/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.local;
import com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.model.volatility.BlackFormulaRepository;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SurfaceArrayUtils;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.StandardSmileSurfaceDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceMoneyness;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
/**
*
*/
public class LocalVolatilityForwardPDEBucketedVegaCalculator {
private static final double SHIFT = 1e-4;
private final LocalVolatilityForwardPDECalculator _pdeCalculator;
private final Interpolator1D _interpolator;
private final DupireLocalVolatilityCalculator _dupireCalculator;
private final VolatilitySurfaceInterpolator _surfaceInterpolator;
public LocalVolatilityForwardPDEBucketedVegaCalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator,
final DupireLocalVolatilityCalculator dupireCalculator, final VolatilitySurfaceInterpolator surfaceInterpolator) {
_pdeCalculator = pdeCalculator;
_interpolator = interpolator;
_dupireCalculator = dupireCalculator;
_surfaceInterpolator = surfaceInterpolator;
}
public double[][] getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
final StandardSmileSurfaceDataBundle marketData) {
final int n = marketData.getNumExpiries();
final double[][] strikes = marketData.getStrikes();
final double expiry = option.getTimeToExpiry();
final double forward = forwardCurve.getForward(expiry);
final double x = option.getStrike() / forward;
final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
final int spaceSteps = _pdeCalculator.getNSpaceSteps();
final double[] xNodes = pdeGrid.getGrid().getSpaceNodes();
int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, x);
if (index >= 1) {
index--;
}
if (index >= spaceSteps - 1) {
index--;
if (index >= spaceSteps - 1) {
index--;
}
}
final double[] vols = new double[4];
final double[] moneyness = new double[4];
System.arraycopy(xNodes, index, moneyness, 0, 4);
for (int i = 0; i < 4; i++) {
vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
expiry, option.isCall());
}
Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, vols);
final double exampleVol = _interpolator.interpolate(db, x);
final double[][] res = new double[n][];
for (int i = 0; i < n; i++) {
final int m = strikes[i].length;
res[i] = new double[m];
for (int j = 0; j < m; j++) {
final BlackVolatilitySurfaceMoneyness bumpedSurface = _surfaceInterpolator.getBumpedVolatilitySurface(marketData, i, j, SHIFT);
final LocalVolatilitySurfaceMoneyness bumpedLV = _dupireCalculator.getLocalVolatility(bumpedSurface);
final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, option);
for (int k = 0; k < 4; k++) {
vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), 1.0, moneyness[k],
expiry, option.isCall());
}
db = _interpolator.getDataBundle(moneyness, vols);
final double vol = _interpolator.interpolate(db, x);
res[i][j] = (vol - exampleVol) / SHIFT;
}
}
return res;
}
public double[][] getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
final StandardSmileSurfaceDataBundle marketData) {
final int n = marketData.getNumExpiries();
final double[][] strikes = marketData.getStrikes();
final double expiry = option.getTimeToExpiry();
final double forward = forwardCurve.getForward(expiry);
final double x = option.getStrike() / forward;
final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, forwardCurve, option);
final int spaceSteps = _pdeCalculator.getNSpaceSteps();
final double[] xNodes = pdeGrid.getGrid().getSpaceNodes();
int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, x);
if (index >= 1) {
index--;
}
if (index >= spaceSteps - 1) {
index--;
if (index >= spaceSteps - 1) {
index--;
}
}
final double[] vols = new double[4];
final double[] moneyness = new double[4];
System.arraycopy(xNodes, index, moneyness, 0, 4);
for (int i = 0; i < 4; i++) {
vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
expiry, option.isCall());
}
Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, vols);
final double exampleVol = _interpolator.interpolate(db, x);
final double[][] res = new double[n][];
for (int i = 0; i < n; i++) {
final int m = strikes[i].length;
res[i] = new double[m];
for (int j = 0; j < m; j++) {
final BlackVolatilitySurfaceMoneyness bumpedSurface = _surfaceInterpolator.getBumpedVolatilitySurface(marketData, i, j, SHIFT);
final LocalVolatilitySurfaceMoneyness bumpedLV = _dupireCalculator.getLocalVolatility(bumpedSurface);
final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, option);
for (int k = 0; k < 4; k++) {
vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), 1.0, moneyness[k],
expiry, option.isCall());
}
db = _interpolator.getDataBundle(moneyness, vols);
final double vol = _interpolator.interpolate(db, x);
res[i][j] = (vol - exampleVol) / SHIFT;
}
}
return res;
}
}