Package com.opengamma.analytics.financial.model.option.pricing.analytic.formula

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[4]);
 
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    final double[] betaBar = new double[] {(beta0[0] + betaK[0]) / 2.0, (beta0[1] + betaK[1]) / 2.0 };
    final double sigmaBar2 = gamma[0][0] * betaBar[0] * betaBar[0] + gamma[1][1] * betaBar[1] * betaBar[1] + 2 * rhog2pp * gamma[0][1] * betaBar[0] * betaBar[1];
    final double sigmaBar = Math.sqrt(sigmaBar2);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaBar);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), price);
  }
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    // TODO: A better notion of maturity may be required (using period?)
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
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    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[5]);
 
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    // TODO: A better notion of maturity may be required (using period?)
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final MultipleCurrencyAmount pv = MultipleCurrencyAmount.of(swaption.getCurrency(), pvbpModified * func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0));
    // Curve sensitivity
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
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    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    double pv;
    if (swaption.getStrike() <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
      final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
      final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(swaption);
      pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    } else { // With extrapolation
      final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
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    final double[] k = new double[n];
    final double[] vol = new double[n];
    for (int i = 0; i < n; i++) {
      k[i] = strikeNPrice[i][0];
      vol[i] = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, DF, 0.0), new EuropeanVanillaOption(k[i], t, isCall), strikeNPrice[i][1]);
    }

    final Interpolator1DDataBundle dataBundle = INTERPOLATOR.getDataBundleFromSortedArrays(k, vol);
    final double[][] strikeNPrice2 = PRICER.price(FORWARD, DF, t, isCall, heston, 0.7 * FORWARD, 1.5 * FORWARD, nStrikes, 0.2, 0.75, 1e-8);
    final int m = strikeNPrice2.length;
    for (int i = 0; i < m; i++) {
      final double strike = strikeNPrice2[i][0];
      final double sigma = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, DF, 0.0), new EuropeanVanillaOption(strike, t, isCall), strikeNPrice2[i][1]);
      assertEquals(sigma, INTERPOLATOR.interpolate(dataBundle, strike), 1e-5);
    }

  }
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    final double price = DF * FORWARD * integral;
    double impVol = 0;
    try {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(FORWARD, T, true);
      final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, option, price);
    } catch (final Exception e) {
    }
    assertEquals(SIGMA, impVol, 1e-5);
  }
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