List of gammaWithStickyLocalVol() Examples

Examples of gammaWithStickyLocalVol()

com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()
Calculates the gamma of a variance swap using a local volatility surface.
The local volatility surface is treated as invariant to the spot. The variance swap is priced three times; spot bumped up, down and left unchanged. @param swap The details of the equality 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 delta of the variance swap under a sticky-strike assumption scaled by spot

Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()

      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v6 = v5;


      //now assume that the implied volatilities remain fixed as the spot moves
      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()

      final SmileSurfaceDataBundle v6 = v5;


      //now assume that the implied volatilities remain fixed as the spot moves
      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()


      //now assume that the implied volatilities remain fixed as the spot moves
      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);


      System.out.println("Flat, no divs:\t" + d1);

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()

      //now assume that the implied volatilities remain fixed as the spot moves
      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);


      System.out.println("Flat, no divs:\t" + d1);
      System.out.println("Flat, divs corr:\t" + d2);

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()

      final EquityVarianceSwapPricer pricer = EquityVarianceSwapPricer.builder().create();
      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);


      System.out.println("Flat, no divs:\t" + d1);
      System.out.println("Flat, divs corr:\t" + d2);
      System.out.println("Flat, divs not corr:\t" + d3);

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer.gammaWithStickyLocalVol()

      final double d1 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v1);
      final double d2 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v2);
      final double d3 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v3);
      final double d4 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, NULL_DIVIDENDS, v4);
      final double d5 = pricer.gammaWithStickyLocalVol(EVS_COR_FRO_DIVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v5);
      final double d6 = pricer.gammaWithStickyLocalVol(EVS, SPOT, DISCOUNT_CURVE, DIVIDENDS, v6);


      System.out.println("Flat, no divs:\t" + d1);
      System.out.println("Flat, divs corr:\t" + d2);
      System.out.println("Flat, divs not corr:\t" + d3);
      System.out.println("Non-flat, no divs:\t" + d4);

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