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

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

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvMethod = METHOD_BLACK_DIGITAL.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), TOLERANCE_PV);
  }

  @Test
  /**
 
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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount ceMethod = METHOD_BLACK_DIGITAL.currencyExposure(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount ceCalculator = forexOption.accept(CEFBC, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(EUR), ceCalculator.getAmount(EUR), 1E-2);
    assertEquals("Forex Digital option: currency exposure Method vs Calculator", ceMethod.getAmount(USD), ceCalculator.getAmount(USD), 1E-2);
  }

  @Test
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  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);
    final CurrencyAmount gammaDomesticMethod = METHOD_DIGITAL_SPREAD.gammaSpot(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final CurrencyAmount gammaDomesticCalculator = FOREX_DIGITAL_CALL_DOM.accept(calculator, SMILE_BUNDLE);
    assertEquals("Forex Digital option: call spread method - gamma spot", gammaDomesticCalculator.getAmount(), gammaDomesticMethod.getAmount(), TOLERANCE_PV);
  }
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    final MultipleCurrencyAmount theta = THETAC.getTheta(FOREX_DIGITAL_CALL_DOM_DEFINITION, REFERENCE_DATE, CURVES_NAME, SMILE_BUNDLE, PVC_CALLSPREAD, 1);
    final ForexOptionDigital swapToday = FOREX_DIGITAL_CALL_DOM_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final ForexOptionDigital swapTomorrow = FOREX_DIGITAL_CALL_DOM_DEFINITION.toDerivative(REFERENCE_DATE.plusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount pvToday = swapToday.accept(PVC_CALLSPREAD, SMILE_BUNDLE);
    final YieldCurveBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(SMILE_BUNDLE, TimeCalculator.getTimeBetween(REFERENCE_DATE, REFERENCE_DATE.plusDays(1)));
    final MultipleCurrencyAmount pvTomorrow = swapTomorrow.accept(PVC_CALLSPREAD, tomorrowData);
    final MultipleCurrencyAmount thetaExpected = pvTomorrow.plus(pvToday.multipliedBy(-1.0));
    assertEquals("ThetaCalculator: forex option", thetaExpected.getAmount(USD), theta.getAmount(USD), TOLERANCE_PV);
  }

  @Test(enabled = false)
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