Examples of SmileDeltaTermStructureDataBundle

com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle
Class describing the data required to price instruments with the volatility delta and time dependent. @deprecated Use {@link BlackForexSmileProviderDiscount}

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The spot delta
   */
  public double spotDeltaTheoretical(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    return forwardDeltaTheoretical(optionForex, curves) * dfForeign;
  }

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The forward delta
   */
  public double forwardDeltaTheoretical(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    return BlackFormulaRepository.delta(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility, optionForex.isCall());
  }

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The spot gamma
   */
  public double spotGammaTheoretical(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    return forwardGammaTheoretical(optionForex, curves) * (dfForeign * dfForeign) / dfDomestic;
  }

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The forward gamma
   */
  public double forwardGammaTheoretical(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    return BlackFormulaRepository.gamma(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility);
  }

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   */


  public CurrencyAmount vanna(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double sign = (optionForex.isLong() ? 1.0 : -1.0);
    final double vanna = dfForeign * BlackFormulaRepository.vanna(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility)
        * sign * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount());

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The Volga. In the same currency as present value.
   */
  public CurrencyAmount vomma(final ForexOptionVanilla optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double volatility = FXVolatilityUtils.getVolatility(smile, optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double sign = (optionForex.isLong() ? 1.0 : -1.0);
    final double vomma = dfDomestic * BlackFormulaRepository.vomma(forward, optionForex.getStrike(), optionForex.getTimeToExpiry(), volatility) * sign
        * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount());

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   */
  public CurrencyAmount gamma(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gamma(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   */
  public CurrencyAmount gammaSpot(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final ForexOptionVanilla[] callSpread = callSpread(optionDigital, getSpread());
    // Spread value
    final CurrencyAmount gammaM = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[0], smile, optionDigital.payDomestic());
    final CurrencyAmount gammaP = ((ForexOptionVanillaBlackSmileMethod) getBaseMethod()).gammaSpot(callSpread[1], smile, optionDigital.payDomestic());
    return gammaM.plus(gammaP);

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

   * @return The volatility node sensitivity. The sensitivity figures are, like the present value, in the domestic currency (currency 2).
   */
  public PresentValueForexBlackVolatilityNodeSensitivityDataBundle presentValueBlackVolatilityNodeSensitivity(final ForexOptionDigital optionDigital, final YieldCurveBundle curves) {
    Validate.notNull(optionDigital, "Forex option");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    Validate.isTrue(smile.checkCurrencies(optionDigital.getCurrency1(), optionDigital.getCurrency2()), "Option currencies not compatible with smile data");
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionDigital, smile); // In ccy2
    final double df = smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionDigital.getCurrency1(), optionDigital.getCurrency2());
    final double forward = spot * smile.getCurve(optionDigital.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionDigital.getUnderlyingForex().getPaymentTime())
        / df;
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (final DoublesPair point : pointSensitivity.getVega().getMap().keySet()) {
      final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, optionDigital.getCurrency1(), optionDigital.getCurrency2(),
          optionDigital.getExpirationTime(), point.second, forward);
      final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();

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Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final Pair<Currency, Currency> currencyPair = Pair.of(ccy1, ccy2);
    if (volatilitySurfaceObject instanceof SmileDeltaTermStructureParametersStrikeInterpolation) {
      final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
      final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, currencyPair);
      return smileBundle;
    }
    final BlackForexTermStructureParameters termStructure = (BlackForexTermStructureParameters) volatilitySurfaceObject;
    final YieldCurveWithBlackForexTermStructureBundle flatData = new YieldCurveWithBlackForexTermStructureBundle(curvesWithFX, termStructure, currencyPair);
    return flatData;

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