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

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

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    super(forward, strikes, timeToExpiry, impliedVols, error, model);
  }

  @Override
  protected SABRFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
    return new SABRFormulaData(modelParameters.getData());
  }
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        final double alpha = mp.getEntry(0);
        final double beta = mp.getEntry(1);
        final double nu = mp.getEntry(2);
        final double rho = mp.getEntry(3);
        double chiSqr = 0;
        final SABRFormulaData sabrFormulaData = new SABRFormulaData(alpha, beta, rho, nu);
        for (int i = 0; i < n; i++) {
          chiSqr += FunctionUtils.square((data[i].getBlackVolatility() - _formula.getVolatilityFunction(options[i], forward).evaluate(sabrFormulaData)) / errors[i]);
        }
        return chiSqr;
      }
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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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    final Function1D<Double, Double> f = new Function1D<Double, Double>() {

      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double alpha) {
        final SABRFormulaData newData = new SABRFormulaData(alpha, data.getBeta(), data.getRho(), data.getNu());
        return _sabrFormula.getVolatilityFunction(option, forward).evaluate(newData) - atmVol;
      }
    };
    final double alphaTry = atmVol * Math.pow(forward, 1 - data.getBeta());
    final double[] range = _bracketer.getBracketedPoints(f, alphaTry / 2.0, 2 * alphaTry);
 
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    return res;
  }

  @Override
  protected SABRFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
    return new SABRFormulaData(modelParameters.getData());
  }
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    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 EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final Function1D<SABRFormulaData, double[]> sabrFunctionAdjoint = sabrParameter.getSabrFunction().getVolatilityAdjointFunction(option, forward);
    final double[] volA = sabrFunctionAdjoint.evaluate(sabrPoint);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volA[0]);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
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    super(forward, strikes, timeToExpiry, impliedVols, error, model);
  }

  @Override
  protected SABRFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
    return new SABRFormulaData(modelParameters.getData());
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData

  • com.opengamma.analytics.financial.interestrate.capletstripping.CapletStrippingJacobian
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod$CMSIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRReplicationMethod$CMSIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborSABRCapExtrapolationRightMethod
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