Examples of EuropeanVanillaOption

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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   */
  public double priceFromFuturePrice(final InterestRateFutureOptionMarginSecurity security, final BlackSTIRFuturesSmileProviderInterface blackData, final double priceFuture) {
    ArgumentChecker.notNull(security, "Option security");
    ArgumentChecker.notNull(blackData, "Black data");
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay); //
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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    ArgumentChecker.notNull(security, "Option security");
    ArgumentChecker.notNull(blackData, "Black data");
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), blackData.getMulticurveProvider());
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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    ArgumentChecker.notNull(blackData, "Black data");
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), blackData.getMulticurveProvider());
    final double strike = security.getStrike();
    final double rateStrike = 1.0 - strike;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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    ArgumentChecker.notNull(security, "Option security");
    ArgumentChecker.notNull(blackData, "Black data");
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), blackData);
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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    ArgumentChecker.notNull(blackData, "Black data");
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), blackData.getMulticurveProvider());
    final double strike = security.getStrike();
    final double rateStrike = 1.0 - strike;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] firstDerivs = new double[3];
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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  public double priceVega(final InterestRateFutureOptionMarginSecurity security, final BlackSTIRFuturesSmileProviderInterface blackData) {
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), blackData);
    final double strike = security.getStrike();
    final double rateStrike = 1.0 - strike;
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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          final double delta = 1.01e-3;
          final double a0 = (HAGAN.getVolatilityFunction(option, forward)).evaluate(data);
          double kPlus, kMinus;
          kPlus = forward * Math.exp(delta);
          kMinus = forward * Math.exp(-delta);
          EuropeanVanillaOption other = new EuropeanVanillaOption(kPlus, option.getTimeToExpiry(), option.isCall());
          final double yPlus = getVolatilityFunction(other, forward).evaluate(data);
          other = new EuropeanVanillaOption(kMinus, option.getTimeToExpiry(), option.isCall());
          final double yMinus = getVolatilityFunction(other, forward).evaluate(data);
          final double a2 = (yPlus + yMinus - 2 * a0) / 2 / delta / delta;
          final double a1 = (yPlus - yMinus) / 2 / delta;
          return a2 * x * x + a1 * x + a0;
        }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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   * @param priceFuture The price of the underlying future.
   * @return The security price.
   */
  public double optionPriceFromFuturePrice(final InterestRateFutureOptionMarginSecurity security, final SABRInterestRateDataBundle sabrData, final double priceFuture) {
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double volatility = sabrData.getSABRParameter().getVolatility(new double[] {security.getExpirationTime(), delay, rateStrike, forward});
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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   */
  public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureOptionMarginSecurity security, final SABRInterestRateDataBundle sabrData) {
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), sabrData);
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(security.getExpirationTime(), delay, rateStrike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption

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  public PresentValueSABRSensitivityDataBundle priceSABRSensitivity(final InterestRateFutureOptionMarginSecurity security, final SABRInterestRateDataBundle sabrData) {
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    // Forward sweep
    final double priceFuture = METHOD_FUTURE.price(security.getUnderlyingFuture(), sabrData);
    final double rateStrike = 1.0 - security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(rateStrike, security.getExpirationTime(), !security.isCall());
    final double forward = 1 - priceFuture;
    final double delay = security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(security.getExpirationTime(), delay, rateStrike, forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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