MultipleCurrencyAmount theta1_1 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ONE, ONE_DAY_FWD);

    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final InterestRateFutureOptionMarginTransaction derivative = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, PRICE_ONE, CURVE_NAMES);
    final double pvToday = derivative.accept(pvCalculator, BLACK_BUNDLE);

    assertEquals("InterestRateFutureOption Theta - sensitive to reference rate: ", 0.0, (theta1_0.getAmount(CUR) - theta1_1.getAmount(CUR)) / pvToday, 1e-15);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction

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   * We currently model the theta of margined future options to lose all their value as time shifts across expiry
   * TODO - Review this choice, and behaviour of TodayPaymentCalculator
   */
  public void thetaIRFOAcrossExpiry() {
    final MultipleCurrencyAmount theta = CALC.getTheta(OPTION_TRANSACTION, EXPIRATION_DATE, CURVE_NAMES, BLACK_BUNDLE, TRADE_PRICE, ONE_DAY_FWD);
    final InterestRateFutureOptionMarginTransaction derivAtExpiry = OPTION_TRANSACTION.toDerivative(EXPIRATION_DATE, TRADE_PRICE, CURVE_NAMES);
    final double valueAtExpiry = derivAtExpiry.accept(PresentValueBlackCalculator.getInstance(), BLACK_BUNDLE);
    assertEquals("InterestRateFutureOption Theta - Across Expiry: ", -1 * valueAtExpiry, theta.getAmount(CUR), 0);
  }
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