Package com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.SmileSurfaceDataBundle

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  @Test
  public void gammaWithStickyLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
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  @Test
  public void vegaLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.vegaLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.vegaLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.vegaLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void vegaPureLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.vegaPureLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.vegaPureLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.vegaPureLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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    @SuppressWarnings("unchecked")
    @Override
    public BlackVolatilitySurfaceMoneynessFcnBackedByGrid buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Object surface = deserializer.fieldValueToObject(message.getByName(SURFACE_FIELD_NAME));
      final Object forwardCurve = deserializer.fieldValueToObject(message.getByName(FORWARD_CURVE_FIELD_NAME));
      final SmileSurfaceDataBundle grid = deserializer.fieldValueToObject(SmileSurfaceDataBundle.class, message.getByName(GRID_FIELD_NAME));
      final VolatilitySurfaceInterpolator interpolator = deserializer.fieldValueToObject(VolatilitySurfaceInterpolator.class, message.getByName(INTERPOLATOR_FIELD_NAME));
      if (surface instanceof Surface) {
        return new BlackVolatilitySurfaceMoneynessFcnBackedByGrid((Surface<Double, Double, Double>) surface, (ForwardCurve) forwardCurve, grid, interpolator);
      }
      throw new OpenGammaRuntimeException("Expected Surface, got " + surface);
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  @Test
  public void bucketedVegaTest() {
    if (PRINT) {
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      final double[][] res1 = PRICER.bucketedVega(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v1);
      final double[][] res2 = PRICER.bucketedVega(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double[][] res3 = PRICER.bucketedVega(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double[][] res4 = PRICER.bucketedVega(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
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  public void dividendSensitivityWithStickyImpVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));

      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      //    double[][] d1 = pricer.dividendSensitivityWithStickyImpliedVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, ZERO_DIVIDENDS, v1);
      final double[][] d2 = PRICER.dividendSensitivityWithStickyImpliedVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double[][] d3 = PRICER.dividendSensitivityWithStickyImpliedVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void deltaWithDtickyStikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.deltaWithStickyStrike(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.deltaWithStickyStrike(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.deltaWithStickyStrike(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void deltaWithStickyPureStrikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.deltaWithStickyPureStrike(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.deltaWithStickyPureStrike(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.deltaWithStickyPureStrike(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void gammaStickyStikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.gammaWithStickyStrike(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.gammaWithStickyStrike(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.gammaWithStickyStrike(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void gammaWithStickyPureStrikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;

      //now assume that the implied volatilities remain fixed as the spot moves
      final double d1 = PRICER.deltaWithStickyPureStrike(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.deltaWithStickyPureStrike(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.deltaWithStickyPureStrike(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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