Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

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    private static final String STRIKES_FIELD_NAME = "strikesField";
    private static final String VOLS_FIELD_NAME = "volsField";

    @Override
    public StandardSmileSurfaceDataBundle buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ForwardCurve forwardCurve = deserializer.fieldValueToObject(ForwardCurve.class, message.getByName(FORWARD_CURVE_FIELD_NAME));
      final double[] expiries = deserializer.fieldValueToObject(double[].class, message.getByName(EXPIRIES_FIELD_NAME));
      final double[][] strikes = deserializer.fieldValueToObject(double[][].class, message.getByName(STRIKES_FIELD_NAME));
      final double[][] vols = deserializer.fieldValueToObject(double[][].class, message.getByName(VOLS_FIELD_NAME));
      return new StandardSmileSurfaceDataBundle(forwardCurve, expiries, strikes, vols);
    }
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    private static final String STRIKES_FIELD_NAME = "strikesField";
    private static final String VOLS_FIELD_NAME = "volsField";

    @Override
    public ForexSmileDeltaSurfaceDataBundle buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ForwardCurve forwardCurve = deserializer.fieldValueToObject(ForwardCurve.class, message.getByName(FORWARD_CURVE_FIELD_NAME));
      final double[] expiries = deserializer.fieldValueToObject(double[].class, message.getByName(EXPIRIES_FIELD_NAME));
      final double[][] strikes = deserializer.fieldValueToObject(double[][].class, message.getByName(STRIKES_FIELD_NAME));
      final double[][] vols = deserializer.fieldValueToObject(double[][].class, message.getByName(VOLS_FIELD_NAME));
      return new ForexSmileDeltaSurfaceDataBundle(forwardCurve, expiries, strikes, vols, true);
    }
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      // Get the forward curve
      final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
      if (forwardCurveObject == null) {
        throw new OpenGammaRuntimeException("Could not get forward curve");
      }
      final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
      stdVolSurface = getSurfaceFromPriceQuote(valDate, rawSurface, forwardCurve, discountCurve, specification);
    } else {
      throw new OpenGammaRuntimeException("Cannot handle quote units " + surfaceQuoteUnits);
    }
    // Return
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    prices(ps, expiry, strikes, _localVolatilityStrike);
  }

  public void prices(final PrintStream ps, final double expiry, final double[] strikes,
      final LocalVolatilitySurfaceStrike localVol) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();
    final double forward = forwardCurve.getForward(expiry);

    double maxProxyDelta = 1.5;
    final int nStrikes = strikes.length;
    for (int i = 0; i < nStrikes; i++) {
      final double d = Math.abs(Math.log(strikes[i] / forward) / Math.sqrt(expiry));
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   * @param localVol The local volatility
   */
  public void deltaAndGamma(final PrintStream ps, final double expiry, final double strike,
      final LocalVolatilitySurfaceStrike localVol) {

    final ForwardCurve forwardCurve = _marketData.getForwardCurve();
    final double forward = forwardCurve.getForward(expiry);

    final double shift = 1e-2;

    final double maxForward = 3.5 * forward;
    final double maxProxyDelta = 1.5;

    final PDEFullResults1D pdeRes = runForwardPDESolver(forwardCurve, localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUp = runForwardPDESolver(forwardCurve.withFractionalShift(shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDown = runForwardPDESolver(forwardCurve.withFractionalShift(-shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);

    final int n = pdeRes.getNumberSpaceNodes();

    ps.println("Result of running Forward PDE solver - this gives you a grid of prices at expiries and strikes for a spot " +
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   * @param ps Print Stream
   * @param expiry the expiry of test option
   * @param shift the fraction shift to the forward
   */
  public void smileDynamic(final PrintStream ps, final double expiry, final double shift) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();
    smileDynamic(ps, expiry, _localVolatilityStrike, forwardCurve);
    smileDynamic(ps, expiry, _localVolatilityStrike, forwardCurve.withFractionalShift(shift));
  }
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   * @param ps Print Stream
   * @param option test option
   * @param localVol the local volatility
   */
  public void vega(final PrintStream ps, final EuropeanVanillaOption option, final LocalVolatilitySurfaceStrike localVol) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();
    final double forward = forwardCurve.getForward(option.getTimeToExpiry());
    final double maxT = option.getTimeToExpiry();
    final double maxProxyDelta = 1.5;
    final double volShift = 1e-3;
    //    final double fracShift = 5e-4;
    final double fwdShift = 5e-2;

    //parallel shift the strike parameterised local vol surface
    final LocalVolatilitySurfaceStrike lvUp = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(localVol.getSurface(), volShift, true));
    final LocalVolatilitySurfaceStrike lvDown = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(localVol.getSurface(), -volShift, true));

    //first order shifts
    final PDEFullResults1D pdeRes = runForwardPDESolver(forwardCurve, localVol, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEResults1D pdeResUp = runForwardPDESolver(forwardCurve, lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEResults1D pdeResDown = runForwardPDESolver(forwardCurve, lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);

    //second order shifts
    final PDEResults1D pdeResUpUp = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUpDown = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownUp = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownDown = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);

    ps.println("Strike\tBS Vega\tVega\tBS Vanna\tVanna\tBS Vomma\tVomma");
    final int n = pdeRes.getNumberSpaceNodes();
    for (int i = 0; i < n; i++) {
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   * @return PDEResults1D which contains the forward (i.e. non-discounted) option prices and different initial levels of the forward F(0,T)
   */
  private PDEResults1D runBackwardsPDESolver(final double strike, final LocalVolatilitySurfaceStrike localVolatility, final boolean isCall,
      final double theta, final double expiry, final double maxFwd, final int
      nTimeNodes, final int nFwdNodes, final double timeMeshLambda, final double spotMeshBunching, final double fwdNodeCentre) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();

    final PDE1DCoefficientsProvider pdeProvider = new PDE1DCoefficientsProvider();
    final InitialConditionsProvider intProvider = new InitialConditionsProvider();
    final ConvectionDiffusionPDE1DCoefficients pde = pdeProvider.getBackwardsLocalVol(forwardCurve, expiry, localVolatility);
    final Function1D<Double, Double> payoff = intProvider.getEuropeanPayoff(strike, isCall);
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  }

  @Test
  public void testMoneynessSurface() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final BlackVolatilitySurfaceMoneyness moneyness1 = new BlackVolatilitySurfaceMoneyness(surface, curve);
    BlackVolatilitySurfaceMoneyness moneyness2 = cycleObject(BlackVolatilitySurfaceMoneyness.class, moneyness1);
    assertEquals(moneyness1, moneyness2);
    moneyness2 = cycleObject(BlackVolatilitySurfaceMoneyness.class, new BlackVolatilitySurfaceMoneyness(moneyness1));
    assertEquals(moneyness1, moneyness2);
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  }

  @Test
  public void testMoneynessSurfaceBackedByGrid() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final StandardSmileSurfaceDataBundle gridData = new StandardSmileSurfaceDataBundle(100.0, new double[] {101,102,103}, new double[] {1,2,3},
        new double[][] {{80,80},{100,100},{120,120}}, new double[][] {{.3,.25},{.2,.2},{.3,.25}}, new LinearInterpolator1D() );
    final VolatilitySurfaceInterpolator interpolator = new VolatilitySurfaceInterpolator();
    final BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness1 = new BlackVolatilitySurfaceMoneynessFcnBackedByGrid(surface, curve, gridData, interpolator);
    BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness2 = cycleObject(BlackVolatilitySurfaceMoneynessFcnBackedByGrid.class, moneyness1);
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplication
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVolatilityToPureVolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.analytics.financial.interestrate.curve.ForwardCurveTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricerTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider
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