Examples of checkCurrencies()

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle.checkCurrencies()

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  public double impliedVolatility(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    // Forward sweep
    final Currency domesticCcy;
    final Currency foreignCcy;
    final String foreignCurveName;
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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle.checkCurrencies()

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  public double impliedVolatility(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle.checkCurrencies()

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  public CurrencyAmount gamma(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle.checkCurrencies()

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  public CurrencyAmount gammaSpot(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);
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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle.checkCurrencies()

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   */
  public PresentValueForexBlackVolatilityNodeSensitivityDataBundle presentValueBlackVolatilityNodeSensitivity(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionDigital, smile); // In ccy2
    final double df = smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionDigital.getCurrency1(), optionDigital.getCurrency2());
    final double forward = spot * smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime())
        / df;
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackForexTermStructureBundle.checkCurrencies()

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  public double impliedVolatility(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackForexTermStructureBundle, "Yield curve bundle should contain Black volatility data");
    final YieldCurveWithBlackForexTermStructureBundle black = (YieldCurveWithBlackForexTermStructureBundle) curves;
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.isTrue(black.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with data");
    final double volatility = black.getVolatilityModel().getVolatility(optionForex.getTimeToExpiry());
    return volatility;
  }

  /**
 
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