Package com.opengamma.analytics.financial.model.option.pricing.analytic.formula

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

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  private static final BlackImpliedVolatilityFormula BLACK_IMPLIED_VOL = new BlackImpliedVolatilityFormula();

  @Test
  public void testCGMY() {
    final FourierPricer pricer = new FourierPricer();
    final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0);
    for (int i = 0; i < 21; i++) {
      final double k = 0.01 + 0.14 * i / 20.0;
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
      final double price = pricer.price(data, option, CGMY_CE, -0.5, 1e-6);
      @SuppressWarnings("unused")
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  //TODO nothing is being tested in here
  @Test
  public void testIntegrandCGMY() {
    final EuropeanPriceIntegrand integrand = new EuropeanPriceIntegrand(CGMY_CE, -0.5, true);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(0.25 * FORWARD, T, true);
    final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, 0.5);
    final Function1D<Double, Double> function = integrand.getFunction(data, option);
    if (TEST_TIMING) {
      double res = 0;
      for (int count = 0; count < WARMUP_CYCLES; count++) {
        for (int i = 0; i < 100; i++) {
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    }
  }

  private void priceWithIntegral() {
    final int n = 7;
    final BlackFunctionData data = new BlackFunctionData(FORWARD, DF, SIGMA);
    for (int i = 0; i < n; i++) {
      final double k = FORWARD * Math.exp((i - n / 2) * MAX_LOG_MONEYNESS);
      final EuropeanVanillaOption option = new EuropeanVanillaOption(k, T, true);
      INTEGRAL_PRICER.price(data, option, HESTON, ALPHA, 0.1 * EPS);
    }
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    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeAdjusted + displacement, 1.0, cap.isCap()); // Time is in timeDependentFactor
    final double forwardDsc = (lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodStartTime())
        / lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getFixingPeriodEndTime()) - 1.0)
        / cap.getFixingAccrualFactor();
    final double df = lmmData.getCurve(cap.getFundingCurveName()).getDiscountFactor(cap.getPaymentTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardDsc + displacement, df, volatility);
    final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
    final double price = beta * func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    return CurrencyAmount.of(cap.getCurrency(), price);
  }
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    ArgumentChecker.notNull(security, "security");
    ArgumentChecker.notNull(blackData, "Black data");
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);
    final double priceSecurity = BLACK_FUNCTION.getPriceFunction(option).evaluate(dataBlack);
    return priceSecurity;
  }
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    // Forward sweep
    final double priceFuture = blackData.getForward();
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(priceFuture, 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double priceFutureBar = priceAdjoint[1] * priceBar;
    final InterestRateCurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackData);
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    ArgumentChecker.notNull(blackData, "YieldCurveWithBlackCubeBundle was unexpectedly null");
    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
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    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());

    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);

    final double[] firstDerivs = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return firstDerivs[1];
  }
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    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());

    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);

    // TODO This is overkill. We only need one value, but it provides extra calculations while doing testing
    final double[] firstDerivs = new double[3];
    final double[][] secondDerivs = new double[3][3];
    BLACK_FUNCTION.getPriceAdjoint2(option, dataBlack, firstDerivs, secondDerivs);
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    // Forward sweep
    final double strike = security.getStrike();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());

    final double volatility = blackData.getVolatility(security.getExpirationTime(), security.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);

    final double[] firstDerivs = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    return firstDerivs[2];
  }
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Related Classes of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData

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  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackTermStructureMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethod
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  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionVanillaBlackFlatMethod
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