Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer.priceFromImpliedVols()

com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer.priceFromImpliedVols()

Calculates the price of an equity variance swap from implied volatilities. The surface used is a pure implied volatility surface. @param swap The details of the equity variance swap, not null @param spot current level of the underlying @param discountCurve The discount curve, not null @param dividends The assumed dividends, not null @param marketVols the market implied volatilities, not null @return The annualised variance

    final AffineDividends dividends = (AffineDividends) dividendsObject;
    final SmileSurfaceDataBundle volatilities = getData(inputs);
    final DoubleTimeSeries<LocalDate> underlyingTS = ((HistoricalTimeSeries) tsObject).getTimeSeries();
    final EquityVarianceSwap swap = definition.toDerivative(now, underlyingTS);
    final EquityVarianceSwapStaticReplicationPricer pricer = EquityVarianceSwapStaticReplicationPricer.builder().create(); //TODO don't just use defaults
    final double pv = pricer.priceFromImpliedVols(swap, spot, yieldCurve, dividends, volatilities);
    final ValueProperties properties = desiredValue.getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    final ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, pv));
  }

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