Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

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    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVATM = new double[3][];
    final double[][] priceVVsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final double[] vegaSmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
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   */
  public MultipleCurrencyInterestRateCurveSensitivity presentValueCurveSensitivity(final ForexOptionVanilla optionForex, final SmileDeltaTermStructureVannaVolgaDataBundle smile) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    final String domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    // Forward sweep
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVAdjATM = new double[3][];
    final double[][] priceVVAdjsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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        rr2[j] = rrEURGBP[j][i];
        s2[j] = buttEURGBP[j][i];
        rr3[j] = rrEURUSD[j][i];
        s3[j] = buttEURUSD[j][i];
      }
      final SmileDeltaParameters cal1 = new SmileDeltaParameters(expiries[i], atmGBPUSD[i], deltas, rr1, s1);
      final SmileDeltaParameters cal2 = new SmileDeltaParameters(expiries[i], atmEURGBP[i], deltas, rr2, s2);
      final SmileDeltaParameters cal3 = new SmileDeltaParameters(expiries[i], atmEURUSD[i], deltas, rr3, s3);
      strikeGBPUSD[i] = cal1.getStrike(fwdGBPUSD[i]);
      volGBPUSD[i] = cal1.getVolatility();
      strikeEURGBP[i] = cal2.getStrike(fwdEURGBP[i]);
      volEURGBP[i] = cal2.getVolatility();
      strikeEURUSD[i] = cal3.getStrike(fwdEURUSD[i]);
      volEURUSD[i] = cal3.getVolatility();
    }

    final int nNorms = 2;
    final int nParams = 5 * nNorms - 3;

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        rr2[j] = rrEURGBP[j][i];
        s2[j] = buttEURGBP[j][i];
        rr3[j] = rrEURUSD[j][i];
        s3[j] = buttEURUSD[j][i];
      }
      final SmileDeltaParameters cal1 = new SmileDeltaParameters(expiries[i], atmGBPUSD[i], deltas, rr1, s1);
      final SmileDeltaParameters cal2 = new SmileDeltaParameters(expiries[i], atmEURGBP[i], deltas, rr2, s2);
      final SmileDeltaParameters cal3 = new SmileDeltaParameters(expiries[i], atmEURUSD[i], deltas, rr3, s3);
      strikeGBPUSD[i] = cal1.getStrike(fwdGBPUSD[i]);
      volGBPUSD[i] = cal1.getVolatility();
      strikeEURGBP[i] = cal2.getStrike(fwdEURGBP[i]);
      volEURGBP[i] = cal2.getVolatility();
      strikeEURUSD[i] = cal3.getStrike(fwdEURUSD[i]);
      volEURUSD[i] = cal3.getVolatility();
    }

    final int nNorms = 5;
    final int nParams = 5 * nNorms - 3;

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    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVATM = new double[3][];
    final double[][] priceVVsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final double[] vegaSmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final ForexOptionVanilla optionForex, final BlackForexVannaVolgaProviderInterface smileMulticurves) {
    Validate.notNull(optionForex, "Forex option");
    Validate.notNull(smileMulticurves, "Smile");
    Validate.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    // Forward sweep
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), payTime);
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), payTime);
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVAdjATM = new double[3][];
    final double[][] priceVVAdjsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
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