Examples of EquityIndexOptionBlackMethod

Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    final EquityIndexOption firstDerivative = vanillaOptions.iterator().next();
    return Collections.singleton(new ComputedValue(resultSpec, model.forwardIndexValue(firstDerivative, market))); // All derivatives in the set share their forward
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    //FIXME use the type system
    if (derivative instanceof EquityIndexOption) {
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
    }
    final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
    return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    double sum = 0.0;
    for (final EquityIndexOption derivative : vanillaOptions) {
      sum += model.gammaWrtSpot(derivative, market);
    }
    return Collections.singleton(new ComputedValue(resultSpec, sum));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    double sum = 0.0;
    for (final EquityIndexOption derivative : vanillaOptions) {
      sum += model.vega(derivative, market);
    }
    return Collections.singleton(new ComputedValue(resultSpec, sum));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    double sum = 0.0;
    for (final EquityIndexOption derivative : vanillaOptions) {
      sum += model.vomma(derivative, market);
    }
    return Collections.singleton(new ComputedValue(resultSpec, sum));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    double sum = 0.0;
    for (final EquityIndexOption derivative : vanillaOptions) {
      sum += model.vannaWrtSpot(derivative, market);
    }
    return Collections.singleton(new ComputedValue(resultSpec, sum));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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    final double settle;
    final double rhoSettle;
    //FIXME
    if (derivative instanceof EquityIndexOption) {
      settle = ((EquityIndexOption) derivative).getTimeToSettlement();
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityIndexOption) derivative, market);
    } else {
      settle = ((EquityOption) derivative).getTimeToSettlement();
      final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityOption) derivative, market);
    }
    //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    // What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
    final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  @Override
  protected Set<ComputedValue> computeValues(final Set<EquityIndexOption> vanillaOptions, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
    double sum = 0.0;
    for (final EquityIndexOption derivative : vanillaOptions) {
      sum += model.deltaWrtSpot(derivative, market);
    }
    return Collections.singleton(new ComputedValue(resultSpec, sum));
  }
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod

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  protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
      final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
    //FIXME use the type system
    if (derivative instanceof EquityIndexOption) {
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      return Collections.singleton(new ComputedValue(resultSpec, model.forwardIndexValue((EquityIndexOption) derivative, market)));
    }
    final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
    return Collections.singleton(new ComputedValue(resultSpec, model.forwardIndexValue((EquityOption) derivative, market)));
  }
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