Package com.opengamma.analytics.financial.model.volatility

Examples of com.opengamma.analytics.financial.model.volatility.VolatilityAndBucketedSensitivities

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    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double dfDelivery = multicurves.getDiscountFactor(optionForex.getCurrency2(), paymentTime);
    final double dfNonDelivery = multicurves.getDiscountFactor(optionForex.getCurrency1(), paymentTime);
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfNonDelivery / dfDelivery;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionForex.getCurrency1(), optionForex.getCurrency2(), expiryTime, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(expiryTime, (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
 
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    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_OPTION.presentValueBlackVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_MULTICURVES);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = SMILE_TERM.getVolatilityAndSensitivities(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE);
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      for (int loopstrike = 0; loopstrike < NB_STRIKE; loopstrike++) {
        assertEquals("Forex vanilla option: vega node", nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point),
            sensi.getVega().getData()[loopexp][loopstrike]);
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    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_BARRIER.presentValueBlackVolatilitySensitivity(OPTION_BARRIER, SMILE_BUNDLE);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = SMILE_TERM.getVolatilityAndSensitivities(OPTION_BARRIER.getUnderlyingOption().getTimeToExpiry(), STRIKE, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(OPTION_BARRIER.getUnderlyingOption().getTimeToExpiry(), STRIKE);
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      for (int loopstrike = 0; loopstrike < NB_STRIKE; loopstrike++) {
        assertEquals("Forex vanilla option: vega node", nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point), sensi.getVega().getData()[loopexp][loopstrike]);
      }
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    final int nbTest = strike.length;
    final double shift = 0.00001;
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final double vol = SMILE_TERM.getVolatility(timeToExpiration[looptest], strike[looptest], forward);
      final double[][] bucketTest = new double[TIME_TO_EXPIRY.length][2 * DELTA.length + 1];
      final VolatilityAndBucketedSensitivities volComputed = SMILE_TERM.getVolatilityAndSensitivities(timeToExpiration[looptest], strike[looptest], forward);
      final double[][] bucketSensi = volComputed.getBucketedSensitivities();
      assertEquals("Smile by delta term structure: volatility adjoint", vol, volComputed.getVolatility(), 1.0E-10);
      final SmileDeltaParameters[] volData = new SmileDeltaParameters[TIME_TO_EXPIRY.length];
      final double[] volBumped = new double[2 * DELTA.length + 1];
      for (int loopexp = 0; loopexp < TIME_TO_EXPIRY.length; loopexp++) {
        for (int loopsmile = 0; loopsmile < 2 * DELTA.length + 1; loopsmile++) {
          System.arraycopy(SMILE_TERM.getVolatilityTerm(), 0, volData, 0, TIME_TO_EXPIRY.length);
          System.arraycopy(SMILE_TERM.getVolatilityTerm()[loopexp].getVolatility(), 0, volBumped, 0, 2 * DELTA.length + 1);
          volBumped[loopsmile] += shift;
          volData[loopexp] = new SmileDeltaParameters(TIME_TO_EXPIRY[loopexp], DELTA, volBumped);
          final SmileDeltaTermStructureParametersStrikeInterpolation smileTermBumped = new SmileDeltaTermStructureParametersStrikeInterpolation(volData, INTERPOLATOR_STRIKE);
          bucketTest[loopexp][loopsmile] = (smileTermBumped.getVolatility(timeToExpiration[looptest], strike[looptest], forward) - volComputed.getVolatility()) / shift;
          // FIXME: the strike sensitivity to volatility is missing. To be corrected when [PLAT-1396] is fixed.
          assertEquals("Smile by delta term structure: (test: " + looptest + ") volatility bucket sensitivity " + loopexp + " - " + loopsmile, bucketTest[loopexp][loopsmile],
              bucketSensi[loopexp][loopsmile], tolerance[looptest]);
        }
      }
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    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM,
        SMILE_MULTICURVES);
    final double df = MULTICURVES.getDiscountFactor(USD, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * MULTICURVES.getDiscountFactor(EUR, TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivitiesDown = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM,
        forward);
    final VolatilityAndBucketedSensitivities volAndSensitivitiesUp = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP,
        forward);
    final double[][] nodeWeightM = volAndSensitivitiesDown.getBucketedSensitivities();
    final double[][] nodeWeightP = volAndSensitivitiesUp.getBucketedSensitivities();
    final DoublesPair pointM = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM);
    final DoublesPair pointP = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP);
    for (int loopexp = 0; loopexp < SMILE_TERM.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < SMILE_TERM.getNumberStrike(); loopstrike++) {
        assertEquals("Forex vanilla digital: vega node", nodeWeightM[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointM)
 
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    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_OPTION.presentValueBlackVolatilitySensitivity(FOREX_CALL_OPTION, SMILE_BUNDLE);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = SMILE_TERM.getVolatilityAndSensitivities(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(FOREX_CALL_OPTION.getTimeToExpiry(), STRIKE);
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      for (int loopstrike = 0; loopstrike < NB_STRIKE; loopstrike++) {
        assertEquals("Forex vanilla option: vega node", nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point), sensi.getVega().getData()[loopexp][loopstrike]);
      }
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    final Pair<Currency, Currency> currencyPair = ObjectsPair.of(EUR, USD);
    assertEquals("Forex vanilla option: vega", currencyPair, sensi.getCurrencyPair());
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = METHOD_DIGITAL_SPREAD.presentValueBlackVolatilitySensitivity(FOREX_DIGITAL_CALL_DOM, SMILE_BUNDLE);
    final double df = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE));
    final double forward = SPOT * CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(TimeCalculator.getTimeBetween(REFERENCE_DATE, OPTION_PAY_DATE)) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivitiesDown = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM, forward);
    final VolatilityAndBucketedSensitivities volAndSensitivitiesUp = SMILE_TERM.getVolatilityAndSensitivities(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP, forward);
    final double[][] nodeWeightM = volAndSensitivitiesDown.getBucketedSensitivities();
    final double[][] nodeWeightP = volAndSensitivitiesUp.getBucketedSensitivities();
    final DoublesPair pointM = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeM);
    final DoublesPair pointP = DoublesPair.of(FOREX_DIGITAL_CALL_DOM.getExpirationTime(), strikeP);
    for (int loopexp = 0; loopexp < SMILE_TERM.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < SMILE_TERM.getNumberStrike(); loopstrike++) {
        assertEquals("Forex vanilla digital: vega node", nodeWeightM[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(pointM) + nodeWeightP[loopexp][loopstrike]
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