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 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(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = priceAdjoint[1] * priceBar;
    final double priceFutureBar = -forwardBar;
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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(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 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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    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[] 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(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 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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    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(), delay);
    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 - 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.getSABRParameter().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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    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[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(security.getExpirationTime(), delay, rateStrike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final double forwardBar = priceAdjoint[1] * priceBar + volatilityAdjoint[1] * volatilityBar;
 
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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[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(security.getExpirationTime(), delay, rateStrike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryDelay = new DoublesPair(security.getExpirationTime(), delay);
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    final double maturity = swaption.getMaturityTime();
    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 = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    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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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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