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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    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    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();
    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 DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[4]);
 
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    final double indexEndValue1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double indexEndValue = cap.getWeight() * indexEndValue0 + (1 - cap.getWeight()) * indexEndValue1;
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getZeroCouponConvexityAdjustment(cap, black);
    final double forward = indexEndValue / cap.getIndexStartValue() * convexityAdjustment;
    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() * convexityAdjustment));
    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 df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    double price;
    if (cap.getStrike() <= _cutOffStrike) { // No extrapolation
      final double volatility = sabrData.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);
      price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    } else { // With extrapolation
      SABRExtrapolationRightFunction sabrExtrapolation;
      final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
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    result = new InterestRateCurveSensitivity(resultMap); // result contains \partial df / \partial r
    double bsPrice;
    double bsDforward;
    if (cap.getStrike() <= _cutOffStrike) { // No extrapolation
      final double[] volatilityAdjoint = sabrData.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);
      bsPrice = bsAdjoint[0];
      bsDforward = df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]);
    } else { // With extrapolation
      final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
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    final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final double[] bsDsabr = new double[4];
    if (cap.getStrike() <= _cutOffStrike) { // No extrapolation
      final double[] volatilityAdjoint = sabrData.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);
      bsDsabr[0] = bsAdjoint[2] * volatilityAdjoint[3];
      bsDsabr[1] = bsAdjoint[2] * volatilityAdjoint[4];
      bsDsabr[2] = bsAdjoint[2] * volatilityAdjoint[5];
      bsDsabr[3] = bsAdjoint[2] * volatilityAdjoint[6];
 
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        / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
    double strikeAdjusted = (cap.getStrike() - (beta - 1) / cap.getFixingAccrualFactor()) / beta;
    EuropeanVanillaOption option = new EuropeanVanillaOption(strikeAdjusted + displacement, 1.0, cap.isCap()); // Time is in timeDependentFactor
    double forwardDsc = (multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime()) / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime()) - 1.0) / cap.getFixingAccrualFactor();
    final double df = multicurves.getDiscountFactor(ccy, cap.getPaymentTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardDsc + displacement, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = beta * func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return MultipleCurrencyAmount.of(cap.getCurrency(), price);
  }
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    ArgumentChecker.notNull(black, "Black provider");
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    final double forward = black.getMulticurveProvider().getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final double volatility = black.getBlackParameters().getVolatility(cap.getFixingTime(), cap.getStrike());
    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 double df = multicurve.getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    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 volatility = black.getBlackParameters().getVolatility(cap.getFixingTime(), 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(multicurve.getName(cap.getCurrency()), list);
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    ArgumentChecker.notNull(black, "Black provider");
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double forward = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()) / cap.getIndexStartValue();
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), 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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