Examples of SABRHaganVolatilityFunction

com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction
Class with the Hagan et al SABR volatility function. Reference: Hagan, P.; Kumar, D.; Lesniewski, A. & Woodward, D. "Managing smile risk", Wilmott Magazine, 2002, September, 84-108

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.25,
        -0.25, -0.25, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
        10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
        0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.15,
        -0.15, -0.15, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.00, 0.25, 0.10, 0.40, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
        10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
        0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.45, 0.25, 0.25, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

    assertEquals(vol1, vol2, 1e-6);
  }


  @Test(enabled = false)
  public void printSurfaces() {
    final SABRHaganVolatilityFunction sabr = new SABRHaganVolatilityFunction();
    final double k = 0.01;
    for (int i = 0; i < 10; i++) {
      final double t = 0.5 + i * 20 / 9.;
      final double vol1 = SABR_SURFACE.getVolatility(t, k);
      final double vol2 = sabr.getVolatility(SPOT, k, t, ALPHA, BETA, RHO, NU);
      System.out.println(t + "\t" + vol1 + "\t" + vol2);
    }
    PDEUtilityTools.printSurface("Imp Vol", SABR_SURFACE.getSurface(), 0., 5., 0.1 * SPOT, 3 * SPOT);
    PDEUtilityTools.printSurface("Loc Vol", LOCAL_VOL.getSurface(), 0., 5., 0.1 * SPOT, 3 * SPOT);
    PDEUtilityTools.printSurface("ABs Loc Vol", ABS_LOCAL_VOL.getSurface(), 0., 5., 0.1 * SPOT, 3 * SPOT);

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

  /**
   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1() {
    return createSABR1(new SABRHaganVolatilityFunction());
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped(final double shift) {
    return createSABR1AlphaBumped(new SABRHaganVolatilityFunction(), shift);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

  /**
   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped() {
    return createSABR1AlphaBumped(new SABRHaganVolatilityFunction());
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped(final double shift) {
    return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Alpha data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped() {
    final double shift = 0.0001;
    return createSABR1RhoBumped(new SABRHaganVolatilityFunction(), shift);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by a given shift with respect to SABR1.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped(final double shift) {
    return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction

   * Create a set of SABR parameter surface (linearly interpolated) with Hagan volatility function. Nu data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped() {
    final double shift = 0.0001;
    return createSABR1NuBumped(new SABRHaganVolatilityFunction(), shift);
  }

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