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 vegaImpVolTest() {
    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.vegaImpVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.vegaImpVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.vegaImpVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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  @Test
  public void vegaPureImpVolTest() {
    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.vegaPureImpVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = PRICER.vegaPureImpVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = PRICER.vegaPureImpVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
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    if (market.getVolatilitySurface() instanceof BlackVolatilitySurfaceMoneynessFcnBackedByGrid) {
      // unpack the market data, including the interpolators
      final BlackVolatilitySurfaceMoneynessFcnBackedByGrid surfaceBundle = (BlackVolatilitySurfaceMoneynessFcnBackedByGrid) market.getVolatilitySurface();
      final VolatilitySurfaceInterpolator surfaceInterpolator = surfaceBundle.getInterpolator();
      final GeneralSmileInterpolator strikeInterpolator = surfaceInterpolator.getSmileInterpolator();
      final SmileSurfaceDataBundle volGrid = surfaceBundle.getGridData();
      final double[] forwards = volGrid.getForwards();
      final double[] expiries = volGrid.getExpiries();
      final int nExpiries = volGrid.getNumExpiries();
      final double optionExpiry = vanillaOptions.iterator().next().getTimeToExpiry();
      final double[][] strikes = volGrid.getStrikes();
      final double[][] vols = volGrid.getVolatilities();

      // Prices of vanillas in base scenario
      final int nVanillas = vanillaOptions.size();
      final EquityIndexOption[] vanillas = vanillaOptions.toArray(new EquityIndexOption[nVanillas]);
      final Double[] basePrices = new Double[nVanillas];
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    final String forwardCurveName = desiredValue.getConstraint(CURVE);
    //TODO R White testing using spline rather than SABR - this should be an option
    final GeneralSmileInterpolator smileInterpolator = new SmileInterpolatorSpline();
    final VolatilitySurfaceInterpolator surfaceFitter = new VolatilitySurfaceInterpolator(smileInterpolator, useLogTime, useIntegratedVariance, useLogValue);
    //  final PiecewiseSABRSurfaceFitter1<?> surfaceFitter = new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVariance, useLogValue);
    final SmileSurfaceDataBundle data = getData(inputs, getVolatilityDataRequirement(target, surfaceName), getForwardCurveRequirement(target, curveCalculationMethodName, forwardCurveName));
    final BlackVolatilitySurface<?> impliedVolatilitySurface = surfaceFitter.getVolatilitySurface(data);
    final ValueProperties properties = getResultProperties(surfaceName, surfaceType, xAxis, yAxis, yAxisType, curveCalculationMethodName,
        forwardCurveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PIECEWISE_SABR_VOL_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
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    }
    final Object tsObject = inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve yieldCurve = (YieldAndDiscountCurve) yieldCurveObject;
    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVolsBackwardPDE(swap, spot, yieldCurve, dividends, volatilities);
    final ValueProperties properties = desiredValue.getConstraints().copy()
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    }
    final Object tsObject = inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final double spot = (Double) spotObject;
    final YieldAndDiscountCurve yieldCurve = (YieldAndDiscountCurve) yieldCurveObject;
    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapStaticReplicationPricer pricer = EquityVarianceSwapStaticReplicationPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVols(swap, spot, yieldCurve, dividends, volatilities);
    final ValueProperties properties = desiredValue.getConstraints().copy()
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    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Forward curve was null");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final ValueRequirement volDataRequirement = getUnderlyingVolatilityDataRequirement(surfaceName, id);
    final SmileSurfaceDataBundle data = getData(inputs, volDataRequirement, forwardCurveRequirement);
    final FXOptionSecurity fxOption = (FXOptionSecurity) security;
    final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(fxOption.getPutCurrency(), fxOption.getCallCurrency());
    final EuropeanVanillaOption option = getOption(security, now, currencyPair);
    return Collections.singleton(new ComputedValue(spec, getResult(calculator, localVolatilitySurface, forwardCurve, data, option)));
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    final Object interpolatorObject = inputs.getValue(ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR);
    if (interpolatorObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface interpolator");
    }
    final VolatilitySurfaceInterpolator surfaceInterpolator = (VolatilitySurfaceInterpolator) interpolatorObject;
    final SmileSurfaceDataBundle data = getData(inputs);
    final BlackVolatilitySurfaceMoneyness impliedVolatilitySurface = surfaceInterpolator.getVolatilitySurface(data);
    final ValueProperties properties = getResultProperties(desiredValue);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
  }
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                           Object inlineKey) {
    return SurfaceFormatterUtils.formatCell(value.getSurface());
  }

  private Object formatExpanded(BlackVolatilitySurfaceMoneynessFcnBackedByGrid value) {
    SmileSurfaceDataBundle gridData = value.getGridData();
    Set<Double> strikes = new TreeSet<Double>();
    for (double[] outer : gridData.getStrikes()) {
      for (double inner : outer) {
        strikes.add(inner);
      }
    }
    List<Double> vol = Lists.newArrayList();
    // x values (outer loop of vol) strikes
    // y values (inner loop of vol) expiries
    List<Double> expiries = Lists.newArrayListWithCapacity(gridData.getExpiries().length);
    for (double expiry : gridData.getExpiries()) {
      expiries.add(expiry);
    }
    for (Double strike : strikes) {
      for (Double expiry : expiries) {
        vol.add(value.getVolatility(expiry, strike));
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