Examples of PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator

  /**
   * Tests present value volatility node sensitivity.
   */
  public void presentValueBlackVolatilityNodeSensitivityMethodVCalculator() {
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle pvbnsMethod = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilityNodeSensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator(STANDARD_SPREAD);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle pvbnsCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
    assertTrue("Forex Digital option: call spread method - Black node sensitivity", PresentValueForexBlackVolatilityNodeSensitivityDataBundle.compare(pvbnsMethod, pvbnsCalculator, TOLERANCE_DELTA));
  }

  @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 PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilityNodeSensitivityDataBundle result = fxDigital.accept(calculator, (SmileDeltaTermStructureDataBundle) data.getVolatilityModel());
    final double[] expiries = result.getExpiries().getData();
    final double[] delta = result.getDelta().getData();
    final double[][] vega = result.getVega().getData();
    final int nDelta = delta.length;

Examples of PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator

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

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