Examples of SurfaceValue

com.opengamma.analytics.util.amount.SurfaceValue
Object to represent values linked to a surface (pair of doubles) for which the values can be added or multiplied by a constant. Used for different sensitivities (SABR, FX,...). The objects stored as a HashMap(DoublesPair, Double).

Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final double dMBar = amount * dfDomestic * NORMAL.getPDF(omega * dM) * (optionForex.isLong() ? 1.0 : -1.0) * omega * pvBar;
    final double sigmaRootTBar = (-Math.log(forward / strike) / (sigmaRootT * sigmaRootT) - 0.5) * dMBar;
    final double volatilityBar = Math.sqrt(expiry) * sigmaRootTBar;
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smile.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilityBar);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(foreignCcy, domesticCcy, result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(optionForex, dataBlack);
    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == black.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

  public PresentValueBlackSwaptionSensitivity calculateNodeSensitivities(final PresentValueBlackSwaptionSensitivity sensitivities, final BlackFlatSwaptionParameters parameters) {
    Validate.isTrue(parameters.getGeneratorSwap().equals(sensitivities.getGeneratorSwap()), "Sensitivities and parameters should refer to the same swap generator");
    ArgumentChecker.isTrue(parameters.getVolatilitySurface() instanceof InterpolatedDoublesSurface, "Can only calculate node sensitivities for interpolated double surfaces");
    final InterpolatedDoublesSurface interpolatedSurface = (InterpolatedDoublesSurface) parameters.getVolatilitySurface();
    final Map<Double, Interpolator1DDataBundle> volatilityData = (Map<Double, Interpolator1DDataBundle>) interpolatedSurface.getInterpolatorData();
    SurfaceValue volatilityNode = new SurfaceValue();
    for (final Entry<DoublesPair, Double> entry : sensitivities.getSensitivity().getMap().entrySet()) {
      final Map<DoublesPair, Double> weight = interpolatedSurface.getInterpolator().getNodeSensitivitiesForValue(volatilityData, entry.getKey());
      volatilityNode = SurfaceValue.plus(volatilityNode, SurfaceValue.multiplyBy(SurfaceValue.from(weight), entry.getValue()));
    }
    return new PresentValueBlackSwaptionSensitivity(volatilityNode, parameters.getGeneratorSwap());

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(optionForex, dataBlack);
    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smile.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    BARRIER_FUNCTION.getPriceAdjoint(optionForex.getUnderlyingOption(), optionForex.getBarrier(), rebateByForeignUnit, spot, rateDomestic - rateForeign, rateDomestic, volatility, priceDerivatives);
    final double volatilitySensitivityValue = priceDerivatives[4] * Math.abs(foreignAmount) * sign;
    final DoublesPair point = DoublesPair.of(optionForex.getUnderlyingOption().getTimeToExpiry(), optionForex.getUnderlyingOption().getStrike());
    //    Map<DoublesPair, Double> result = new HashMap<DoublesPair, Double>();
    //    result.put(point, volatilitySensitivityValue);
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency1(), optionForex
        .getUnderlyingOption().getUnderlyingForex().getCurrency2(), result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    //price *= Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final double[] vegaReference = new double[3];
    vegaReference[0] = x[0] * vegaSmile[0];
    vegaReference[2] = x[2] * vegaSmile[2];
    vegaReference[1] = vega[1] - x[0] * vega[0] - x[2] * vega[2];
    final SurfaceValue result = new SurfaceValue();
    for (int loopvv = 0; loopvv < 3; loopvv++) {
      final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(), strikesVV[loopvv]);
      result.add(point, vegaReference[loopvv] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0));
    }
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    // TODO: Review when the currency order is not in the standard order.
    return sensi;

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Examples of com.opengamma.analytics.util.amount.SurfaceValue


  /**
   * Constructor with empty sensitivities.
   */
  public PresentValueSABRSensitivityDataBundle() {
    _alpha = new SurfaceValue();
    _beta = new SurfaceValue();
    _rho = new SurfaceValue();
    _nu = new SurfaceValue();
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final double dMBar = amount * dfDomestic * NORMAL.getPDF(omega * dM) * (optionForex.isLong() ? 1.0 : -1.0) * omega * pvBar;
    final double sigmaRootTBar = (-Math.log(forward / strike) / (sigmaRootT * sigmaRootT) - 0.5) * dMBar;
    final double volatilityBar = Math.sqrt(expiry) * sigmaRootTBar;
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilityBar);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(foreignCcy, domesticCcy, result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, !optionForex.isCall());
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getExpiryTime(), (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getCurrency1(), optionForex.getCurrency2(), result);
    return sensi;
  }

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Examples of com.opengamma.analytics.util.amount.SurfaceValue

    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(optionForex, dataBlack);
    final double volatilitySensitivityValue = priceAdjoint[2] * Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final DoublesPair point = DoublesPair.of(optionForex.getTimeToExpiry(),
        (optionForex.getCurrency1() == smileMulticurves.getCurrencyPair().getFirst()) ? optionForex.getStrike() : 1.0 / optionForex.getStrike());
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilitySensitivityValue);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(optionForex.getUnderlyingForex().getCurrency1(), optionForex.getUnderlyingForex()
        .getCurrency2(), result);
    return sensi;
  }

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