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

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

920
921
922
923
924
925
926
927
928
929
930
931
932
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
View Full Code Here
74
75
76
77
78
79
80
81
82
83
84
85
86
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), 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 MultipleCurrencyAmount.of(swaption.getCurrency(), price);
  }
View Full Code Here
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCS, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Derivative of the cash annuity with respect to the forward.
    final double pvbpDf = METHOD_SWAP.getAnnuityCashDerivative(swaption.getUnderlyingSwap(), forward);
    // Implementation note: strictly speaking, the strike equivalent is curve dependent; that dependency is ignored.
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1]));
    if (!swaption.isLong()) {
View Full Code Here
174
175
176
177
178
179
180
181
182
183
184
185
186
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), swaption.getMaturityTime());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
    sensitivity.put(point, bsAdjoint[2] * pvbp * discountFactorSettle * (swaption.isLong() ? 1.0 : -1.0));
    return new PresentValueBlackSwaptionSensitivity(sensitivity, curveBlack.getBlackParameters().getGeneratorSwap());
  }
View Full Code Here
223
224
225
226
227
228
229
230
231
232
233
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pv = dfLMM[0] * func.evaluate(dataBlack);
    return CurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
View Full Code Here
390
391
392
393
394
395
396
397
398
399
400
401
402
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
View Full Code Here
655
656
657
658
659
660
661
662
663
664
665
666
667
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
View Full Code Here
912
913
914
915
916
917
918
919
920
921
922
923
924
      }
      normSigmaM += sigmaM[loopfact] * sigmaM[loopfact];
    }
    final double impliedBlackVol = Math.sqrt(normSigmaM * meanReversionImpact);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(bK, 1, isCall);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(b0, 1.0, impliedBlackVol);
    final double[] blkAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double pvBar = 1.0;
    final double impliedBlackVolBar = dfLMM[0] * blkAdjoint[2] * (swaption.isLong() ? 1.0 : -1.0) * pvBar;
    final double normSigmaMBar = meanReversionImpact / (2.0 * impliedBlackVol) * impliedBlackVolBar;
    final double[] sigmaMBar = new double[nbFactor];
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
    for (int loopcf = 0; loopcf < nbCf - 1; loopcf++) {
      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 CurrencyAmount.of(swaption.getUnderlyingSwap().getFirstLeg().getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
View Full Code Here
70
71
72
73
74
75
76
77
78
79
80
81
82
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, sabrData.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // 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.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), 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 MultipleCurrencyAmount.of(swaption.getCurrency(), price);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction

  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecuritySABRMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecuritySABRMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.