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

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

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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market vols");
    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];
    for (int i = 0; i < n; i++) {
      //bump alpha
      if (dividends.getAlpha(i) > eps / (1 - eps)) {
        //up
        final AffineDividends daUp = dividends.withAlpha(dividends.getAlpha(i) * (1 + eps) + eps, i);
        final PureImpliedVolatilitySurface pvUp = getPureImpliedVolFromMarket(spot, discountCurve, daUp, marketVols);
        final double[] aUp = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, daUp, t, pvUp);
        //down
        final AffineDividends daDown = dividends.withAlpha(dividends.getAlpha(i) * (1 - eps) - eps, i);
        final PureImpliedVolatilitySurface pvDown = getPureImpliedVolFromMarket(spot, discountCurve, daDown, marketVols);
        final double[] aDown = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, daDown, t, pvDown);
        res[i][0] = spot * (aUp[index] - aDown[index]) / 2 / eps / (1 + dividends.getAlpha(i));
      } else {
        //forward difference for zero (or very near zero) alpha
        final AffineDividends daUp = dividends.withAlpha(dividends.getAlpha(i) + eps, i);
        final PureImpliedVolatilitySurface pvUp = getPureImpliedVolFromMarket(spot, discountCurve, daUp, marketVols);
        final double[] aUp = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, daUp, t, pvUp);
        res[i][0] = spot * (aUp[index] - base) / eps;
      }

      //bump beta
      if (dividends.getBeta(i) > eps) {
        final AffineDividends dbUp = dividends.withBeta(dividends.getBeta(i) + eps, i);
        final PureImpliedVolatilitySurface pvUp = getPureImpliedVolFromMarket(spot, discountCurve, dbUp, marketVols);
        final double[] bUp = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dbUp, swap.getTimeToObsEnd(), pvUp);
        final AffineDividends dbDown = dividends.withBeta(dividends.getBeta(i) - eps, i);
        final PureImpliedVolatilitySurface pvDown = getPureImpliedVolFromMarket(spot, discountCurve, dbDown, marketVols);
        final double[] bDown = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dbDown, swap.getTimeToObsEnd(), pvDown);
        res[i][1] = (bUp[index] - bDown[index]) / 2 / eps;
      } else {
        //forward difference for zero (or near zero) beta
        final AffineDividends dbUp = dividends.withBeta(dividends.getBeta(i) + eps, i);
        final PureImpliedVolatilitySurface pvUp = getPureImpliedVolFromMarket(spot, discountCurve, dbUp, marketVols);
        final double[] bUp = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dbUp, swap.getTimeToObsEnd(), pvUp);
        res[i][1] = (bUp[index] - base) / eps;
      }
    }
    return res;
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    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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      final SmileSurfaceDataBundle marketVols) {
    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(marketVols, "market volatilities");
    final DupireLocalVolatilityCalculator dupire = new DupireLocalVolatilityCalculator();
    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    final PureLocalVolatilitySurface plv = dupire.getLocalVolatility(pureSurf);
    final double t = swap.getTimeToSettlement();
    final double[] ev = VAR_SWAP_BKW_PDE_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, plv);
    //TODO while calculating both with and without div correction is go for testing, don't want it for production
    final double res = (swap.correctForDividends() ? ev[0] : ev[1]) / t;
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  }

  private PureLocalVolatilitySurface getPureLocalVolFromMarket(final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends,
      final SmileSurfaceDataBundle marketVols) {
    final DupireLocalVolatilityCalculator dCal = new DupireLocalVolatilityCalculator();
    final PureImpliedVolatilitySurface piv = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    return dCal.getLocalVolatility(piv);
  }
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    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), expiries, x, vols);
    final BlackVolatilitySurfaceMoneyness surf = surfaceInterpolator.getVolatilitySurface(data);
    return new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
  }
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        }
        final double vol2 = BlackFormulaRepository.impliedVolatility(price / (f - d), 1.0, x, t, isCall);
        return vol2;
      }
    };
    return new PureImpliedVolatilitySurface(FunctionalDoublesSurface.from(impVol));
  }
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   * @return The <b>annualised</b> variance
   */
  public double priceFromOTMPrices(final EquityVarianceSwap swap, final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends,
      final double[] expiries, final double[][] strikes, final double[][] otmPrices) {
    ArgumentChecker.notNull(swap, "swap");
    final PureImpliedVolatilitySurface pureSurf = EquityVolatilityToPureVolatilitySurfaceConverter.getConvertedSurface(spot, discountCurve, dividends, expiries, strikes,
        otmPrices, _surfaceInterpolator);

    final double t = swap.getTimeToSettlement();
    //price the variance swap by static replication of the log-payoff and dividend correction terms
    final double[] ev = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, pureSurf);
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  public double priceFromImpliedVols(final EquityVarianceSwap swap, final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends,
      final SmileSurfaceDataBundle marketVols) {
    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(dividends, "dividends");
    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    final double t = swap.getTimeToSettlement();
    //price the variance swap by static replication of the log-payoff and dividend correction terms
    final double[] ev = VAR_SWAP_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, pureSurf);
    //TODO while calculating both with and without div correction is go for testing, don't want it for production
    final double res = (swap.correctForDividends() ? ev[0] : ev[1]) / t;
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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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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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