Examples of BlackVolatilitySurfaceDelta

com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta
A surface that contains the Black (implied) volatility as a function of time to maturity and (call) delta. Delta is in the range [0,1], where 0.5 is the ATM (DNS), Delta > 0.5 is ITM calls and Delta < 0.5 is OTM calls. Since prices are normally quoted for OTM options, Delta> 0.5 will actually be populated by OTM puts (Delta_put > -0.5, since Delta_call - Delta_put = 1 always holds).

Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

  /**
   * Test ConstantDoublesSurface delta surface at 1 and 10 years
   */
  @Test
  public void testConstantDoublesDeltaSurface() {
    final BlackVolatilitySurfaceDelta constVolSurf = new BlackVolatilitySurfaceDelta(ConstantDoublesSurface.from(TEST_VOL), FORWARD_CURVE);
    final double testVar = PRICER.expectedVariance(swap1, new StaticReplicationDataBundle(constVolSurf, DISCOUNT, FORWARD_CURVE));
    final double testVar2 = PRICER.expectedVariance(swap10, new StaticReplicationDataBundle(constVolSurf, DISCOUNT, FORWARD_CURVE));
    final double targetVar = TEST_VOL * TEST_VOL;


    assertEquals(targetVar, testVar, TEST_TOL);

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Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

        final double delta = x[1];
        return 0.2 + 0.3 * (delta - 0.4) * (delta - 0.4);
      }
    };


    final BlackVolatilitySurfaceDelta surfaceDelta = new BlackVolatilitySurfaceDelta(FunctionalDoublesSurface.from(surf), FORWARD_CURVE);
    final BlackVolatilitySurfaceLogMoneyness surfaceLogMoneyness = BlackVolatilitySurfaceConverter.toLogMoneynessSurface(surfaceDelta);
    final BlackVolatilitySurfaceMoneyness surfaceMoneyness = BlackVolatilitySurfaceConverter.toMoneynessSurface(surfaceLogMoneyness);
    final BlackVolatilitySurfaceStrike surfaceStrike = BlackVolatilitySurfaceConverter.toStrikeSurface(surfaceLogMoneyness);


    final StaticReplicationDataBundle marketStrike = new StaticReplicationDataBundle(surfaceStrike, DISCOUNT, FORWARD_CURVE);

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Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

   */
  @Test
  public void testForwardSensitivityForDeltaStrikeParameterisation() {


    final InterpolatedDoublesSurface DELTA_SURFACE = new InterpolatedDoublesSurface(EXPIRIES, CALLDELTAs, VOLS, new GridInterpolator2D(INTERPOLATOR_1D_LINEAR, INTERPOLATOR_1D_DBLQUAD));
    final BlackVolatilitySurfaceDelta DELTA_VOL_SURFACE = new BlackVolatilitySurfaceDelta(DELTA_SURFACE, FORWARD_CURVE);
    final StaticReplicationDataBundle DELTA_MARKET = new StaticReplicationDataBundle(DELTA_VOL_SURFACE, FUNDING, FORWARD_CURVE);


    final double relShift = 0.1;


    final double deltaSkew = DELTA_CAL.calcForwardSensitivity(swap5y, DELTA_MARKET, relShift);

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Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

   */
  @Test
  public void testBlackVegaForDeltaSurface() {


    final InterpolatedDoublesSurface DELTA_SURFACE = new InterpolatedDoublesSurface(EXPIRIES, CALLDELTAs, VOLS, new GridInterpolator2D(INTERPOLATOR_1D_LINEAR, INTERPOLATOR_1D_DBLQUAD));
    final BlackVolatilitySurfaceDelta DELTA_VOL_SURFACE = new BlackVolatilitySurfaceDelta(DELTA_SURFACE, FORWARD_CURVE);
    final StaticReplicationDataBundle DELTA_MARKET = new StaticReplicationDataBundle(DELTA_VOL_SURFACE, FUNDING, FORWARD_CURVE);


    // Compute the surface
    final NodalDoublesSurface vegaSurface = DELTA_CAL.calcBlackVegaForEntireSurface(swapStartsNow, DELTA_MARKET);
    // Sum up each constituent

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Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

    assertEquals(logBlack.getShift(), 0.0, 1e-9);
  }


  @Test
  public void testConstantDoublesSurface() {
    final BlackVolatilitySurface<?> constVolSurf = new BlackVolatilitySurfaceDelta(ConstantDoublesSurface.from(0.25), FORWARD_CURVE);
    final double forward = FORWARD_CURVE.getForward(expiry1);
    final double delta1 = 0.75;
    final double vol1 = constVolSurf.getVolatility(expiry1, delta1);
    final double strike1 = BlackFormulaRepository.impliedStrike(delta1, true, forward, expiry1, vol1);
    final double delta2 = 0.5;
    final double vol2 = constVolSurf.getVolatility(expiry1, delta2);
    final double strike2 = BlackFormulaRepository.impliedStrike(delta2, true, forward, expiry1, vol2);
    final DisplacedDiffusionModel logBlack = new DisplacedDiffusionModel(forward, expiry1, strike1, vol1, strike2, vol2);


    assertEquals(logBlack.getVol(), 0.25, 1e-9);
    assertEquals(logBlack.getShift(), 0.0, 1e-9);

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Examples of com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceDelta

    final double fwd = FORWARD_CURVE.getForward(expiry);


    final BlackVolatilitySurfaceStrike surfaceStrike = new BlackVolatilitySurfaceStrike(FunctionalDoublesSurface.from(surf));
    final BlackVolatilitySurfaceMoneyness surfaceMoneyness = BlackVolatilitySurfaceConverter.toMoneynessSurface(surfaceStrike, FORWARD_CURVE);
    final BlackVolatilitySurfaceLogMoneyness surfaceLogMoneyness = BlackVolatilitySurfaceConverter.toLogMoneynessSurface(surfaceStrike, FORWARD_CURVE);
    final BlackVolatilitySurfaceDelta surfaceDelta = BlackVolatilitySurfaceConverter.toDeltaSurface(surfaceStrike, FORWARD_CURVE);


    final double expected = w * sigma1 * sigma1 + (1 - w) * sigma2 * sigma2;
    final double strikeVal = CALCULATOR.getAnnualizedVariance(fwd, expiry, surfaceStrike);
    final double moneynessVal = CALCULATOR.getAnnualizedVariance(expiry, surfaceMoneyness);
    final double logMoneynessVal = CALCULATOR.getAnnualizedVariance(expiry, surfaceLogMoneyness);

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