Package com.opengamma.analytics.financial.model.volatility.surface

Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);

    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
    final double t = swap.getTimeToSettlement();
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    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureImpliedVolatilitySurface piv = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final BlackVolatilitySurfaceStrike iv = VolatilitySurfaceConverter.convertImpliedVolSurface(piv, divCurves);

    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
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    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureImpliedVolatilitySurface piv = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);

    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
    final double t = swap.getTimeToSettlement();

    //up
    final PureImpliedVolatilitySurface ivUp = new PureImpliedVolatilitySurface(flooredShiftSurface(piv.getSurface(), eps));
    final double up = Math.sqrt(VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, ivUp)[index] / t);
    //down
    final PureImpliedVolatilitySurface ivDown = new PureImpliedVolatilitySurface(flooredShiftSurface(piv.getSurface(), -eps));
    final double down = Math.sqrt(VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, ivDown)[index] / t);
    final double vega = (up - down) / 2 / eps;
    return vega;
  }
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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market vols");
    final double eps = 1e-5;

    //this surface is assumed invariant to change in the spot
    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);

    //price the variance swap by static replication of the log-payoff and dividend correction terms
    final double[] evUp = VAR_SWAP_CALCULATOR.expectedVariance((1 + eps) * spot, discountCurve, dividends, swap.getTimeToSettlement(), pureSurf);
    final double[] evDown = VAR_SWAP_CALCULATOR.expectedVariance((1 - eps) * spot, discountCurve, dividends, swap.getTimeToSettlement(), pureSurf);

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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");
    final double eps = 1e-5;
    final double t = swap.getTimeToObsEnd();
    final int index = swap.correctForDividends() ? 0 : 1;
    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    final double base = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, pureSurf)[index];

    final int n = dividends.getNumberOfDividends();

    final double[][] res = new double[n][2];
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    final ForwardCurve fc = new ForwardCurve(1.0);
    final LocalVolatilitySurfaceStrike lv = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fc, data);
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(lv.getSurface());
    final BlackVolatilitySurfaceStrike iv = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fc, data);
    final PureImpliedVolatilitySurface piv = new PureImpliedVolatilitySurface(iv.getSurface());
    final double[] weights = data.getWeights();
    final double[] mus = data.getMus();
    final double[] sigmas = data.getVolatilities();
    final double m = weights.length;
    final int n = dividends.getNumberOfDividends();
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  }

  @Test
  public void printPrices() {
    if (PRINT) {
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      printPrices(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      printPrices(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      printPrices(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
    }
  }
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  @Test
  public void deltaWithStickyLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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  @Test
  public void gammaWithStickyLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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  @Test
  public void vegaLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Related Classes of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

  • com.opengamma.analytics.financial.equity.variance.EquityVarianceSwapPricerTest
  • com.opengamma.analytics.financial.equity.variance.EquityVarianceSwapStaticReplicationPricerTest
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVolatilityToPureVolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.pricing.VolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySurface$PureImpliedVolatilitySurfaceBuilder
  • com.opengamma.financial.analytics.model.volatility.surface.black.pure.PureBlackVolatilitySurfaceFunction
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