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

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

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

com.opengamma.analytics.financial.model.volatility.smile.function.SABRPaulotVolatilityFunction
Expansion from Paulot, Louis, Asymptotic Implied Volatility at the Second Order With Applications to the SABR Model (2009) DO NOT USE This formulating gives very odd (i.e. wrong) smiles for certain parameters. It is not clear whether this is a problem with the actual paper or the Implementation.

    final SABRInterestRateParameters sabrParameterJohnson = TestsDataSetsSABR.createSABR1(new SABRJohnsonVolatilityFunction());
    final SABRInterestRateDataBundle sabrJohnsonBundle = new SABRInterestRateDataBundle(sabrParameterJohnson, curves);
    final double priceJohnson = SWAPTION_LONG_PAYER.accept(PVC, sabrJohnsonBundle);
    assertEquals(priceHagan, priceJohnson, 1E+3);
    // SABR Paulot volatility function ! Does not work well !
    final SABRInterestRateParameters sabrParameterPaulot = TestsDataSetsSABR.createSABR1(new SABRPaulotVolatilityFunction());
    final SABRInterestRateDataBundle sabrPaulotBundle = new SABRInterestRateDataBundle(sabrParameterPaulot, curves);
    final double pricePaulot = SWAPTION_LONG_PAYER.accept(PVC, sabrPaulotBundle);
    assertEquals(priceHagan, pricePaulot, 1E+4);


  }

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    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
    final SABRInterestRateDataBundle sabrBerestyckiBundle = new SABRInterestRateDataBundle(sabrParameterBerestycki, curves);
    final double priceBerestycki = CMS_COUPON_RECEIVER.accept(PVC, sabrBerestyckiBundle);
    assertEquals(priceHagan, priceBerestycki, 5);
    final SABRInterestRateParameters sabrParameterPaulot = TestsDataSetsSABR.createSABR1(new SABRPaulotVolatilityFunction());
    final SABRInterestRateDataBundle sabrPaulotBundle = new SABRInterestRateDataBundle(sabrParameterPaulot, curves);
    final double pricePaulot = CMS_COUPON_RECEIVER.accept(PVC, sabrPaulotBundle);
    assertEquals(priceHagan, pricePaulot, 15);
  }

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