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

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

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   * @param forward The forward.
   * @return The volatility.
   */
  public double getVolatility(final double expiryTime, final double maturity, final double strike, final double forward) {
    final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
    final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
    final Function1D<SABRFormulaData, Double> funcSabrLongPayer = _sabrFunction.getVolatilityFunction(option, forward);
    return funcSabrLongPayer.evaluate(data);
  }
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   */
  public double[] getVolatilityAdjoint(final double expiryTime, final double maturity, final double strike, final double forward) {
    ArgumentChecker.isTrue(_sabrFunction instanceof SABRHaganVolatilityFunction, "Adjoint volatility available only for Hagan formula");
    final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) _sabrFunction;
    final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
    final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
    final double[] result = sabrHaganFunction.getVolatilityAdjoint(option, forward, data);
    return result;
  }
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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    return pvbpModified * sabrExtrapolation.price(option) * (swaption.isLong() ? 1.0 : -1.0);
  }
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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
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    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
 
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      final DoublesPair expiryMaturity = new DoublesPair(_timeToExpiry, _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);
      _sabrData = new SABRFormulaData(alpha, beta, rho, nu);
      _sabrFunction = sabrParameter.getSabrFunction();
      _isCall = swaption.isCall();
      _strike = swaption.getStrike();
      _linear = linear;
    }
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      final DoublesPair expiryMaturity = new DoublesPair(_timeToExpiry, _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);
      _sabrData = new SABRFormulaData(alpha, beta, rho, nu);
      _sabrFunction = sabrParameter.getSabrFunction();
      _isCall = swaption.isCall();
      _strike = swaption.getStrike();
      _linear = linear;
    }
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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    return MultipleCurrencyAmount.of(ccy, pvbpModified * sabrExtrapolation.price(option) * (swaption.isLong() ? 1.0 : -1.0));
  }
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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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
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    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
 
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