Package com.opengamma.financial.analytics.volatility.fittedresults

Examples of com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces

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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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 DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    protected SABRSwaptionProvider getSABRSurfaces(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        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 ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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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  private SABRInterestRateParameters getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final DayCount dayCount) {
    final Object surfacesObject = inputs.getValue(ValueRequirementNames.SABR_SURFACES);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get SABR fitted surfaces");
    }
    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();
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, SABR_FUNCTION);
  }
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    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, alpha, INTERPOLATOR, "SABR alpha surface");
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, beta, INTERPOLATOR, "SABR beta surface");
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, nu, INTERPOLATOR, "SABR nu surface");
    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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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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 ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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 DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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 DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    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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Related Classes of com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces

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  • com.opengamma.financial.analytics.model.sabrcube.SABRCMSSpreadNoExtrapolationYCNSFunction
  • com.opengamma.financial.analytics.model.sabrcube.SABRCMSSpreadRightExtrapolationFunction
  • com.opengamma.financial.analytics.model.sabrcube.SABRCMSSpreadRightExtrapolationVegaFunction
  • com.opengamma.financial.analytics.model.sabrcube.SABRCMSSpreadRightExtrapolationYCNSFunction
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