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

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

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    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), sabrData.getSABRParameter().getDayCount(), sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), sabrData.getSABRParameter().getDayCount(), sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    // 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);
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    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
    final InterestRateCurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData));
    // 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);
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    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    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);
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        sigmaM[loopfact] += alphaM[loopcf + 1] * muM[loopcf][loopfact];
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = dfLMM[0] * func.evaluate(dataBlack);
    return MultipleCurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
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        sigmaM[loopfact] += alphaM[loopcf + 1] * muM[loopcf][loopfact];
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
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        sigmaM[loopfact] += alphaM[loopcf + 1] * muM[loopcf][loopfact];
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
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        sigmaM[loopfact] += alphaM[loopcf + 1] * muM[loopcf][loopfact];
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
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     * The Black-Scholes formula with numeraire 1 as function of the strike.
     * @param strike The strike.
     * @return The Black-Scholes formula.
     */
    double bs(final double strike) {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, _timeToExpiry, _isCall);
      final Function1D<SABRFormulaData, Double> funcSabr = _sabrFunction.getVolatilityFunction(option, _forward);
      final double volatility = funcSabr.evaluate(_sabrData);
      final BlackFunctionData dataBlack = new BlackFunctionData(_forward, 1.0, volatility);
      final Function1D<BlackFunctionData, Double> func = _blackFunction.getPriceFunction(option);
      return func.evaluate(dataBlack);
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    for (int i = 0; i < n; i++) {
      final double k = strikeNprice[i][0];
      final double price = strikeNprice[i][1];

      final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, DF, 0.0), new EuropeanVanillaOption(k, T, true), price);
      //System.out.println(k + "\t" + impVol);
      assertEquals(sigma, impVol, 1e-3);
    }
  }
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