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

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

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  }

  @Override
  public SmileDeltaTermStructureDataBundle copy() {
    final YieldCurveBundle curves = getCurvesCopy();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = getVolatilityModel().copy();
    final Pair<Currency, Currency> currencyPair = Pair.of(getCurrencyPair().getFirst(), getCurrencyPair().getSecond());
    return new SmileDeltaTermStructureDataBundle(curves, smile, currencyPair);
  }
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  @Override
  public SmileDeltaTermStructureDataBundle rollDown(final SmileDeltaTermStructureDataBundle data, final double shiftTime) {
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final Pair<Currency, Currency> currencyPair = data.getCurrencyPair();
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
        volatilityData.getStrikeInterpolator()) {

      @Override
      public double getVolatility(final double time, final double strike, final double forward) {
        return volatilityData.getVolatility(time + shiftTime, strike, forward);
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    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
        volatilityData.getStrikeInterpolator()) {

      @Override
      public double getVolatility(final double time, final double strike, final double forward) {
        return volatilityData.getVolatility(time + shiftTime, strike, forward);
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  public PresentValueForexBlackVolatilityNodeSensitivityDataBundle presentValueBlackVolatilityNodeSensitivity(final ForexOptionSingleBarrier optionForex,
      final SmileDeltaTermStructureDataBundle smile) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smile);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();
    final double df = smile.getCurve(optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(
        optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot
        * smile.getCurve(optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(
            optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime()) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = volatilityModel.getVolatilityAndSensitivities(optionForex.getUnderlyingOption().getTimeToExpiry(),
        optionForex.getUnderlyingOption().getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(),
        optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()),
        new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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  @Override
  public SmileDeltaTermStructureDataBundle rollDown(final SmileDeltaTermStructureDataBundle data, final double shiftTime) {
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final Pair<Currency, Currency> currencyPair = data.getCurrencyPair();
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
        volatilityData.getStrikeInterpolator()) {

      @Override
      public double getVolatility(final double time, final double strike, final double forward) {
        return volatilityData.getVolatility(time + shiftTime, strike, forward);
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  public PresentValueForexBlackVolatilityNodeSensitivityDataBundle presentValueBlackVolatilityNodeSensitivity(final ForexOptionDigital optionForex, final SmileDeltaTermStructureDataBundle smile) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smile); // In dom ccy
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();

    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    final double expiry = optionForex.getExpirationTime();
    // Forward sweep
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    if (optionForex.payDomestic()) {
      foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
      domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency1();
      strike = optionForex.getStrike();
    } else {
      foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
      domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
      strike = 1.0 / optionForex.getStrike();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency1();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency2();
    }
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(foreignCcy, domesticCcy);
    final double forward = spot * dfForeign / dfDomestic;
    final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, foreignCcy, domesticCcy, expiry, forward, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smile.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(),
        new DoubleMatrix1D(volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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  public PresentValueForexBlackVolatilityNodeSensitivityDataBundle presentValueBlackVolatilityNodeSensitivity(final ForexOptionVanilla optionForex, final SmileDeltaTermStructureDataBundle smile) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smile); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();
    final double df = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime())
        / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smile.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(),
        new DoubleMatrix1D(volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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  public static double getVolatility(final SmileDeltaTermStructureDataBundle data, final Currency ccy1, final Currency ccy2, final double time, final double strike, final double forward) {
    ArgumentChecker.notNull(ccy1, "ccy1");
    ArgumentChecker.notNull(ccy2, "ccy2");
    ArgumentChecker.notNull(data, "data");
    final Pair<Currency, Currency> currencyPair = data.getCurrencyPair();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = data.getVolatilityModel();
    if ((ccy1 == currencyPair.getFirst()) && (ccy2 == currencyPair.getSecond())) {
      return smile.getVolatility(time, strike, forward);
    }
    if ((ccy2 == currencyPair.getFirst()) && (ccy1 == currencyPair.getSecond())) {
      return smile.getVolatility(time, 1.0 / strike, 1.0 / forward);
    }
    throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2 + ", have " + data.getCurrencyMap().values());
  }
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      final double time, final double strike, final double forward) {
    ArgumentChecker.notNull(ccy1, "ccy1");
    ArgumentChecker.notNull(ccy2, "ccy2");
    ArgumentChecker.notNull(data, "data");
    final Pair<Currency, Currency> currencyPair = data.getCurrencyPair();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = data.getVolatilityModel();
    if ((ccy1 == currencyPair.getFirst()) && (ccy2 == currencyPair.getSecond())) {
      return smile.getVolatilityAndSensitivities(time, strike, forward);
    }
    if ((ccy2 == currencyPair.getFirst()) && (ccy1 == currencyPair.getSecond())) {
      return smile.getVolatilityAndSensitivities(time, 1.0 / strike, 1.0 / forward);
    }
    throw new IllegalArgumentException("Currencies not compatible with smile data; asked for " + ccy1 + " and " + ccy2 + ", have " + data.getCurrencyMap().values());
  }
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    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionDigital, smile); // In ccy2
    final double df = smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionDigital.getCurrency1(), optionDigital.getCurrency2());
    final double forward = spot * smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime())
        / df;
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (final DoublesPair point : pointSensitivity.getVega().getMap().keySet()) {
      final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, optionDigital.getCurrency1(), optionDigital.getCurrency2(),
          optionDigital.getExpirationTime(), point.second, forward);
      final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
      for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
        for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
          vega[loopexp][loopstrike] += nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
        }
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionDigital.getUnderlyingForex().getCurrency1(), optionDigital.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }
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