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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        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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    double sigmaK = 0.0;
    for (int loopcf = 0; loopcf < nbCf - 1; loopcf++) {
      alphaK[loopcf] = cfa[loopcf + 1] * pK[loopcf + 1] / k;
      sigmaK += eta * (alpha0[loopcf] + alphaK[loopcf]) * factor2[loopcf + 1] / 2.0;
    }
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaK);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack);
    return CurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), fixedLegDayCount, curveBlack, calendar);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, curveBlack);
    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 = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    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, calendar, curveBlack);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack));
    // 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 volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar,
        curveBlack);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack, calendar);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, curveBlack);
    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 DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
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    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
    final double forwardModified = METHOD_SWAP.forwardSwapSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalentSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    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);
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    double sigmaK = 0.0;
    for (int loopcf = 0; loopcf < nbCf - 1; loopcf++) {
      alphaK[loopcf] = cfa[loopcf + 1] * pK[loopcf + 1] / k;
      sigmaK += eta * (alpha0[loopcf] + alphaK[loopcf]) * factor2[loopcf + 1] / 2.0;
    }
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaK);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack);
    return MultipleCurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
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