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

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

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   * @param nu The nu parameters.
   * @param dayCount The standard day count for which the parameter surfaces are valid.
   */
  public SABRInterestRateParameters(final InterpolatedDoublesSurface alpha, final InterpolatedDoublesSurface beta, final InterpolatedDoublesSurface rho, final InterpolatedDoublesSurface nu,
      final DayCount dayCount) {
    this(alpha, beta, rho, nu, dayCount, new SABRHaganVolatilityFunction());
  }
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   * @return The volatility and its derivative. An array with [0] the volatility, [1] Derivative w.r.t the forward, [2] the derivative w.r.t the strike,
   * [3] the derivative w.r.t. to alpha, [4] the derivative w.r.t. to beta, [5] the derivative w.r.t. to rho, [6] the derivative w.r.t. to nu.
   */
  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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    _forward = forward;
    _sabrData = sabrData;
    _cutOffStrike = cutOffStrike;
    _timeToExpiry = timeToExpiry;
    _mu = mu;
    _sabrFunction = new SABRHaganVolatilityFunction();
    if (timeToExpiry > SMALL_EXPIRY) {
      _parameter = computesFittingParameters();
    } else { // Implementation note: when time to expiry is very small, the price above the cut-off strike and its derivatives should be 0 (or at least very small).
      _parameter = new double[] {SMALL_PARAMETER, 0.0, 0.0};
      _parameterDerivativeForward = new double[3];
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     */
    @SuppressWarnings("synthetic-access")
    double[] bsbsp(final double strike) {
      final double[] result = new double[2];
      final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, super._timeToExpiry, super._isCall);
      final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) super._sabrFunction;
      final double[] volatility = sabrHaganFunction.getVolatilityAdjoint(option, super._forward, super._sabrData);
      final BlackFunctionData dataBlack = new BlackFunctionData(super._forward, 1.0, volatility[0]);
      final double[] bsAdjoint = super._blackFunction.getPriceAdjoint(option, dataBlack);
      result[0] = bsAdjoint[0];
      result[1] = bsAdjoint[1] + bsAdjoint[2] * volatility[1];
      return result;
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    @Override
    public Double evaluate(final Double x) {
      final double[] kD = super.kpkpp(x);
      // Implementation note: kD[0] contains the first derivative of k; kD[1] the second derivative of k.
      final EuropeanVanillaOption option = new EuropeanVanillaOption(x, super._timeToExpiry, super._isCall);
      final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) super._sabrFunction;
      final double[] volatilityAdjoint = sabrHaganFunction.getVolatilityAdjoint(option, super._forward, super._sabrData);
      return super._factor * (kD[1] * (x - super._strike) + 2.0 * kD[0]) * bs(x) * volatilityAdjoint[3 + _parameterIndex];
    }
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      data[i] = new BlackFunctionData(F, 1, SVI.evaluate(strikes[i]));
      options[i] = new EuropeanVanillaOption(strikes[i], T, true);
    }
    final double[] initialValues = new double[] {0.04, 1, -0.3, 0.2 };
    final BitSet fixed = new BitSet();
    final SABRHaganVolatilityFunction sabr = new SABRHaganVolatilityFunction();
    final SABRNonLinearLeastSquareFitter fitter = new SABRNonLinearLeastSquareFitter(sabr);
    final LeastSquareResultsWithTransform result = fitter.getFitResult(options, data, errors, initialValues, fixed);

    final double chiSqr = result.getChiSq();
    final DoubleMatrix1D params = result.getModelParameters();
    final SABRFormulaData fittedData = new SABRFormulaData(params.getEntry(0), params.getEntry(1), params.getEntry(2), params.getEntry(3));

    final Function1D<Double, Double> sabrFunction = new Function1D<Double, Double>() {
      @Override
      public Double evaluate(final Double k) {
        final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
        return sabr.getVolatilityFunction(option, F).evaluate(fittedData);
      }
    };

    final ProbabilityDistribution<Double> sabrDist = new DistributionFromImpliedVolatility(F, T, sabrFunction);
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  //    //    assertEquals(0.0, results.getChiSq(), eps);
  //  }

  @Test
  public void testSmileGenerationTime() {
    final SABRHaganVolatilityFunction sabr = new SABRHaganVolatilityFunction();
    final SABRFormulaData data = new SABRFormulaData(ALPHA, BETA, RHO, NU);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(0.9 * F, T, true);
    final Function1D<SABRFormulaData, Double> f = sabr.getVolatilityFunction(option, F);
    double x = 0;
    for (int i = 0; i < _hotspotWarmupCycles; i++) {
      x += f.evaluate(data);
    }
    if (_benchmarkCycles > 0) {
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     */
    @SuppressWarnings("synthetic-access")
    double[] bsbsp(final double strike) {
      final double[] result = new double[2];
      final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, super._timeToExpiry, super._isCall);
      final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) super._sabrFunction;
      final double[] volatility = sabrHaganFunction.getVolatilityAdjoint(option, super._forward, super._sabrData);
      final BlackFunctionData dataBlack = new BlackFunctionData(super._forward, 1.0, volatility[0]);
      final double[] bsAdjoint = super._blackFunction.getPriceAdjoint(option, dataBlack);
      result[0] = bsAdjoint[0];
      result[1] = bsAdjoint[1] + bsAdjoint[2] * volatility[1];
      return result;
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    @Override
    public Double evaluate(final Double x) {
      final double[] kD = super.kpkpp(x);
      // Implementation note: kD[0] contains the first derivative of k; kD[1] the second derivative of k.
      final EuropeanVanillaOption option = new EuropeanVanillaOption(x, super._timeToExpiry, super._isCall);
      final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) super._sabrFunction;
      final double[] volatilityAdjoint = sabrHaganFunction.getVolatilityAdjoint(option, super._forward, super._sabrData);
      return super._factor * (kD[1] * (x - super._strike) + 2.0 * kD[0]) * bs(x) * volatilityAdjoint[3 + _parameterIndex];
    }
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    _chiSqEps = 1e-4;
  }

  @Override
  VolatilityFunctionProvider<SABRFormulaData> getModel() {
    return new SABRHaganVolatilityFunction();
  }
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