Package com.opengamma.analytics.financial.equity.variance.pricing

Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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    //  System.out.println("expected:" + FLAT_VOL + " actual:" + kVol);
    assertEquals(FLAT_VOL, kVol, 1e-6);

    //test the new backwards local vol method for expected variance
    final YieldAndDiscountCurve yieldCurve = new YieldCurve("test", ConstantDoublesCurve.from(DRIFT));
    final AffineDividends ad = AffineDividends.noDividends();

    final EquityVarianceSwapBackwardsPurePDE backSolver = new EquityVarianceSwapBackwardsPurePDE();
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(ConstantDoublesSurface.from(FLAT_VOL));

    final double[] res2 = backSolver.expectedVariance(SPOT, yieldCurve, ad, EXPIRY, plv);
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    if (interpolatorObject == null) {
      throw new OpenGammaRuntimeException("Could not get surface interpolator");
    }
    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final AffineDividends dividends = getDividends(inputs);
    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Object, Object> volatilitySurfaceData = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
    final Triple<double[], double[][], double[][]> strikesAndValues = BlackVolatilitySurfaceUtils.getStrippedStrikesAndValues(volatilitySurfaceData);
    final double[] expiryNumber = strikesAndValues.getFirst();
    final double[] expiries = getExpiries(expiryNumber, date);
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      throw new OpenGammaRuntimeException("Volatility data were null");
    }
    final Object tsObject = inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve yieldCurve = (YieldAndDiscountCurve) yieldCurveObject;
    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVolsBackwardPDE(swap, spot, yieldCurve, dividends, volatilities);
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      final YieldCurve costOfCarryCurve = YieldCurve.from(ConstantDoublesCurve.from(dividendYield, "CostOfCarry"));
      forwardCurve = new ForwardCurveYieldImplied(spot, fundingCurve, costOfCarryCurve);     
    } else {
      Object discreteDividendsInput = inputs.getValue(ValueRequirementNames.AFFINE_DIVIDENDS);
      if ((discreteDividendsInput != null) && (discreteDividendsInput instanceof AffineDividends)) {
        final AffineDividends discreteDividends = (AffineDividends) discreteDividendsInput;
        forwardCurve = new ForwardCurveAffineDividends(spot, fundingCurve, discreteDividends);
      } else {
        forwardCurve = new ForwardCurveYieldImplied(spot, fundingCurve, YieldCurve.from(ConstantDoublesCurve.from(0.0, "CostOfCarry")));
      }
    }
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        fixedAmounts[i] = 0.0;
        proportionalAmounts[i] = proportionalAmt;
      }
    }
   
    final AffineDividends dividends = new AffineDividends(divTimes, fixedAmounts, proportionalAmounts);
    final ValueProperties properties = getValuePropertiesBuilder().get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.AFFINE_DIVIDENDS, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, dividends));
  }
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      throw new OpenGammaRuntimeException("Volatility data were null");
    }
    final Object tsObject = inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve yieldCurve = (YieldAndDiscountCurve) yieldCurveObject;
    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapStaticReplicationPricer pricer = EquityVarianceSwapStaticReplicationPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVols(swap, spot, yieldCurve, dividends, volatilities);
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  private static final double[] BETA = new double[] {0, 0, 0, 0, 0.15, 0.2, 0.3};

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final AffineDividends dividends = new AffineDividends(TAU, ALPHA, BETA);
    final ValueProperties properties = createValueProperties().get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.AFFINE_DIVIDENDS, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, dividends));
  }
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Related Classes of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.financial.analytics.fudgemsg.AffineDividendsFudgeBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelForwardCurve$ForwardCurveAffineDividendsBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelForwardCurveTest
  • com.opengamma.financial.analytics.model.equity.AffineDividendFunction
  • com.opengamma.financial.analytics.model.equity.DiscreteDividendFunction
  • com.opengamma.financial.analytics.model.equity.EquityForwardCurveFunction
  • com.opengamma.financial.analytics.model.equity.varianceswap.EquityVarianceSwapPureImpliedVolPVFunction
  • com.opengamma.financial.analytics.model.equity.varianceswap.EquityVarianceSwapPureLocalVolPVFunction
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