@Test
/** Tests put call parity. */
public void presentValuePutCallParity() {
final double strike = 1.45;
final boolean isCall = true;
final boolean isLong = true;
final double notional = 100000000;
final ZonedDateTime payDate =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
final ZonedDateTime expDate =
ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
final ForexDefinition forexUnderlyingDefinition =
new ForexDefinition(EUR, USD, payDate, notional, strike);
final ForexOptionDigitalDefinition callDefinition =
new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
final ForexOptionDigitalDefinition putDefinition =
new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
final ForexOptionDigital call = callDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
final ForexOptionDigital put = putDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
final MultipleCurrencyAmount pvCall = METHOD_DIGITAL_SPREAD.presentValue(call, SMILE_BUNDLE);
final MultipleCurrencyAmount pvPut = METHOD_DIGITAL_SPREAD.presentValue(put, SMILE_BUNDLE);
final Double pvCash = PVC.visit(put.getUnderlyingForex().getPaymentCurrency2(), CURVES);
assertEquals(
"Forex Digital option: call spread method - present value",
pvCall.getAmount(USD) + pvPut.getAmount(USD),
Math.abs(pvCash),
TOLERANCE_PRICE_FLAT);
}
public static void annuityFixedDemo(PrintStream out) {
double[] paymentTimes = fixedPaymentTimes(MATURITY);
AnnuityCouponFixed annuity =
new AnnuityCouponFixed(CCY, paymentTimes, R, LIBOR_CURVE_NAME, false);
out.println(Arrays.deepToString(annuity.getPayments()));
YieldCurveBundle bundle = getBundle();
PresentValueCalculator presentValueCalculator = PresentValueCalculator.getInstance();
double presentValue = presentValueCalculator.visit(annuity, bundle);
out.format("Present Value %f%n", presentValue);
}
@Test
/** Tests the put/call parity currency exposure. */
public void currencyExposurePutCallParity() {
final double strike = 1.45;
final boolean isCall = true;
final boolean isLong = true;
final double notional = 100000000;
final ZonedDateTime payDate =
ScheduleCalculator.getAdjustedDate(
REFERENCE_DATE, Period.ofMonths(9), BUSINESS_DAY, CALENDAR);
final ZonedDateTime expDate =
ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
final ForexDefinition forexUnderlyingDefinition =
new ForexDefinition(EUR, USD, payDate, notional, strike);
final ForexOptionDigitalDefinition forexOptionDefinitionCall =
new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
final ForexOptionDigitalDefinition forexOptionDefinitionPut =
new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, !isCall, isLong);
final ForexOptionDigital forexOptionCall =
forexOptionDefinitionCall.toDerivative(REFERENCE_DATE, CURVES_NAME);
final ForexOptionDigital forexOptionPut =
forexOptionDefinitionPut.toDerivative(REFERENCE_DATE, CURVES_NAME);
final MultipleCurrencyAmount currencyExposureCall =
METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionCall, SMILE_BUNDLE);
final MultipleCurrencyAmount currencyExposurePut =
METHOD_DIGITAL_SPREAD.currencyExposure(forexOptionPut, SMILE_BUNDLE);
final Double pvCash =
PVC.visit(forexOptionPut.getUnderlyingForex().getPaymentCurrency2(), CURVES);
assertEquals(
"Forex Digital option: currency exposure put/call parity foreign",
0,
currencyExposureCall.getAmount(EUR) + currencyExposurePut.getAmount(EUR),
TOLERANCE_PRICE);
assertEquals(
"Forex Digital option: currency exposure put/call parity domestic",
Math.abs(pvCash),
currencyExposureCall.getAmount(USD) + currencyExposurePut.getAmount(USD),
TOLERANCE_PRICE);
}