Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackBondFuturesSmilePriceProvider

Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackBondFuturesSmilePriceProvider

com.opengamma.analytics.financial.provider.description.interestrate.BlackBondFuturesSmilePriceProvider
Implementation of a provider of Black smile for options on bond futures. The volatility is time to expiration/strike dependent.

   */
  public double price(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(black, "Black  data");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return price(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public MulticurveSensitivity priceCurveSensitivity(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(black, "Black  data");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return priceCurveSensitivity(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public SurfaceValue priceBlackSensitivity(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(black, "black data");
    ArgumentChecker.notNull(security, "security");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return priceBlackSensitivity(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public double priceDelta(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(black, "black data");
    ArgumentChecker.notNull(security, "security");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return priceDelta(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public double priceGamma(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(black, "black data");
    ArgumentChecker.notNull(security, "security");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return priceGamma(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public double priceVega(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(black, "black data");
    ArgumentChecker.notNull(security, "security");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return priceVega(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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   */
  public double impliedVolatility(final BondFutureOptionPremiumSecurity security, final BlackBondFuturesSmileProviderInterface black) {
    ArgumentChecker.notNull(black, "black data");
    ArgumentChecker.notNull(security, "security");
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), black.getIssuerProvider());
    return impliedVolatility(security, new BlackBondFuturesSmilePriceProvider(black, priceFuture));
  }

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    final MultipleCurrencyAmount pvComputed = METHOD_BLACK_TRA.presentValue(BOND_FUTURE_OPTION_TRA_CALL, BLACK_PRICE_MULTICURVES);
    final double priceCall = METHOD_BLACK_SEC.price(BOND_FUTURE_OPTION_SEC_CALL, BLACK_PRICE_MULTICURVES);
    final MultipleCurrencyAmount pvPremium = METHOD_PAY_FIXED.presentValue(BOND_FUTURE_OPTION_TRA_CALL.getPremium(), ISSUER_MULTICURVES.getMulticurveProvider());
    assertEquals("BondFutureOptionPremiumTransactionBlackSurfaceMethod: present value", pvComputed.getAmount(USD), pvPremium.getAmount(USD) + priceCall * QUANTITY * NOTIONAL, TOLERANCE_PV);
    final double priceFutures = METHOD_FUTURES.price(BOND_FUT, ISSUER_MULTICURVES);
    final MultipleCurrencyAmount pv2 = METHOD_BLACK_TRA.presentValue(BOND_FUTURE_OPTION_TRA_CALL, new BlackBondFuturesSmilePriceProvider(BLACK_MULTICURVES, priceFutures));
    final MultipleCurrencyAmount pv3 = METHOD_BLACK_TRA.presentValue(BOND_FUTURE_OPTION_TRA_CALL, BLACK_MULTICURVES);
    assertEquals("BondFutureOptionPremiumTransactionBlackSurfaceMethod: present value", pv2.getAmount(USD), pv3.getAmount(USD), TOLERANCE_PV);
  }

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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.BlackBondFuturesSmilePriceProvider

com.opengamma.analytics.financial.interestrate.future.provider.BondFutureOptionPremiumSecurityBlackSmileMethod

com.opengamma.analytics.financial.interestrate.future.provider.BondFutureOptionPremiumTransactionBlackSurfaceMethodTest

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