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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    }
    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);

    double fwd = data.getForward();
    double df = data.getDiscountFactor();
    double t = option.getTimeToExpiry();
    boolean isCall = option.isCall();
    double limitSigma = data.getBlackVolatility(); //TODO This is a tuning parameter of the algorithm and has no business being passed in a BlackOptionDataBundle

    final double[][] prices = PRICER.price(fwd, df, t, isCall, _characteristicExponent, _nStrikes, _maxDeltaMoneyness, limitSigma, _alpha, _tolerance);
    final int n = prices.length;
    final double[] k = new double[n];
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification,
        calendar, curveBlack);
    final double forwardModified = METHOD_SWAP.forwardSwapSpreadModified(swaption.getUnderlyingSwap(), pvbpModified, curveBlack);
    final double strikeModified = METHOD_SWAP.couponEquivalentSpreadModified(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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    }
    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);
    final double price = _pricer.price(data, option, _characteristicExponent, _alpha, _limitTolerance, _useVarianceReduction);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.FAIR_PRICE, price);
    return result;
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      betaK[1] += alphaK[loopcf] * ht0[1][loopcf + 1];
    }
    final double[] betaBar = new double[] {(beta0[0] + betaK[0]) / 2.0, (beta0[1] + betaK[1]) / 2.0};
    final double sigmaBar2 = gamma[0][0] * betaBar[0] * betaBar[0] + gamma[1][1] * betaBar[1] * betaBar[1] + 2 * rhog2pp * gamma[0][1] * betaBar[0] * betaBar[1];
    final double sigmaBar = Math.sqrt(sigmaBar2);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaBar);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), price);
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    final Currency ccy = swaption.getCurrency();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(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).
    if (strikeModified <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
      final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
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    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    // 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());

    // With extrapolation
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
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    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    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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      betaK[1] += alphaK[loopcf] * ht0[1][loopcf + 1];
    }
    final double[] betaBar = new double[] {(beta0[0] + betaK[0]) / 2.0, (beta0[1] + betaK[1]) / 2.0 };
    final double sigmaBar2 = gamma[0][0] * betaBar[0] * betaBar[0] + gamma[1][1] * betaBar[1] * betaBar[1] + 2 * rhog2pp * gamma[0][1] * betaBar[0] * betaBar[1];
    final double sigmaBar = Math.sqrt(sigmaBar2);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaBar);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), price);
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    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 MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    // 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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