Package com.opengamma.analytics.financial.forex.derivative

Examples of com.opengamma.analytics.financial.forex.derivative.Forex.accept()

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    final List<Double> ptsDiff = new ArrayList<>();
    final List<Double> payTime = new ArrayList<>();
    while (!loopdate.isAfter(endDate)) {
      final ForexDefinition fxSwapDefinition = new ForexDefinition(EUR, USD, loopdate, notionalEUR, fxEURUSDFwdInit);
      final Forex fxSwap = fxSwapDefinition.toDerivative(NOW);
      final MultipleCurrencyAmount pvFxSwap = fxSwap.accept(PVDC, multicurves);
      final double pvUSDCurved = FX_MATRIX.convert(pvFxSwap, USD).getAmount();
      pvUSDCurve.add(pvUSDCurved);
      final double pvUSDPtsd = -(fxEURUSDFwdInit - FX_EURUSD - pointsCurve.getYValue(fxSwap.getPaymentTime()))
          * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
      pvUSDPts.add(pvUSDPtsd);
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   */
  public void parSpread() {
    final double ps = METHOD_FX.parSpread(FX, MULTICURVES);
    final ForexDefinition fx0Definition = new ForexDefinition(CUR_1, CUR_2, PAYMENT_DATE, NOMINAL_1, FX_RATE + ps);
    final Forex fx0 = fx0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fx0.accept(PVDC, MULTICURVES);
    assertEquals("ForexDiscountingMethod: parSpread", 0, MULTICURVES.getFxRates().convert(pv0, CUR_1).getAmount(), TOLERANCE_RATE);
  }

  @Test
  /**
 
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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforePayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE.minusDays(1));
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnPayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency1().getReferenceAmount(), cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency2().getReferenceAmount(), cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforePayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnPayment() {
    final Forex fx = FX_DEFINITION.toDerivative(PAYMENT_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency1().getReferenceAmount(), cash.getAmount(fx.getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_DEFINITION.getPaymentCurrency2().getReferenceAmount(), cash.getAmount(fx.getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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    final MultipleCurrencyAmount theta = THETAC.getTheta(FX_DEFINITION, REFERENCE_DATE, CURVES_NAME, CURVES, 1);
    final Forex swapToday = FX_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final Forex swapTomorrow = FX_DEFINITION.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount pvToday = swapToday.accept(PVC_FX, CURVES);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(CURVES, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final MultipleCurrencyAmount pvTomorrow = swapTomorrow.accept(PVC_FX, tomorrowData);
    final MultipleCurrencyAmount thetaExpected = pvTomorrow.plus(pvToday.multipliedBy(-1.0));
    assertEquals("ThetaCalculator: fixed-coupon swap", thetaExpected.getAmount(CUR_1), theta.getAmount(CUR_1), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", thetaExpected.getAmount(CUR_2), theta.getAmount(CUR_2), TOLERANCE_PV);
    assertEquals("ThetaCalculator: fixed-coupon swap", 2, theta.getCurrencyAmounts().length);
  }
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  @Test
  public void testForex() {
    final double t = 0.124;
    final Forex fx = new Forex(new PaymentFixed(Currency.AUD, t, -100), new PaymentFixed(Currency.USD, t, 100));
    assertEquals(fx.accept(LDC), t, 0);
  }
}
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