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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    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / 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(), 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 rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    //    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike()); // , delay
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
    return priceSecurity;
  }
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    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    //    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return -priceAdjoint[1];
  }
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    final double rateStrike = 1.0 - strike;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    //    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return priceAdjoint[2];
  }
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    final double rateStrike = 1.0 - strike;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;

    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);

    // TODO This is overkill. We only need one value, but it provides extra calculations while doing testing
    final double[] firstDerivs = new double[3];
    final double[][] secondDerivs = new double[3][3];
    BLACK_FUNCTION.getPriceAdjoint2(option, dataBlack, firstDerivs, secondDerivs);
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          }
          sigmaBlend *= 1 + (rho * nu * sigmaDD / 4 + (2 - 3 * rho * rho) * nu * nu / 24) * t;
          final double sigmaCEV = sigmaBlend * Math.pow(forward, 1 - beta) / beta;
          final CEVFunctionData cevData = new CEVFunctionData(forward, 1, sigmaCEV, beta);
          final double price = priceFunction.evaluate(cevData);
          return BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(forward, 1, sigmaCEV), option, price);
        }
        throw new NotImplementedException("Have not implemented the case where b <= 0");
      }
    };
  }
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    final double forward = cap.accept(PRC, sabrData);
    final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    // TODO: Improve maturity, using periods?
    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);
    final double price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return CurrencyAmount.of(cap.getCurrency(), price);
  }
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    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(cap.accept(PRSC, sabrData));
    final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double dfDr = -cap.getPaymentTime() * df;
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    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);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(cap.getFundingCurveName(), list);
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    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    final double forward = cap.accept(PRC, sabrData);
    final double df = sabrData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    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);
    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 rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = sabrData.getSABRParameters().getVolatility(new double[] {security.getExpirationTime(), delay, rateStrike, forward});
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
    return priceSecurity;
  }
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