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

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

89
90
91
92
93
94
95
96
97
98
99
   

    for (int i = 0; i < 11; i++) {
      final double k = 0.7 + 0.6 * i / 10.0;
      isCall = k >= forward;
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, t, isCall);
      double[] senseFourier = modelGreekFourier.getGreeks(data, option, heston, alpha, 1e-12);

  //    System.out.print(k);
      for(int j=0;j<size;j++) {
        double senseFFT = interpolator.interpolate(db[j], k);
View Full Code Here
41
42
43
44
45
46
47
48
49
50
51
    final MartingaleCharacteristicExponent heston = new HestonCharacteristicExponent(kappa, theta, vol0, omega, rho);
    final FourierPricer pricer = new FourierPricer();

    for (int i = 0; i < 21; i++) {
      final double k = 0.2 + 3.0 * i / 20.0;
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k * FORWARD, T, true);
      final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0);
      final double price = pricer.price(data, option, heston, -0.5, 1e-6);
      final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, option, price);
      assertEquals(sigma, impVol, 1e-3);
    }
View Full Code Here
93
94
95
96
97
98
99
100
101
102
103
    final MartingaleCharacteristicExponent heston = new HestonCharacteristicExponent(kappa, theta, vol0, omega, rho);
    final EuropeanPriceIntegrand integrand = new EuropeanPriceIntegrand(heston, alpha, true);
    final BlackFunctionData data = new BlackFunctionData(1, 1, 0.5);
    for (int i = 0; i < 201; i++) {
      final double x = -0. + i * 80. / 200.0;
      final EuropeanVanillaOption option = new EuropeanVanillaOption(2, t, true);
      final Double res = integrand.getFunction(data, option).evaluate(x);
      System.out.println(x + "\t" + res);
    }

  }
View Full Code Here
141
142
143
144
145
146
147
148
149
150
151
    final FourierPricer pricer = new FourierPricer();
    final BlackFunctionData data = new BlackFunctionData(1, 1, 0);
    for (int i = 0; i < 11; i++) {
      final double k = 0.5 + 1.0 * i / 10.0;

      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, t, true);
      final double price = pricer.price(data, option, heston, alpha, 1e-8);
      BLACK_IMPLIED_VOL.getImpliedVolatility(data, option, price);
      //  System.out.println(k + "\t" + impVol);
    }
  }
View Full Code Here
172
173
174
175
176
177
178
179
180
181
182
    boolean isCall;
    for (int i = 0; i < 11; i++) {
      final double k = 0.7 + 0.6 * i / 10.0;
      isCall = k >= forward;
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, t, isCall);
      final double[] sense = modelGreek.getGreeks(data, option, heston, alpha, 1e-12);

      final double price = pricer.price(data, option, heston, alpha, 1e-8);
      final double[] fdSense = finiteDifferenceModelGreeks((HestonCharacteristicExponent) heston, pricer, data, option);
//      System.out.println(k + "\t" + price + "\t" + fdSense[0] / price + "\t" + fdSense[1] / price + "\t" + fdSense[2] / price + "\t" + fdSense[3] / price + "\t" + fdSense[4] / price
View Full Code Here
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
   * Test if the Hagan volatility function implementation around ATM is numerically stable enough (the finite difference slope should be small enough).
   */
  public void testATMSmoothness() {
    final double timeToExpiry = 1;
    final boolean isCall = true;
    EuropeanVanillaOption option;
    final double alpha = 0.05;
    final double beta = 0.5;
    final double nu = 0.50;
    final double rho = -0.25;
    final int nbPoints = 100;
    final double forward = 0.05;
    final double[] sabrVolatilty = new double[2 * nbPoints + 1];
    final double range = 5E-9;
    final double strike[] = new double[2 * nbPoints + 1];
    for (int looppts = -nbPoints; looppts <= nbPoints; looppts++) {
      strike[looppts + nbPoints] = forward + ((double) looppts) / nbPoints * range;
      option = new EuropeanVanillaOption(strike[looppts + nbPoints], timeToExpiry, isCall);
      final SABRFormulaData SabrData = new SABRFormulaData(alpha, beta, rho, nu);
      sabrVolatilty[looppts + nbPoints] = FUNCTION.getVolatilityFunction(option, forward).evaluate(SabrData);
    }
    for (int looppts = -nbPoints; looppts < nbPoints; looppts++) {
      assertTrue(Math.abs(sabrVolatilty[looppts + nbPoints + 1] - sabrVolatilty[looppts + nbPoints]) / (strike[looppts + nbPoints + 1] - strike[looppts + nbPoints]) < 20.0);
View Full Code Here
95
96
97
98
99
100
101
102
103
104
105
106
    final double startStrike = 0.0001;
    final double endStrike = 0.2500;
    final SABRFormulaData SabrData = new SABRFormulaData(alpha, beta, rho, nu);
    final double[] strikes = new double[nbpoints + 1];
    final double[] sabrVolatilty = new double[nbpoints + 1];
    EuropeanVanillaOption option;
    for (int loopstrike = 0; loopstrike <= nbpoints; loopstrike++) {
      strikes[loopstrike] = startStrike + loopstrike * (endStrike - startStrike) / nbpoints;
      option = new EuropeanVanillaOption(strikes[loopstrike], timeToExpiry, true);
      sabrVolatilty[loopstrike] = FUNCTION.getVolatilityFunction(option, forward).evaluate(SabrData);
    }
  }
View Full Code Here
448
449
450
451
452
453
454
455
456
457
458
459
    final double volatilityFM = FUNCTION.getVolatilityFunction(option, F - deltaF).evaluate(DATA);
    final double derivativeFF_FD = (volatilityFP + volatilityFM - 2 * volatility) / (deltaF * deltaF);
    assertEquals("SABR adjoint order 2: forward-forward", derivativeFF_FD, volD2[0][0], tolerance2);
    // Derivative strike-strike
    final double deltaK = 0.000001;
    final EuropeanVanillaOption optionKP = new EuropeanVanillaOption(option.getStrike() + deltaK, T, true);
    final EuropeanVanillaOption optionKM = new EuropeanVanillaOption(option.getStrike() - deltaK, T, true);
    final double volatilityKP = FUNCTION.getVolatilityFunction(optionKP, F).evaluate(DATA);
    final double volatilityKM = FUNCTION.getVolatilityFunction(optionKM, F).evaluate(DATA);
    final double derivativeKK_FD = (volatilityKP + volatilityKM - 2 * volatility) / (deltaK * deltaK);
    assertEquals("SABR adjoint order 2: strike-strike", derivativeKK_FD, volD2[1][1], tolerance2);
    // Derivative strike-forward
View Full Code Here
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
    final double rho = -0.4;
    final double nu = 0.4;
    final SABRFormulaData sabrData = new SABRFormulaData(alpha, beta, rho, nu);

    final SABRHaganVolatilityFunction sabr = new SABRHaganVolatilityFunction();
    final double[] vol = sabr.getVolatilityAdjoint(new EuropeanVanillaOption(k, t, true), f, sabrData);
    final double bsDelta = BlackFormulaRepository.delta(f, k, t, vol[0], true);
    final double bsVega = BlackFormulaRepository.vega(f, k, t, vol[0]);
    final double volForwardSense = vol[1];
    final double delta = bsDelta + bsVega * volForwardSense;

    final double volUp = sabr.getVolatility(f + eps, k, t, alpha, beta, rho, nu);
    final double volDown = sabr.getVolatility(f - eps, k, t, alpha, beta, rho, nu);
    final double priceUp = BlackFormulaRepository.price(f + eps, k, t, volUp, true);
    final double price = BlackFormulaRepository.price(f, k, t, vol[0], true);
    final double priceDown = BlackFormulaRepository.price(f - eps, k, t, volDown, true);
    final double fdDelta = (priceUp - priceDown) / 2 / eps;
    assertEquals(fdDelta, delta, 1e-6);

    final double bsVanna = BlackFormulaRepository.vanna(f, k, t, vol[0]);
    final double bsGamma = BlackFormulaRepository.gamma(f, k, t, vol[0]);

    final double[] volD1 = new double[5];
    final double[][] volD2 = new double[2][2];
    sabr.getVolatilityAdjoint2(new EuropeanVanillaOption(k, t, true), f, sabrData, volD1, volD2);
    final double d2Sigmad2Fwd = volD2[0][0];
    final double gamma = bsGamma + 2 * bsVanna * vol[1] + bsVega * d2Sigmad2Fwd;
    final double fdGamma = (priceUp + priceDown - 2 * price) / eps / eps;

    final double d2Sigmad2FwdFD = (volUp + volDown - 2 * vol[0]) / eps / eps;
View Full Code Here
222
223
224
225
226
227
228
229
230
231
232
        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 CurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
View Full Code Here
TOP

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

  • com.opengamma.analytics.example.sabrextrapolation.SabrExtrapolationExample
  • com.opengamma.analytics.financial.forex.derivative.ForexOptionVanillaTest
  • com.opengamma.analytics.financial.forex.method.ForexNonDeliverableOptionBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethod
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaVannaVolgaMethod
  • com.opengamma.analytics.financial.interestrate.capletstripping.CapletStrippingJacobian
  • com.opengamma.analytics.financial.interestrate.future.method.BondFutureOptionPremiumSecurityBlackSurfaceMethod
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginBlackSurfaceMethodTest
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecurityBlackSurfaceMethod
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.