Examples of BlackPriceFunction

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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        calendar, multicurves);
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbpModified * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, blackMulticurves.getBlackParameters().getGeneratorSwap());
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    if (strikeModified <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
      final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
      final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
      return func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    }
    // With extrapolation
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    // TODO: A better notion of maturity may be required (using period?)
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final InterestRateCurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData));
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[6]);
 
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = dfLMM[0] * func.evaluate(dataBlack);
    return MultipleCurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

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      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
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