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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  public double priceVega(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmilePriceProviderInterface blackPrice) {
    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(blackPrice, "YieldCurveWithBlackCubeBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackPrice.getBlackProvider().getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] firstDerivs = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return firstDerivs[2];
  }
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    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactorTp / integrantVega.h(forward) * integrantVega.g(forward);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final double factor2 = factor * integrantVega.k(strike);
    final double[] strikePartPrice = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, strikePartPrice);
    for (int loopvega = 0; loopvega < 4; loopvega++) {
      strikePartPrice[loopvega] *= factor2;
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    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);
    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
 
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   */
  public MultipleCurrencyAmount netAmount(final CapFloorInflationYearOnYearInterpolation cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final double timeToMaturity = cap.getReferenceEndTime()[1] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[0]);
    final double priceIndexStart1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[1]);
    final double priceIndexStart = cap.getWeightStart() * priceIndexStart0 + (1 - cap.getWeightStart()) * priceIndexStart1;
    final double priceIndexEnd0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double priceIndexEnd1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
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  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearInterpolation cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime()[1] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[0]);
    final double priceIndexStart1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[1]);
    final double priceIndexStart = cap.getWeightStart() * priceIndexStart0 + (1 - cap.getWeightStart()) * priceIndexStart1;
    final double priceIndexEnd0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double priceIndexEnd1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
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   */
  public MultipleCurrencyAmount netAmount(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime());
    final double priceIndexEnd = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime());
    final double forward = priceIndexEnd / priceIndexStart - 1;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final NormalFunctionData dataNormaL = new NormalFunctionData(forward, 1.0, volatility);
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  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime());
    final double priceIndexEnd = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime());
    final double forward = priceIndexEnd / priceIndexStart - 1;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
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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);
      return _sabrExtrapolation.price(option);
    }
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     * @param strike The strike.
     * @return The Black-Scholes formula and its derivative.
     */
    double[] bsbsp(final double strike) {
      final double[] result = new double[2];
      final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, getTimeToExpiry(), isCall());
      result[0] = getSabrExtrapolation().price(option);
      result[1] = getSabrExtrapolation().priceDerivativeForward(option);
      return result;
    }
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    @SuppressWarnings("synthetic-access")
    @Override
    public Double evaluate(final Double x) {
      final double[] kD = super.kpkpp(x);
      // Implementation note: kD[0] contains the first derivative of k; kD[1] the second derivative of k.
      final EuropeanVanillaOption option = new EuropeanVanillaOption(x, super._timeToExpiry, super._isCall);
      final double[] priceDerivativeSABR = new double[4];
      getSabrExtrapolation().priceAdjointSABR(option, priceDerivativeSABR);
      return super._factor * (kD[1] * (x - super._strike) + 2.0 * kD[0]) * priceDerivativeSABR[_parameterIndex];
    }
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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
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