Examples of BlackFunctionData

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbpModified * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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      alphaK[loopcf] = cfa[loopcf + 1] * pK[loopcf + 1] / k;
      sigmaK += eta * (alpha0[loopcf] + alphaK[loopcf]) * factor2[loopcf + 1] / 2.0;
    }
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaK);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack);
    return MultipleCurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);

    double fwd = data.getForward();
    double df = data.getDiscountFactor();
    double t = option.getTimeToExpiry();
    boolean isCall = option.isCall();
    double limitSigma = data.getBlackVolatility(); //TODO This is a tuning parameter of the algorithm and has no business being passed in a BlackOptionDataBundle

    final double[][] prices = PRICER.price(fwd, df, t, isCall, _characteristicExponent, _nStrikes, _maxDeltaMoneyness, limitSigma, _alpha, _tolerance);
    final int n = prices.length;
    final double[] k = new double[n];
    final double[] price = new double[n];
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);
    final double price = _pricer.price(data, option, _characteristicExponent, _alpha, _limitTolerance, _useVarianceReduction);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.FAIR_PRICE, price);
    return result;
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    final double[] betaBar = new double[] {(beta0[0] + betaK[0]) / 2.0, (beta0[1] + betaK[1]) / 2.0};
    final double sigmaBar2 = gamma[0][0] * betaBar[0] * betaBar[0] + gamma[1][1] * betaBar[1] * betaBar[1] + 2 * rhog2pp * gamma[0][1] * betaBar[0] * betaBar[1];
    final double sigmaBar = Math.sqrt(sigmaBar2);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(k, 1, !swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, dfswap[0], sigmaBar);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return MultipleCurrencyAmount.of(swaption.getCurrency(), price);
  }
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    if (strikeModified <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
      final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
      final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
      return MultipleCurrencyAmount.of(ccy, func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0));
    }
    // With extrapolation
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    // TODO: A better notion of maturity may be required (using period?)
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), swaption.getMaturityTime(), swaption.getStrike(), forward);
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(swaption);
    final double price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    return CurrencyAmount.of(swaption.getCurrency(), price);
  }
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