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

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

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    final double initialIndex = MARKET.getCurve(PRICE_INDEX_EUR).getPriceIndex(YEAR_ON_YEAR_CAP.getReferenceStartTime());
    final double forward = finalIndex / initialIndex - 1;
    final double timeToMaturity = YEAR_ON_YEAR_CAP.getReferenceEndTime() - YEAR_ON_YEAR_CAP.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(YEAR_ON_YEAR_CAP.getStrike(), timeToMaturity, YEAR_ON_YEAR_CAP.isCap());
    final double volatility = BLACK_INFLATION.getBlackParameters().getVolatility(YEAR_ON_YEAR_CAP.getReferenceEndTime(), YEAR_ON_YEAR_CAP.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final Function1D<NormalFunctionData, Double> func = NORMAL_FUNCTION.getPriceFunction(option);
    final double pvExpected = df * func.evaluate(dataBlack) * YEAR_ON_YEAR_CAP.getNotional() * YEAR_ON_YEAR_CAP.getPaymentYearFraction();
    assertEquals("Year on year coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(YEAR_ON_YEAR_CAP.getCurrency()), TOLERANCE_PV);
  }
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          pvApprox[loopexp][loopten][loopstrike] = METHOD_G2PP_APPROXIMATION.presentValue(swaption[loopexp][loopten][loopstrike], bundleG2pp).getAmount(CUR);
          pvNI[loopexp][loopten][loopstrike] = METHOD_G2PP_NI.presentValue(swaption[loopexp][loopten][loopstrike], bundleG2pp).getAmount(CUR);
          pvDiff[loopexp][loopten][loopstrike] = pvApprox[loopexp][loopten][loopstrike] - pvNI[loopexp][loopten][loopstrike];
          final double pvbp = METHOD_SWAP.presentValueBasisPoint(swaption[loopexp][loopten][loopstrike].getUnderlyingSwap(), MULTICURVES);
          final double forward = swaption[loopexp][loopten][loopstrike].getUnderlyingSwap().accept(PRDC, MULTICURVES);
          final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
          volApprox[loopexp][loopten][loopstrike] = implied.getImpliedVolatility(data, swaption[loopexp][loopten][loopstrike], pvApprox[loopexp][loopten][loopstrike]);
          volNI[loopexp][loopten][loopstrike] = implied.getImpliedVolatility(data, swaption[loopexp][loopten][loopstrike], pvNI[loopexp][loopten][loopstrike]);
          volDiff[loopexp][loopten][loopstrike] = (volApprox[loopexp][loopten][loopstrike] - volNI[loopexp][loopten][loopstrike]) / BP1; // In bp
        }
      }
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    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCap1Price = methodCmsCap.presentValue(cmsCap1, SABR_MULTICURVES).getAmount(EUR);
    final double cmsCap2Price = methodCmsCap.presentValue(cmsCap2, SABR_MULTICURVES).getAmount(EUR);
    final EuropeanVanillaOption optionCap1 = new EuropeanVanillaOption(forward1, FIXING_TIME, true);
    final NormalFunctionData dataCap1 = new NormalFunctionData(expectedRate1, 1.0, 0.0);
    final double cmsCap1IV = impliedVolatility.getImpliedVolatility(dataCap1, optionCap1, cmsCap1Price / discountFactorPayment / cmsCoupon1.getNotional() / cmsCoupon1.getPaymentYearFraction());
    final EuropeanVanillaOption optionCap2 = new EuropeanVanillaOption(forward2, FIXING_TIME, true);
    final NormalFunctionData dataCap2 = new NormalFunctionData(expectedRate2, 1.0, 0.0);
    final double cmsCap2IV = impliedVolatility.getImpliedVolatility(dataCap2, optionCap2, cmsCap2Price / discountFactorPayment / cmsCoupon2.getNotional() / cmsCoupon2.getPaymentYearFraction());
    double spreadVol = cmsCap1IV * cmsCap1IV - 2 * correlation * cmsCap1IV * cmsCap2IV + cmsCap2IV * cmsCap2IV;
    spreadVol = Math.sqrt(spreadVol);
    final EuropeanVanillaOption optionSpread = new EuropeanVanillaOption(STRIKE, FIXING_TIME, IS_CAP);
    final NormalFunctionData dataSpread = new NormalFunctionData(expectedRate1 - expectedRate2, 1.0, spreadVol);
    final Function1D<NormalFunctionData, Double> priceFunction = normalPrice.getPriceFunction(optionSpread);
    final double cmsSpreadPriceExpected = discountFactorPayment * priceFunction.evaluate(dataSpread) * CMS_CAP_SPREAD.getNotional() * CMS_CAP_SPREAD.getPaymentYearFraction();
    assertEquals("CMS spread: price with constant correlation", cmsSpreadPriceExpected, cmsSpreadPrice, TOLERANCE_PV);
  }
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  public void price() {
    final double expiry = OPTION_ERU2.getExpirationTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(STRIKE, expiry, IS_CALL);
    final double priceFuture = METHOD_FUTURES.price(ERU2, MULTICURVES);
    final double volatility = NORMAL_PARAMETERS.getZValue(expiry, STRIKE);
    final NormalFunctionData dataNormal = new NormalFunctionData(priceFuture, 1.0, volatility);
    final double priceExpected = NORMAL_FUNCTION.getPriceFunction(option).evaluate(dataNormal);
    final double priceComputed = METHOD_SECURITY_OPTION_NORMAL.price(OPTION_ERU2, NORMAL_MULTICURVES);
    assertEquals("Future option with Black volatilities: option security price", priceExpected, priceComputed, TOLERANCE_PRICE);
  }
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    final double finalIndex = YEAR_ON_YEAR_CAP.getWeightEnd() * finalIndexMonth0 + (1 - YEAR_ON_YEAR_CAP.getWeightEnd()) * finalIndexMonth1;
    final double forward = finalIndex / initialIndex - 1;
    final double timeToMaturity = YEAR_ON_YEAR_CAP.getReferenceEndTime()[1] - YEAR_ON_YEAR_CAP.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(YEAR_ON_YEAR_CAP.getStrike(), timeToMaturity, YEAR_ON_YEAR_CAP.isCap());
    final double volatility = BLACK_INFLATION.getBlackParameters().getVolatility(YEAR_ON_YEAR_CAP.getReferenceEndTime()[1], YEAR_ON_YEAR_CAP.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final Function1D<NormalFunctionData, Double> func = NORMAL_FUNCTION.getPriceFunction(option);
    final double pvExpected = df * func.evaluate(dataBlack) * YEAR_ON_YEAR_CAP.getNotional() * YEAR_ON_YEAR_CAP.getPaymentYearFraction();
    assertEquals("Year on year coupon inflation DiscountingMethod: Present value", pvExpected, pv.getAmount(YEAR_ON_YEAR_CAP.getCurrency()), TOLERANCE_PV);
  }
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