Package com.opengamma.analytics.financial.greeks

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

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  private final Function1D<GreekDataBundle, Map<PositionGreek, Double>> _converter = new GreekToPositionGreekConverter();
  //TODO pass in required greek rather than using the entire set
  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final GreekResultCollection greekResultCollection = new GreekResultCollection();
    Object greekResult;   
    Greek greek;
    for (final String valueName : AvailableGreeks.getAllGreekNames()) {
      greekResult = inputs.getValue(valueName);
      if (greekResult == null) {
        s_logger.warn("Could not get value for " + valueName);
      }
      if (!(greekResult instanceof Double)) {
        throw new IllegalArgumentException("Can only handle Double greeks.");
      }
      greek = AvailableGreeks.getGreekForValueRequirementName(valueName);
      greekResultCollection.put(greek, (Double) greekResult);
    }
    final GreekDataBundle dataBundle = new GreekDataBundle(greekResultCollection, null, new OptionTradeData(target.getPosition().getQuantity().doubleValue(), 25));
    final Map<PositionGreek, Double> positionGreeks = _converter.evaluate(dataBundle);
    final Set<ComputedValue> results = new HashSet<ComputedValue>();
    PositionGreek positionGreek;
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  }

  @Override
  protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final GreekResultCollection greeks = derivative.accept(EqyOptBjerksundStenslandGreekCalculator.getInstance(), market);
    final Set<ComputedValue> result = new HashSet<>();
    for (int i = 0; i < GREEKS.length; i++) {
      final ValueSpecification spec = new ValueSpecification(GREEK_NAMES[i], targetSpec, resultProperties);
      final double greek = greeks.get(GREEKS[i]);
      result.add(new ComputedValue(spec, greek));
    }
    return result;
  }
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    final double r = data.getDiscountCurve().getInterestRate(t);
    final double b = r; //TODO
    final double volatility = data.getVolatilitySurface().getVolatility(t, k);
    final boolean isCall = option.isCall();
    final double[] greeks = MODEL.getPriceAdjoint(s, k, r, b, t, volatility, isCall);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.DELTA, greeks[1]);
    result.put(Greek.DUAL_DELTA, greeks[2]);
    result.put(Greek.RHO, greeks[3]);
    result.put(Greek.CARRY_RHO, greeks[4]);
    result.put(Greek.THETA, greeks[5]);
    result.put(Greek.VEGA, greeks[6]);

    final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, volatility, s, isCall);
    result.put(Greek.GAMMA, pdg[2]);
    return result;
  }
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        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            final int nSteps = 1023;
            for (final double dividend : DIVIDENDS) {
              final OptionFunctionProvider1D function = new CashOrNothingOptionFunctionProvider(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), 0.1) * 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), 0.1) * 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 = 3117; //Slow convergence
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new CashOrNothingOptionFunctionProvider(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 CashOrNothingOptionFunctionProvider(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 CashOrNothingOptionFunctionProvider(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

              if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                  lattice instanceof TianLatticeSpecification) {
                final OptionFunctionProvider1D functionTri = new CashOrNothingOptionFunctionProvider(strike, TIME, nStepsTri, isCall);
                final GreekResultCollection resPropTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, propDividend);
                final GreekResultCollection resCashTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, cashDividend);

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

                assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
                assertEquals(resCashTrinomial.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
                assertEquals(resCashTrinomial.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
                assertEquals(resCashTrinomial.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 CashOrNothingOptionFunctionProvider(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 CashOrNothingOptionFunctionProvider(strike, time, stepsTri, isCall);
          final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), .5) * 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)), 0.5) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.5) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.5) * 0.1);
          //          assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.));
        }
      }
    }
  }
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    greekTypes.remove(Greek.STRIKE_GAMMA);
    greekTypes.remove(Greek.DUAL_DELTA);
    greekTypes.remove(Greek.DUAL_GAMMA);
    greekTypes.remove(Greek.ZETA);
    greekTypes.remove(Greek.ZETA_BLEED);
    GreekResultCollection bsm = BSM.getGreeks(PUT, DATA, greekTypes);
    GreekResultCollection finiteDifference = DUMMY_MODEL.getGreeks(PUT, DATA, greekTypes);
    assertResults(finiteDifference, bsm);
    bsm = BSM.getGreeks(CALL, DATA, greekTypes);
    finiteDifference = DUMMY_MODEL.getGreeks(CALL, DATA, greekTypes);
    assertResults(finiteDifference, bsm);
  }
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          for (final double vol : VOLS) {
            for (final double rho : rhoSet) {
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider2D function2D = new AmericanSpreadOptionFunctionProvider(strike, TIME, nSteps, isCall);
                final OptionFunctionProvider1D function1D = new AmericanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);
                final GreekResultCollection res1D = _model.getGreeks(new TrigeorgisLatticeSpecification(), function1D, SPOT, vol, interest, dividend);
                final double[] ref = new double[] {res1D.get(Greek.FAIR_PRICE), res1D.get(Greek.DELTA), res1D.get(Greek.GAMMA), res1D.get(Greek.THETA) };
                final double[] res = _model.getGreeks(function2D, SPOT, spot2, vol, sigma2, rho, interest, dividend, div2);
                final double[] resMod = new double[] {res[0], res[1], res[4], res[3] };
                assertGreeks(resMod, ref, 1.e-2);
              }
            }
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