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

    final double[] t = {0.0, 0.25, 0.50, 1.00, 2.00};
    final double[] atm = {0.175, 0.185, 0.18, 0.17, 0.16};
    final double[] delta = new double[] {0.10, 0.25};
    final double[][] rr = new double[][] { {-0.010, -0.0050}, {-0.011, -0.0060}, {-0.012, -0.0070}, {-0.013, -0.0080}, {-0.014, -0.0090}};
    final double[][] strangle = new double[][] { {0.0300, 0.0100}, {0.0310, 0.0110}, {0.0320, 0.0120}, {0.0330, 0.0130}, {0.0340, 0.0140}};
    SmileDeltaTermStructureParametersStrikeInterpolation smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(t, delta, atm, rr, strangle);
    assertEquals(smiles, cycleObject(SmileDeltaTermStructureParametersStrikeInterpolation.class, smiles));
    final Interpolator1D strikeInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    final Interpolator1D timeInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LOG_LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(t, delta, atm, rr, strangle, strikeInterpolator, timeInterpolator);
    assertEquals(smiles, cycleObject(SmileDeltaTermStructureParametersStrikeInterpolation.class, smiles));
  }

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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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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_FLAT, STRANGLE_FLAT);
  }

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

      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    final double[] atmFlat = new double[ATM.length];
    Arrays.fill(atmFlat, volatility);
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, atmFlat, RISK_REVERSAL_FLAT, STRANGLE_FLAT);
  }

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

    final double forward = SPOT * Math.exp(-rateForeign * payTime) / Math.exp(-rateDomestic * payTime);
    final double volatility = SMILE_TERM.getVolatility(VANILLA_LONG.getTimeToExpiry(), STRIKE, forward);
    final double[] atmFlat = {volatility, volatility, volatility, volatility, volatility };
    final double[][] rrFlat = new double[][] { {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 } };
    final double[][] sFlat = new double[][] { {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 }, {0.0, 0.0 } };
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTermFlat = new SmileDeltaTermStructureParametersStrikeInterpolation(TIME_TO_EXPIRY, DELTA, atmFlat, rrFlat, sFlat);
    final FXMatrix fxMatrixShift = new FXMatrix(EUR, USD, SPOT + shiftSpotEURUSD);
    final YieldCurveBundle curvesShiftedFX = new YieldCurveBundle(fxMatrixShift, CURVES.getCurrencyMap(), CURVES.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBumpedSpot = new SmileDeltaTermStructureDataBundle(curvesShiftedFX, smileTermFlat, Pair.of(EUR, USD));
    final MultipleCurrencyAmount pvBumpedSpot = METHOD_BARRIER.presentValue(OPTION_BARRIER, smileBumpedSpot);
    final double ceDomesticFD = (pvBumpedSpot.getAmount(USD) - pv.getAmount(USD));

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

   * Tests the present value with an explicit computation.
   */
  public void presentValueDoubleQuadratic() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = FXDataSets.smile3points(REFERENCE_DATE, interpolator);
    final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(MULTICURVES, smileTerm, Pair.of(EUR, USD));
    final double strikeM = STRIKE * (1 - CALL_SPREAD);
    final double strikeP = STRIKE * (1 + CALL_SPREAD);
    final Forex forexM = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeM));
    final Forex forexP = new Forex(FOREX.getPaymentCurrency1().withAmount(1.0), FOREX.getPaymentCurrency2().withAmount(-strikeP));

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

   * Analyzes the profile for digital options.
   */
  public void profile() {
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm = FXDataSets.smile5points(REFERENCE_DATE, interpolator);
    final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(MULTICURVES, smileTerm, Pair.of(EUR, USD));


    final int nbStrike = 100;
    final double range = 0.40; // Spot = 1.40
    final double shift = 2 * range / nbStrike;

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