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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    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(blackPrice, "Black and price data");
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
    return priceSecurity;
  }
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    // Forward sweep
    final double priceFuture = blackPrice.getFuturesPrice();
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(priceFuture, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double priceFutureBar = priceAdjoint[1] * priceBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackPrice.getIssuerProvider());
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    ArgumentChecker.notNull(blackPrice, "YieldCurveWithBlackCubeBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
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    ArgumentChecker.notNull(blackPrice, "YieldCurveWithBlackCubeAndForwardBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] firstDerivs = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return firstDerivs[1];
  }
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    ArgumentChecker.notNull(blackPrice, "YieldCurveWithBlackCubeBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] firstDerivs = new double[3];
    final double[][] secondDerivs = new double[3][3];
    BLACK_FUNCTION.getPriceAdjoint2(option, dataBlack, firstDerivs, secondDerivs);
    return secondDerivs[0][0];
  }
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    ArgumentChecker.notNull(blackPrice, "YieldCurveWithBlackCubeBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] firstDerivs = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return firstDerivs[2];
  }
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    final double indexEndValue0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double indexEndValue1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double indexEndValue = cap.getWeight() * indexEndValue0 + (1 - cap.getWeight()) * indexEndValue1;
    final double forward = indexEndValue / cap.getIndexStartValue();
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return MultipleCurrencyAmount.of(cap.getCurrency(), price);
  }
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    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
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    final double forward = sabr.getMulticurveProvider().getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double df = sabr.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    // TODO: Improve maturity, using periods?
    final double volatility = sabr.getSABRParameter().getVolatility(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return MultipleCurrencyAmount.of(cap.getCurrency(), price);
  }
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    final MulticurveSensitivity forwardDr = MulticurveSensitivity.ofForward(multicurve.getName(cap.getIndex()),
        new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), 1.0));
    final double dfDr = -cap.getPaymentTime() * df;
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final double[] volatilityAdjoint = sabr.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
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Related Classes of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

  • com.opengamma.analytics.financial.forex.method.ForexNonDeliverableOptionBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackTermStructureMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackFlatMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackSmileMethodTest
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