Package com.opengamma.analytics.financial.greeks

Examples of com.opengamma.analytics.financial.greeks.GreekResultCollection

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          final double rateRef = constA + 0.5 * constB * time;
          final double volRef = Math.sqrt(constC * constC + 0.5 * constD * constD + 2. * constC * constD / time * (1. - Math.cos(time)) - constD * constD * 0.25 / time * Math.sin(2. * time));

          final OptionFunctionProvider1D function = new PoweredOptionFunctionProvider(strike, time, steps, isCall, POWER);
          final double resPrice = _model.getPrice(function, SPOT, vol, rate, dividend);
          final GreekResultCollection resGreeks = _model.getGreeks(function, SPOT, vol, rate, dividend);

          final double resPriceConst = _model.getPrice(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
          final GreekResultCollection resGreeksConst = _model.getGreeks(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
          assertEquals(resPrice, resPriceConst, Math.max(Math.abs(resPriceConst), 1.) * 1.e-1);
          assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 1.) * 1.e-1);
          assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 1.) * 1.e-1);
          assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 1.) * 1.e-1);
          assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.));

          final OptionFunctionProvider1D functionTri = new PoweredOptionFunctionProvider(strike, time, stepsTri, isCall, POWER);
          final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), .1) * 1.e-1);
          final GreekResultCollection resGreeksTrinomial = _modelTrinomial.getGreeks(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resGreeksTrinomial.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));
        }
      }
    }
  }
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        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            final int nSteps = 1059;
            for (final double dividend : DIVIDENDS) {
              final OptionFunctionProvider1D function = new AssetOrNothingOptionFunctionProvider(strike, TIME, nSteps, isCall);
              final GreekResultCollection resDiv = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
              final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-1;
              assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
              final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-1;
              assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
              final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-1;
              assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
              final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
              assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
            }
          }
        }
      }
    }
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          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final int nSteps = 3037; //Slow convergence
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new AssetOrNothingOptionFunctionProvider(strike, TIME, nSteps, isCall);
                final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
                final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
              }
            }
          }
        }
      }
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        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            final int nSteps = 631;
            for (final double dividend : DIVIDENDS) {
              final OptionFunctionProvider1D function = new AssetOrNothingOptionFunctionProvider(strike, TIME, nSteps, isCall);
              final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
              final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-6;
              assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
              final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
              final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
              final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
              final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
            }
          }
        }
      }
    }
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            final double appThetaCash = theta(modSpot, strike, TIME, vol, interest, interest, isCall);

            final OptionFunctionProvider1D function = new AssetOrNothingOptionFunctionProvider(strike, TIME, nSteps, isCall);
            final DividendFunctionProvider cashDividend = new CashDividendFunctionProvider(dividendTimes, cashDividends);
            final DividendFunctionProvider propDividend = new ProportionalDividendFunctionProvider(dividendTimes, propDividends);
            final GreekResultCollection resProp = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
            final GreekResultCollection resCash = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);

            assertEquals(resProp.get(Greek.FAIR_PRICE), exactPriceProp, Math.max(1., Math.abs(exactPriceProp)) * 1.e-1);
            assertEquals(resProp.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
            assertEquals(resProp.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
            assertEquals(resProp.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)));//theta is poorly approximated

            assertEquals(resCash.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
            assertEquals(resCash.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
            assertEquals(resCash.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
            assertEquals(resCash.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));//theta is poorly approximated

            final OptionFunctionProvider1D functionTri = new AssetOrNothingOptionFunctionProvider(strike, TIME, nStepsTri, isCall);
            final GreekResultCollection greeksPropTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, propDividend);
            final GreekResultCollection greeksCashTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, cashDividend);

            assertEquals(greeksPropTrinomial.get(Greek.FAIR_PRICE), exactPriceProp, Math.max(1., Math.abs(exactPriceProp)) * 1.e-1);
            assertEquals(greeksPropTrinomial.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
            assertEquals(greeksPropTrinomial.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
            assertEquals(greeksPropTrinomial.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)));//theta is poorly approximated

            assertEquals(greeksCashTrinomial.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
            assertEquals(greeksCashTrinomial.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
            assertEquals(greeksCashTrinomial.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
            assertEquals(greeksCashTrinomial.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));//theta is poorly approximated
          }
        }
      }
    }
  }
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          final double rateRef = constA + 0.5 * constB * time;
          final double volRef = Math.sqrt(constC * constC + 0.5 * constD * constD + 2. * constC * constD / time * (1. - Math.cos(time)) - constD * constD * 0.25 / time * Math.sin(2. * time));

          final OptionFunctionProvider1D function = new AssetOrNothingOptionFunctionProvider(strike, time, steps, isCall);
          final double resPrice = _model.getPrice(function, SPOT, vol, rate, dividend);
          final GreekResultCollection resGreeks = _model.getGreeks(function, SPOT, vol, rate, dividend);

          final double resPriceConst = _model.getPrice(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
          final GreekResultCollection resGreeksConst = _model.getGreeks(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
          assertEquals(resPrice, resPriceConst, Math.abs(resPriceConst) * 1.e-1);
          assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));

          final OptionFunctionProvider1D functionTri = new AssetOrNothingOptionFunctionProvider(strike, time, stepsTri, isCall);
          final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), .1) * 1.e-1);
          final GreekResultCollection resGreeksTrinomial = _modelTrinomial.getGreeks(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resGreeksTrinomial.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1));
          assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));
        }
      }
    }
  }
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      final double delta = res.getFirstSpatialDerivative(i);
      final double gamma = res.getSecondSpatialDerivative(i);
      final double moneyness = spot / OPTION.getStrike();

      final StandardOptionDataBundle standOptData = new StandardOptionDataBundle(YIELD_CURVE, RATE, VOL_SURFACE, spot, DATE);
      final GreekResultCollection greekResults = BS_MODEL.getGreeks(OPTION_DEFINITION, standOptData, GREEKS);

      final BlackFunctionData data = new BlackFunctionData(spot / df, df, ATM_VOL);

      double impVol;
      try {
        impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, OPTION, price);
      } catch (final Exception e) {
        impVol = 0.0;
      }

      final double bs_price = BS_PRICE.evaluate(standOptData);
      final double bs_delta = greekResults.get(Greek.DELTA);
      final double bs_gamma = greekResults.get(Greek.GAMMA);

      if (print) {
        System.out.println(spot + "\t" + impVol + "\t" + price + "\t" + bs_price + "\t" + delta + "\t" + bs_delta + '\t' + gamma + "\t" + bs_gamma);
      } else {
        if (moneyness >= lowerMoneyness && moneyness <= upperMoneyness) {
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      final double delta = 2.0 * res2.getFirstSpatialDerivative(i) - res1.getFirstSpatialDerivative(i);
      final double gamma = 2.0 * res2.getSecondSpatialDerivative(i) - res1.getSecondSpatialDerivative(i);
      final double moneyness = spot / OPTION.getStrike();

      final StandardOptionDataBundle standOptData = new StandardOptionDataBundle(YIELD_CURVE, RATE, VOL_SURFACE, spot, DATE);
      final GreekResultCollection greekResults = BS_MODEL.getGreeks(OPTION_DEFINITION, standOptData, GREEKS);

      final BlackFunctionData data = new BlackFunctionData(spot / df, df, ATM_VOL);

      double impVol;
      try {
        impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, OPTION, price);
      } catch (final Exception e) {
        impVol = 0.0;
      }

      final double bs_price = BS_PRICE.evaluate(standOptData);
      final double bs_delta = greekResults.get(Greek.DELTA);
      final double bs_gamma = greekResults.get(Greek.GAMMA);

      if (print) {
        System.out.println(spot + "\t" + impVol + "\t" + price + "\t" + bs_price + "\t" + delta + "\t" + bs_delta + '\t' + gamma + "\t" + bs_gamma);
      } else {
        if (moneyness >= lowerMoneyness && moneyness <= upperMoneyness) {
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      final double delta = res.getFirstSpatialDerivative(i) / spot;
      final double gamma = (res.getSecondSpatialDerivative(i) / spot - delta) / spot;
      final double moneyness = spot / OPTION.getStrike();

      final StandardOptionDataBundle standOptData = new StandardOptionDataBundle(YIELD_CURVE, RATE, VOL_SURFACE, spot, DATE);
      final GreekResultCollection greekResults = BS_MODEL.getGreeks(OPTION_DEFINITION, standOptData, GREEKS);

      final BlackFunctionData data = new BlackFunctionData(spot / df, df, ATM_VOL);

      double impVol;
      try {
        impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, OPTION, price);
      } catch (final Exception e) {
        impVol = 0.0;
      }

      final double bs_price = BS_PRICE.evaluate(standOptData);
      final double bs_delta = greekResults.get(Greek.DELTA);
      final double bs_gamma = greekResults.get(Greek.GAMMA);

      if (print) {
        System.out.println(spot + "\t" + impVol + "\t" + price + "\t" + bs_price + "\t" + delta + "\t" + bs_delta + '\t' + gamma + "\t" + bs_gamma);
      } else {
        if (moneyness >= lowerMoneyness && moneyness <= upperMoneyness) {
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Position position = target.getPosition();
    final Security security = position.getSecurity();
    final GreekResultCollection greekResultCollection = new GreekResultCollection();
    final Map<UnderlyingType, Double> underlyingData = new HashMap<UnderlyingType, Double>();
    Greek greek;
    Underlying order;
    List<UnderlyingType> underlyings;
    final String underlyingGreekRequirementName = AvailableValueGreeks.getGreekRequirementNameForValueGreekName(getRequirementName());
    final Double greekResult = (Double) inputs.getValue(underlyingGreekRequirementName);
    greek = AvailableGreeks.getGreekForValueRequirementName(underlyingGreekRequirementName);
    greekResultCollection.put(greek, greekResult);
    double pointValue = 1.0;
    if (security instanceof EquityOptionSecurity) {
      pointValue = ((EquityOptionSecurity) security).getPointValue();
    }
    final OptionTradeData tradeData = new OptionTradeData(position.getQuantity().doubleValue(), pointValue);
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