Package com.opengamma.financial.analytics.model.volatility.cube.fitted

Examples of com.opengamma.financial.analytics.model.volatility.cube.fitted.FittedSmileDataPoints

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        final List<ExternalId> externalIdList = deserializer.fieldValueToObject(List.class, externalIdsFields.get(i));
        final List<Double> relativeStrikesList = deserializer.fieldValueToObject(List.class, relativeStrikesFields.get(i));
        externalIds.put(tenors, externalIdList.toArray(new ExternalId[externalIdList.size()]));
        relativeStrikes.put(tenors, relativeStrikesList.toArray(new Double[relativeStrikesList.size()]));
      }
      return new FittedSmileDataPoints(externalIds, relativeStrikes);
    }
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        new ExternalId[] {ExternalId.of("TEST", "USSV0501A"), ExternalId.of("TEST", "USSV0501B"), ExternalId.of("TEST", "USSV0501C"), ExternalId.of("TEST", "USSV0501D") });
    relativeStrikes.put(Pair.of(Tenor.ofYears(5), Tenor.ONE_YEAR), new Double[] {-50., 0., 50., 100. });
    externalIds.put(Pair.of(Tenor.ofYears(7), Tenor.ofYears(3)), new ExternalId[] {ExternalId.of("TEST", "USSV0703A"), ExternalId.of("TEST", "USSV0703B"), ExternalId.of("TEST", "USSV0703C"),
        ExternalId.of("TEST", "USSV0703D") });
    relativeStrikes.put(Pair.of(Tenor.ofYears(7), Tenor.ofYears(3)), new Double[] {-100., 0., 50., 100. });
    final FittedSmileDataPoints object = new FittedSmileDataPoints(externalIds, relativeStrikes);
    assertEquals(object, cycleObject(FittedSmileDataPoints.class, object));
  }
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        getFittedPointsProperties(cubeName, currency.getCode(), fittingMethod));
    final Object fittedDataPointsObject = inputs.getValue(fittedPointsRequirement);
    if (fittedDataPointsObject == null) {
      throw new OpenGammaRuntimeException("Could not get fitted points for cube");
    }
    final FittedSmileDataPoints fittedDataPoints = (FittedSmileDataPoints) fittedDataPointsObject;
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = sabrFittedSurfaces.getInverseJacobians();
    final DoubleLabelledMatrix2D alphaSensitivity = (DoubleLabelledMatrix2D) alphaSensitivityObject;
    final DoubleLabelledMatrix2D nuSensitivity = (DoubleLabelledMatrix2D) nuSensitivityObject;
    final DoubleLabelledMatrix2D rhoSensitivity = (DoubleLabelledMatrix2D) rhoSensitivityObject;
    final double expiry = alphaSensitivity.getXKeys()[0];
    final double maturity = alphaSensitivity.getYKeys()[0];
    final double alpha = alphaSensitivity.getValues()[0][0];
    final double nu = nuSensitivity.getValues()[0][0];
    final double rho = rhoSensitivity.getValues()[0][0];
    final InterpolatedDoublesSurface alphaSurface = data.getSABRParameter().getAlphaSurface();
    final Map<Double, Interpolator1DDataBundle> alphaDataBundle = (Map<Double, Interpolator1DDataBundle>) alphaSurface.getInterpolatorData();
    final InterpolatedDoublesSurface nuSurface = data.getSABRParameter().getNuSurface();
    final Map<Double, Interpolator1DDataBundle> nuDataBundle = (Map<Double, Interpolator1DDataBundle>) nuSurface.getInterpolatorData();
    final InterpolatedDoublesSurface rhoSurface = data.getSABRParameter().getRhoSurface();
    final Map<Double, Interpolator1DDataBundle> rhoDataBundle = (Map<Double, Interpolator1DDataBundle>) rhoSurface.getInterpolatorData();
    final DoublesPair expiryMaturity = DoublesPair.of(expiry, maturity);
    final String xInterpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    final String xLeftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    final String xRightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    final String yInterpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.Y_INTERPOLATOR_NAME);
    final String yLeftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME);
    final String yRightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME);
    final Interpolator1D xInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(xInterpolatorName, xLeftExtrapolatorName, xRightExtrapolatorName);
    final Interpolator1D yInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(yInterpolatorName, yLeftExtrapolatorName, yRightExtrapolatorName);
    final GridInterpolator2D nodeSensitivityCalculator = new GridInterpolator2D(xInterpolator, yInterpolator);
    final Map<Double, DoubleMatrix2D> result = SABRVegaCalculationUtils.getVegaCube(alpha, rho, nu, alphaDataBundle, rhoDataBundle, nuDataBundle, inverseJacobians, expiryMaturity,
        nodeSensitivityCalculator);
    final DoubleLabelledMatrix3D labelledMatrix = VegaMatrixUtils.getVegaSwaptionCubeQuoteMatrix(fittedDataPoints.getFittedPoints(), result);
    final ValueProperties properties = getResultProperties(createValueProperties().get(), currency.getCode(), desiredValue);
    final ValueSpecification spec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, labelledMatrix));
  }
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    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, rho, INTERPOLATOR, "SABR rho surface");
    final SABRFittedSurfaces fittedSurfaces = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    final ValueProperties properties = getResultProperties(currency, cubeName);
    final ValueSpecification sabrSurfacesSpecification = new ValueSpecification(ValueRequirementNames.SABR_SURFACES, target.toSpecification(), properties);
    final ValueSpecification smileIdsSpecification = new ValueSpecification(ValueRequirementNames.VOLATILITY_CUBE_FITTED_POINTS, target.toSpecification(), properties);
    return Sets.newHashSet(new ComputedValue(sabrSurfacesSpecification, fittedSurfaces), new ComputedValue(smileIdsSpecification, new FittedSmileDataPoints(fittedSmileIds, fittedRelativeStrikes)));
  }
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Related Classes of com.opengamma.financial.analytics.model.volatility.cube.fitted.FittedSmileDataPoints

  • com.opengamma.financial.analytics.fudgemsg.SmileFittedSurfaceBuilderTest
  • com.opengamma.financial.analytics.fudgemsg.SmileFittedSurfacesBuilder$FittedSmileDataPointsBuilder
  • com.opengamma.financial.analytics.model.sabrcube.SABRVegaFunction
  • com.opengamma.financial.analytics.model.volatility.cube.SABRNonLinearLeastSquaresSwaptionCubeFittingFunction
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