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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  //TODO nothing is being tested in here
  @Test
  public void testIntegrandCGMY() {
    final EuropeanPriceIntegrand integrand = new EuropeanPriceIntegrand(CGMY_CE, -0.5, true);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(0.25 * FORWARD, T, true);
    final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0.5);
    final Function1D<Double, Double> function = integrand.getFunction(data, option);
    if (TEST_TIMING) {
      double res = 0;
      for (int count = 0; count < WARMUP_CYCLES; count++) {
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  @Test(enabled = false)
  public void printTest() {
    for (int i = 0; i < 101; i++) {
      final double k = FORWARD * (0.5 + 2.5 * i / 100.);
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
      final double vol1 = VOL_FUNC.getVolatility(option, FORWARD, LEPTOKURTIC1);
      final double vol2 = VOL_FUNC.getVolatility(option, FORWARD, LEPTOKURTIC2);
      final double vol3 = VOL_FUNC.getVolatility(option, FORWARD, PLATYKURTIC);
      System.out.println(k + "\t" + vol1 + "\t" + vol2 + "\t" + vol3);
    }
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  @Test
  public void smileTest() {

    final double shift = 1e-4;
    final EuropeanVanillaOption optionPlus = new EuropeanVanillaOption((1 + shift) * FORWARD, T, true);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(FORWARD, T, true);
    final EuropeanVanillaOption optionMinus = new EuropeanVanillaOption((1 - shift) * FORWARD, T, true);
    final MixedLogNormalModelData[] data = new MixedLogNormalModelData[] {LEPTOKURTIC1, LEPTOKURTIC2, PLATYKURTIC };
    final double[] skew = new double[3];
    final double[] kurt = new double[3];
    for (int i = 0; i < 3; i++) {
      skew[i] = (VOL_FUNC.getVolatility(optionPlus, FORWARD, data[i]) - VOL_FUNC.getVolatility(optionMinus, FORWARD, data[i])) / 2 / shift / FORWARD;
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    modelAdjointTest(LARGE_SYSTEM);
  }

  private void modelAdjointTest(final MixedLogNormalModelData data) {
    final double strike = 1.1 * FORWARD;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, T, true);
    final Function1D<MixedLogNormalModelData, double[]> modelAdjointFunc = VOL_FUNC.getModelAdjointFunction(option, FORWARD);
    final Function1D<MixedLogNormalModelData, double[]> fdModelAdjointFunc = FD_VOL_FUNC.getModelAdjointFunction(option, FORWARD);

    final double[] sense = modelAdjointFunc.evaluate(data);
    final double[] fdSense = fdModelAdjointFunc.evaluate(data);
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    volatilityAdjointTest(LARGE_SYSTEM);
  }

  public void volatilityAdjointTest(final MixedLogNormalModelData data) {
    final double strike = 0.8 * FORWARD;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, T, true);
    final Function1D<MixedLogNormalModelData, double[]> modelAdjointFunc = VOL_FUNC.getVolatilityAdjointFunction(option, FORWARD);
    final Function1D<MixedLogNormalModelData, double[]> fdModelAdjointFunc = FD_VOL_FUNC.getVolatilityAdjointFunction(option, FORWARD);

    final double[] sense = modelAdjointFunc.evaluate(data);
    final double[] fdSense = fdModelAdjointFunc.evaluate(data);
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  //Accuracy
  @Test
  public void testEquals() {
    final int n = 21;
    EuropeanVanillaOption option = new EuropeanVanillaOption(FORWARD, T, true);
    final double[][] fft_strikeNprice = FFT_PRICER.price(FORWARD, DF, T, true, HESTON, n, MAX_LOG_MONEYNESS, SIGMA, ALPHA, 0.01 * EPS);
    for (int i = 0; i < n; i++) {
      final double k = fft_strikeNprice[i][0];
      final double fft_price = fft_strikeNprice[i][1];
      option = new EuropeanVanillaOption(k, T, true);
      final double price = INTEGRAL_PRICER.price(DATA, option, HESTON, ALPHA, 0.1 * EPS);
      final double priceWithCorrection = INTEGRAL_PRICER.price(DATA, option, HESTON, ALPHA, 0.1 * EPS, true);
      assertEquals(price, fft_price, 0.01 * EPS);
      final double fft_vol = BLACK_IMPLIED_VOL.getImpliedVolatility(DATA, option, fft_price);
      final double integral_vol = BLACK_IMPLIED_VOL.getImpliedVolatility(DATA, option, price);
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  private void priceWithIntegral() {
    final int n = 7;
    final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, SIGMA);
    for (int i = 0; i < n; i++) {
      final double k = FORWARD * Math.exp((i - n / 2) * MAX_LOG_MONEYNESS);
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
      INTEGRAL_PRICER.price(data, option, HESTON, ALPHA, 0.1 * EPS);
    }
  }
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  private void priceWithIntegralCorrection() {
    final int n = 7;
    for (int i = 0; i < n; i++) {
      final double k = FORWARD * Math.exp((i - n / 2) * MAX_LOG_MONEYNESS);
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
      INTEGRAL_PRICER.price(DATA, option, HESTON, ALPHA, 0.1 * EPS, true);
    }
  }
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    final double displacement = lmmData.getLmmParameter().getDisplacement()[index];
    final double beta = lmmData.getCurve(cap.getForwardCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime())
        / lmmData.getCurve(cap.getForwardCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime()) * lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime())
        / lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime());
    final double strikeAdjusted = (cap.getStrike() - (beta - 1) / cap.getFixingAccrualFactor()) / beta;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeAdjusted + displacement, 1.0, cap.isCap()); // Time is in timeDependentFactor
    final double forwardDsc = (lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime())
        / lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime()) - 1.0)
        / cap.getFixingAccrualFactor();
    final double df = lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardDsc + displacement, df, volatility);
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   */
  public double optionPrice(final BondFutureOptionPremiumSecurity security, final YieldCurveWithBlackCubeAndForwardBundle blackData) {
    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(blackData, "Black data");
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
    return priceSecurity;
  }
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