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

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

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      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE);
    final double dfDomestic = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = SMILE_BUNDLE.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final ForexOptionVanilla[] optReference = new ForexOptionVanilla[3];
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikesVV[loopvv]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      optReference[loopvv] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
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      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }

    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], SMILE_BUNDLE_STRIKE_INT);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileTime.getStrike(forward);

    final PresentValueForexBlackVolatilitySensitivity[] vegaObject = new PresentValueForexBlackVolatilitySensitivity[nbStrike + 1];
    final double[][] vegaVV = new double[3][nbStrike + 1];
    final double[] vegaBlack = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
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    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, SMILE_BUNDLE_STRIKE_INT);

    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());

    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
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      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], MULTICURVES);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = VANNAVOLGA_MULTICURVES.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      final double[] weightsComputed = METHOD_VANNA_VOLGA.vannaVolgaWeights(forexOption[loopstrike], forward, dfDomestic, strikesVV, volVV);
      final double[] vega = new double[3];
      final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volVV[1]);
      for (int loopvv = 0; loopvv < 3; loopvv++) {
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    final ZonedDateTime optionPay = ScheduleCalculator.getAdjustedDate(optionExpiry, SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());
    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
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      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    }
    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], MULTICURVES);
    final double dfDomestic = MULTICURVES.getDiscountFactor(USD, forexOption[0].getUnderlyingForex().getPaymentTime()); // USD
    final SmileDeltaParameters smileAtTime = VANNAVOLGA_MULTICURVES.getSmile(EUR, USD, forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final ForexOptionVanilla[] optReference = new ForexOptionVanilla[3];
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikesVV[loopvv]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      optReference[loopvv] = forexOptionDefinition.toDerivative(REFERENCE_DATE);
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      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
      forexOption[loopstrike] = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    }

    final double forward = METHOD_BLACK.forwardForexRate(forexOption[0], MULTICURVES);
    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOption[0].getTimeToExpiry());
    final double[] strikesVV = smileTime.getStrike(forward);

    final PresentValueForexBlackVolatilitySensitivity[] vegaObject = new PresentValueForexBlackVolatilitySensitivity[nbStrike + 1];
    final double[][] vegaVV = new double[3][nbStrike + 1];
    final double[] vegaBlack = new double[nbStrike + 1];
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
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    final ForexDefinition forexUnderlyingSpotDefinition = new ForexDefinition(EUR, USD, optionPay, notional, SPOT);
    final ForexOptionVanillaDefinition forexOptionSpotDefinition = new ForexOptionVanillaDefinition(forexUnderlyingSpotDefinition, optionExpiry, isCall, isLong);
    final ForexOptionVanilla forexOptionSpot = forexOptionSpotDefinition.toDerivative(REFERENCE_DATE);
    final double forward = METHOD_BLACK.forwardForexRate(forexOptionSpot, MULTICURVES);

    final SmileDeltaParameters smileTime = SMILE_TERM.getSmileForTime(forexOptionSpot.getTimeToExpiry());

    final double[] strikes = smileTime.getStrike(forward);
    final int nbStrike = strikes.length;
    final ForexOptionVanilla[] forexOption = new ForexOptionVanilla[nbStrike];
    for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
      final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, optionPay, notional, strikes[loopstrike]);
      final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, optionExpiry, isCall, isLong);
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          }
        } else {
          s_logger.info("Had a null value for tenor number " + j);
        }
      }
      smile[i] = new SmileDeltaParameters(t, deltas.toDoubleArray(), volatilities.toDoubleArray());
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(smile, interpolator);
    final ValueProperties.Builder resultProperties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
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            }
          } else {
            s_logger.info("Had a null delta value for tenor {}", j);
          }
        }
        smile.add(new SmileDeltaParameters(t, atm, deltas.toDoubleArray(), riskReversals.toDoubleArray(), butterflies.toDoubleArray()));
      } else {
        s_logger.info("Could not get atm data for tenor {}", tenor);
      }
    }
    if (smile.size() == 0) {
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