Examples of SmileDeltaTermStructureParametersStrikeInterpolation

com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation
Class describing the data required to describe a delta and expiration dependent smile from ATM, risk reversal and strangle as used in Forex market. The delta used is the delta with respect to forward.

Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double df = multicurves.getDiscountFactor(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot
        * multicurves.getDiscountFactor(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex().getPaymentTime()) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = volatilityModel.getVolatilityAndSensitivities(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption()
        .getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingOption().getUnderlyingForex()
        .getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double df = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime()) / df;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionForex.getCurrency1(), optionForex.getCurrency2(),
        optionForex.getTimeToExpiry(), optionForex.getStrike(), forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionDigital, smileMulticurves); // In ccy2
    final double df = multicurves.getDiscountFactor(optionDigital.getCurrency2(), optionDigital.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionDigital.getCurrency1(), optionDigital.getCurrency2());
    final double forward = spot * multicurves.getDiscountFactor(optionDigital.getCurrency1(), optionDigital.getUnderlyingForex().getPaymentTime()) / df;
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (final DoublesPair point : pointSensitivity.getVega().getMap().keySet()) {
      final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionDigital.getCurrency1(), optionDigital.getCurrency2(),
          optionDigital.getExpirationTime(), point.second, forward);
      final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
      for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
        for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
          vega[loopexp][loopstrike] += nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
        }
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionDigital.getUnderlyingForex().getCurrency1(), optionDigital.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smileMulticurves, "Smile");
    ArgumentChecker.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In dom ccy
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    final double expiry = optionForex.getExpirationTime();
    // Forward sweep
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    if (optionForex.payDomestic()) {
      domesticCcy = optionForex.getUnderlyingForex().getCurrency2();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency1();
      strike = optionForex.getStrike();
    } else {
      strike = 1.0 / optionForex.getStrike();
      domesticCcy = optionForex.getUnderlyingForex().getCurrency1();
      foreignCcy = optionForex.getUnderlyingForex().getCurrency2();
    }
    final double dfDomestic = multicurves.getDiscountFactor(domesticCcy, payTime);
    final double dfForeign = multicurves.getDiscountFactor(foreignCcy, payTime);
    final double spot = multicurves.getFxRate(foreignCcy, domesticCcy);
    final double forward = spot * dfForeign / dfDomestic;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(foreignCcy, domesticCcy, expiry, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex().getCurrency2(), new DoubleMatrix1D(
        volatilityModel.getTimeToExpiration()), new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    final double expiryTime = optionForex.getExpiryTime();
    final double strike = 1.0 / optionForex.getStrike(); // The strike is 1 ccy2=X ccy1; we want the price in ccy2 => we need 1 ccy1 = 1/X ccy2.
    final String deliveryCurveName = optionForex.getUnderlyingNDF().getDiscountingCurve2Name();
    final String nonDeliveryCurveName = optionForex.getUnderlyingNDF().getDiscountingCurve1Name();
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smile); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smile.getVolatilityModel();
    final double dfDelivery = smile.getCurve(deliveryCurveName).getDiscountFactor(paymentTime);
    final double dfNonDelivery = smile.getCurve(nonDeliveryCurveName).getDiscountFactor(paymentTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfNonDelivery / dfDelivery;
    final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, optionForex.getCurrency1(), optionForex.getCurrency2(),
        expiryTime, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(expiryTime, (optionForex.getCurrency1() == smile.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getCurrency1(), optionForex.getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()),
        new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double paymentTime = optionForex.getUnderlyingNDF().getPaymentTime();
    final double expiryTime = optionForex.getExpiryTime();
    final double strike = 1.0 / optionForex.getStrike(); // The strike is 1 ccy2=X ccy1; we want the price in ccy2 => we need 1 ccy1 = 1/X ccy2.
    final PresentValueForexBlackVolatilitySensitivity pointSensitivity = presentValueBlackVolatilitySensitivity(optionForex, smileMulticurves); // In ccy2
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityModel = smileMulticurves.getVolatility();
    final double dfDelivery = multicurves.getDiscountFactor(optionForex.getCurrency2(), paymentTime);
    final double dfNonDelivery = multicurves.getDiscountFactor(optionForex.getCurrency1(), paymentTime);
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfNonDelivery / dfDelivery;
    final VolatilityAndBucketedSensitivities volAndSensitivities = smileMulticurves.getVolatilityAndSensitivities(optionForex.getCurrency1(), optionForex.getCurrency2(), expiryTime, strike, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(expiryTime, (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
    }
    return new PresentValueForexBlackVolatilityNodeSensitivityDataBundle(optionForex.getCurrency1(), optionForex.getCurrency2(), new DoubleMatrix1D(volatilityModel.getTimeToExpiration()),
        new DoubleMatrix1D(volatilityModel.getDeltaFull()), new DoubleMatrix2D(vega));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_2, STRANGLE_2);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_2, STRANGLE_2, interpolator);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_1, ATM, RISK_REVERSAL_1, STRANGLE_1, interpolator);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      atmShift[loopexp] += shift;
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, atmShift, RISK_REVERSAL_2, STRANGLE_2);
  }

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