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

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData

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      final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
      pv = discountFactorSettle * pvbp * sabrExtrapolation.price(swaption) * (swaption.isLong() ? 1.0 : -1.0);
    }
    return MultipleCurrencyAmount.of(ccy, pv);
  }
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    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double price = sabrExtrapolation.price(swaption);
    result = result.multipliedBy(pvbp * price);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * price + pvbp * sabrExtrapolation.priceDerivativeForward(swaption))));
    if (!swaption.isLong()) {
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    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(swaption, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[0]);
 
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    double strikeOut = 0.12;
    EuropeanVanillaOption optionIn = new EuropeanVanillaOption(strikeIn, TIME_TO_EXPIRY, true);
    EuropeanVanillaOption optionAt = new EuropeanVanillaOption(strikeAt, TIME_TO_EXPIRY, true);
    EuropeanVanillaOption optionOut = new EuropeanVanillaOption(strikeOut, TIME_TO_EXPIRY, true);
    double shiftF = 0.000001;
    SABRFormulaData sabrDataFP = new SABRFormulaData(ALPHA, BETA, RHO, NU);
    SABRExtrapolationRightFunction sabrExtrapolationFP = new SABRExtrapolationRightFunction(FORWARD + shiftF, sabrDataFP, CUT_OFF_STRIKE, TIME_TO_EXPIRY, MU);
    // Below cut-off strike
    double priceIn = SABR_EXTRAPOLATION.price(optionIn);
    double priceInFP = sabrExtrapolationFP.price(optionIn);
    double priceInDF = SABR_EXTRAPOLATION.priceDerivativeForward(optionIn);
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    double strikeOut = 0.12;
    EuropeanVanillaOption optionIn = new EuropeanVanillaOption(strikeIn, TIME_TO_EXPIRY, true);
    EuropeanVanillaOption optionAt = new EuropeanVanillaOption(strikeAt, TIME_TO_EXPIRY, true);
    EuropeanVanillaOption optionOut = new EuropeanVanillaOption(strikeOut, TIME_TO_EXPIRY, true);
    double shift = 0.000001;
    SABRFormulaData sabrDataAP = new SABRFormulaData(ALPHA + shift, BETA, RHO, NU);
    SABRFormulaData sabrDataBP = new SABRFormulaData(ALPHA, BETA + shift, RHO, NU);
    SABRFormulaData sabrDataRP = new SABRFormulaData(ALPHA, BETA, RHO + shift, NU);
    SABRFormulaData sabrDataNP = new SABRFormulaData(ALPHA, BETA, RHO, NU + shift);
    SABRExtrapolationRightFunction sabrExtrapolationAP = new SABRExtrapolationRightFunction(FORWARD, sabrDataAP, CUT_OFF_STRIKE, TIME_TO_EXPIRY, MU);
    SABRExtrapolationRightFunction sabrExtrapolationBP = new SABRExtrapolationRightFunction(FORWARD, sabrDataBP, CUT_OFF_STRIKE, TIME_TO_EXPIRY, MU);
    SABRExtrapolationRightFunction sabrExtrapolationRP = new SABRExtrapolationRightFunction(FORWARD, sabrDataRP, CUT_OFF_STRIKE, TIME_TO_EXPIRY, MU);
    SABRExtrapolationRightFunction sabrExtrapolationNP = new SABRExtrapolationRightFunction(FORWARD, sabrDataNP, CUT_OFF_STRIKE, TIME_TO_EXPIRY, MU);
    // Below cut-off strike
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    double cutOff = 0.10;
    double mu = 2.5;
    double strike = 0.15;
    double t = 2.366105247;
    EuropeanVanillaOption option = new EuropeanVanillaOption(strike, t, true);
    SABRFormulaData sabrData = new SABRFormulaData(alpha, beta, rho, nu);
    double forward = 0.0404500579038675;
    SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrData, cutOff, t, mu);
    double shift = 0.000001;
    SABRFormulaData sabrDataAP = new SABRFormulaData(alpha + shift, beta, rho, nu);
    SABRFormulaData sabrDataBP = new SABRFormulaData(alpha, beta + shift, rho, nu);
    SABRFormulaData sabrDataRP = new SABRFormulaData(alpha, beta, rho + shift, nu);
    SABRFormulaData sabrDataNP = new SABRFormulaData(alpha, beta, rho, nu + shift);
    SABRExtrapolationRightFunction sabrExtrapolationAP = new SABRExtrapolationRightFunction(forward, sabrDataAP, cutOff, t, mu);
    SABRExtrapolationRightFunction sabrExtrapolationBP = new SABRExtrapolationRightFunction(forward, sabrDataBP, cutOff, t, mu);
    SABRExtrapolationRightFunction sabrExtrapolationRP = new SABRExtrapolationRightFunction(forward, sabrDataRP, cutOff, t, mu);
    SABRExtrapolationRightFunction sabrExtrapolationNP = new SABRExtrapolationRightFunction(forward, sabrDataNP, cutOff, t, mu);
    // Above cut-off strike
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    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSIntegrant integrant = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double strike = cmsCapFloor.getStrike();
    final double factor = discountFactorTp / integrant.h(forward) * integrant.g(forward);
    final double strikePart = factor * integrant.k(strike) * integrant.bs(strike);
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
 
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    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    // Common
    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor / integrantDelta.h(forward) * integrantDelta.g(forward);
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
 
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    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    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);
 
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    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    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());
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