Package com.opengamma.analytics.util.amount

Examples of com.opengamma.analytics.util.amount.SurfaceValue

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    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensi = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensi;
  }
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   * @param transaction The future option transaction.
   * @param blackData The curve and Black volatility data.
   * @return The present value curve sensitivity.
   */
  public SurfaceValue presentValueBlackSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
    SurfaceValue securitySensitivity = ((InterestRateFutureOptionMarginSecurityBlackSurfaceMethod) getSecurityMethod()).priceBlackSensitivity(transaction.getUnderlyingOption(), blackData);
    securitySensitivity = SurfaceValue.multiplyBy(securitySensitivity, transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }
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   * @param parameters The SABR parameters.
   * @return The node sensitivities.
   */
  public static PresentValueSABRSensitivityDataBundle calculateNodeSensitivities(final PresentValueSABRSensitivityDataBundle sensitivities, final SABRInterestRateParameters parameters) {
    final Map<Double, Interpolator1DDataBundle> alphaData = (Map<Double, Interpolator1DDataBundle>) parameters.getAlphaSurface().getInterpolatorData();
    SurfaceValue alphaNode = new SurfaceValue();
    for (final Entry<DoublesPair, Double> entry : sensitivities.getAlpha().getMap().entrySet()) {
      final Map<DoublesPair, Double> weight = parameters.getAlphaSurface().getInterpolator().getNodeSensitivitiesForValue(alphaData, entry.getKey());
      alphaNode = SurfaceValue.plus(alphaNode, SurfaceValue.multiplyBy(SurfaceValue.from(weight), entry.getValue()));
    }
    final Map<Double, Interpolator1DDataBundle> betaData = (Map<Double, Interpolator1DDataBundle>) parameters.getBetaSurface().getInterpolatorData();
    SurfaceValue betaNode = new SurfaceValue();
    for (final Entry<DoublesPair, Double> entry : sensitivities.getBeta().getMap().entrySet()) {
      final Map<DoublesPair, Double> weight = parameters.getBetaSurface().getInterpolator().getNodeSensitivitiesForValue(betaData, entry.getKey());
      betaNode = SurfaceValue.plus(betaNode, SurfaceValue.multiplyBy(SurfaceValue.from(weight), entry.getValue()));
    }
    final Map<Double, Interpolator1DDataBundle> rhoData = (Map<Double, Interpolator1DDataBundle>) parameters.getRhoSurface().getInterpolatorData();
    SurfaceValue rhoNode = new SurfaceValue();
    for (final Entry<DoublesPair, Double> entry : sensitivities.getRho().getMap().entrySet()) {
      final Map<DoublesPair, Double> weight = parameters.getRhoSurface().getInterpolator().getNodeSensitivitiesForValue(rhoData, entry.getKey());
      rhoNode = SurfaceValue.plus(rhoNode, SurfaceValue.multiplyBy(SurfaceValue.from(weight), entry.getValue()));
    }
    final Map<Double, Interpolator1DDataBundle> nuData = (Map<Double, Interpolator1DDataBundle>) parameters.getNuSurface().getInterpolatorData();
    SurfaceValue nuNode = new SurfaceValue();
    for (final Entry<DoublesPair, Double> entry : sensitivities.getNu().getMap().entrySet()) {
      final Map<DoublesPair, Double> weight = parameters.getNuSurface().getInterpolator().getNodeSensitivitiesForValue(nuData, entry.getKey());
      nuNode = SurfaceValue.plus(nuNode, SurfaceValue.multiplyBy(SurfaceValue.from(weight), entry.getValue()));
    }
    return new PresentValueSABRSensitivityDataBundle(alphaNode, betaNode, rhoNode, nuNode);
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   * @return The present value curve sensitivity.
   */
  public SurfaceValue presentValueBlackSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData) {
    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(blackData, "Black / multi-curves provider");
    SurfaceValue securitySensitivity = getSecurityMethod().priceBlackSensitivity(transaction.getUnderlyingOption(), blackData);
    securitySensitivity = SurfaceValue.multiplyBy(securitySensitivity, transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }
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    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensitivity = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensitivity;
  }
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    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensitivity = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensitivity;
  }
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    final double[] priceDerivatives = new double[5];
    BARRIER_FUNCTION.getPriceAdjoint(optionForex.getUnderlyingOption(), optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic,
        volatility, priceDerivatives);
    final double volatilitySensitivityValue = priceDerivatives[4] * Math.abs(foreignAmount) * sign;
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingOption().getUnderlyingForex()
        .getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), result);
    return sensi;
  }
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   * @return The security price Black volatility sensitivity.
   */
  public SurfaceValue priceBlackSensitivity(final InterestRateFutureOptionMarginSecurity security, final YieldCurveWithBlackCubeBundle blackData) {
    final double volatilityBar = optionPriceVega(security, blackData);
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), security.getStrike());
    final SurfaceValue sensi = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensi;
  }
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    final double[] priceAdjoint = new double[3];
    NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[1] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensi = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensi;
  }
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   * @return The present value curve sensitivity.
   */
  public SurfaceValue presentValueNormalSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final NormalSTIRFuturesSmileProviderInterface normalData) {
    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(normalData, "Normal / multi-curves provider");
    SurfaceValue securitySensitivity = getSecurityMethod().priceNormalSensitivity(transaction.getUnderlyingOption(), normalData);
    securitySensitivity = SurfaceValue.multiplyBy(securitySensitivity, transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }
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Related Classes of com.opengamma.analytics.util.amount.SurfaceValue

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  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethod
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  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethod
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  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethod
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