Package com.opengamma.analytics.math.surface

Examples of com.opengamma.analytics.math.surface.InterpolatedDoublesSurface

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public class SmileFittedSurfaceBuilderTest extends AnalyticsTestBase {

  @Test
  public void testSABR() {
    final SABRInterestRateParameters sabrResults = TestsDataSets.createSABR1();
    final InterpolatedDoublesSurface alphaSurface = sabrResults.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = sabrResults.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = sabrResults.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = sabrResults.getRhoSurface();
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
    inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
    inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
    final SABRFittedSurfaces fits = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    assertEquals(fits, cycleObject(SABRFittedSurfaces.class, fits));
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  /**
   * Test the option price Black sensitivity
   */
  @Test
  public void priceNormalSensitivity() {
    final InterpolatedDoublesSurface normalParameterPlus = NormalDataSets.createNormalSurfaceFuturesPricesShift(VOL_SHIFT);
    final InterpolatedDoublesSurface NormalParameterMinus = NormalDataSets.createNormalSurfaceFuturesPricesShift(-VOL_SHIFT);
    final NormalSTIRFuturesSmileProviderDiscount blackPlus = new NormalSTIRFuturesSmileProviderDiscount(MULTICURVES, normalParameterPlus, EURIBOR3M);
    final NormalSTIRFuturesSmileProviderDiscount blackMinus = new NormalSTIRFuturesSmileProviderDiscount(MULTICURVES, NormalParameterMinus, EURIBOR3M);
    final double pricePlus = METHOD_SECURITY_OPTION_NORMAL.price(OPTION_ERU2, blackPlus);
    final double priceMinus = METHOD_SECURITY_OPTION_NORMAL.price(OPTION_ERU2, blackMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
 
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  @Test
  /**
   * Test the option price Black sensitivity
   */
  public void priceBlackSensitivity() {
    final InterpolatedDoublesSurface blackParameterPlus = TestsDataSetsBlack.createBlackSurfaceExpiryStrikeShift(VOL_SHIFT);
    final InterpolatedDoublesSurface blackParameterMinus = TestsDataSetsBlack.createBlackSurfaceExpiryStrikeShift(-VOL_SHIFT);
    final YieldCurveWithBlackCubeBundle blackBundlePlus = new YieldCurveWithBlackCubeBundle(blackParameterPlus, CURVES);
    final YieldCurveWithBlackCubeBundle blackBundleMinus = new YieldCurveWithBlackCubeBundle(blackParameterMinus, CURVES);
    final double pricePlus = METHOD_SECURITY_OPTION_BLACK.optionPrice(OPTION_ERU2, blackBundlePlus);
    final double priceMinus = METHOD_SECURITY_OPTION_BLACK.optionPrice(OPTION_ERU2, blackBundleMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
 
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  @Test
  /**
   * Test the option price Black sensitivity
   */
  public void priceBlackSensitivity() {
    final InterpolatedDoublesSurface blackParameterPlus = BlackDataSets.createBlackSurfaceExpiryTenorShift(VOL_SHIFT);
    final InterpolatedDoublesSurface blackParameterMinus = BlackDataSets.createBlackSurfaceExpiryTenorShift(-VOL_SHIFT);
    final BlackSTIRFuturesSmileProviderDiscount blackPlus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterPlus, EURIBOR3M);
    final BlackSTIRFuturesSmileProviderDiscount blackMinus = new BlackSTIRFuturesSmileProviderDiscount(MULTICURVES, blackParameterMinus, EURIBOR3M);
    final double pricePlus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackPlus);
    final double priceMinus = METHOD_SECURITY_OPTION_BLACK.price(OPTION_ERU2, blackMinus);
    final double priceSensiExpected = (pricePlus - priceMinus) / (2 * VOL_SHIFT);
 
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        final FXMatrix fxMatrix, final DayCount dayCount) {
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) inputs.getValue(SABR_SURFACES);
      final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
      final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
      final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
      final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
      final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount,
          VolatilityFunctionFactory.HAGAN_FORMULA);
      final MulticurveProviderDiscount curves = getMergedProviders(inputs, fxMatrix);
      final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = SwaptionUtils.getSwapGenerator(security, definition, securitySource);
      if (!(generatorSwap instanceof GeneratorSwapFixedIbor)) {
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, VolatilityFunctionFactory.HAGAN_FORMULA);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final double[] kappa = kappaList.toDoubleArray();
    final double[] theta = thetaList.toDoubleArray();
    final double[] vol0 = vol0List.toDoubleArray();
    final double[] omega = omegaList.toDoubleArray();
    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface kappaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, kappa, INTERPOLATOR, "Heston kappa surface");
    final InterpolatedDoublesSurface thetaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, theta, INTERPOLATOR, "Heston theta surface");
    final InterpolatedDoublesSurface vol0Surface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, vol0, INTERPOLATOR, "Heston vol0 surface");
    final InterpolatedDoublesSurface omegaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, omega, INTERPOLATOR, "Heston omega surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, INTERPOLATOR, "Heston rho surface");
    final HestonFittedSurfaces fittedSurfaces = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, _currency);
    return Sets.newHashSet(new ComputedValue(_resultSpecification, fittedSurfaces));
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, VolatilityFunctionFactory.HAGAN_FORMULA);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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      }
      final HestonFittedSurfaces surfaces = (HestonFittedSurfaces) surfacesObject;
      if (!surfaces.getCurrency().equals(currency)) {
        throw new OpenGammaRuntimeException("Currency mismatch between heston curves and trade");
      }
      final InterpolatedDoublesSurface kappaSurface = surfaces.getKappaSurface();
      final InterpolatedDoublesSurface thetaSurface = surfaces.getThetaSurface();
      final InterpolatedDoublesSurface vol0Surface = surfaces.getVol0Surface();
      final InterpolatedDoublesSurface omegaSurface = surfaces.getOmegaSurface();
      final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
      return new HestonCharacteristicExponent(kappaSurface.getZValue(t, k), thetaSurface.getZValue(t, k), vol0Surface.getZValue(t, k), omegaSurface.getZValue(t, k), rhoSurface.getZValue(t, k));
    }
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