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

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

150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
  @Test
  /**
   * Tests the strikes in a range of strikes, volatilities and call/put.
   */
  public void impliedStrike() {
    final BlackPriceFunction function = new BlackPriceFunction();
    final int nbStrike = STRIKES_INPUT.length;
    final int nbVols = VOLS.length;
    // double[][] delta = new double[2][nbStrike];
    // double[][] strikeOutput = new double[2][nbStrike];
    boolean callput = false;
    for (int loopcall = 0; loopcall < 2; loopcall++) {
      callput = !callput;
      for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
        for (int loopVols = 0; loopVols < nbVols; loopVols++) {
          final EuropeanVanillaOption option = new EuropeanVanillaOption(STRIKES_INPUT[loopstrike], TIME_TO_EXPIRY, callput);
          final BlackFunctionData data = new BlackFunctionData(FORWARD, 1.0, VOLS[loopVols]);
          final double[] d = function.getPriceAdjoint(option, data);
          final double delta = d[1];
          final double strikeOutput = BlackFormulaRepository.impliedStrike(delta, callput, FORWARD, TIME_TO_EXPIRY, VOLS[loopVols]);
          assertEquals("Implied strike: (data " + loopstrike + " / " + callput + ")", STRIKES_INPUT[loopstrike], strikeOutput, 1.0E-8);
        }
      }
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
91
92
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double tenor = swaption.getMaturityTime();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    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.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);
  }
View Full Code Here
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(swaption.getUnderlyingSwap().accept(PRSC, curveBlack));
    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.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(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));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
View Full Code Here
146
147
148
149
150
151
152
153
154
155
156
157
158
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRC, curveBlack);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double discountFactorSettle = curveBlack.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(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
88
89
90
91
92
93
94
95
96
97
98
99
    final double forwardModified = METHOD_SWAP.forwardModified(swap, curveBlack);
    final double strikeModified = Math.pow(1.0d + swaption.getStrike(), delta) - 1.0;
    // Implementation note: Modified strike: \bar K = (1+K)^\delta-1; the swaption payoff is pvbp*(\bar F - \bar K)^+
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, numeraire, 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);
  }
View Full Code Here
137
138
139
140
141
142
143
144
145
146
147
148
149
150
    final double forwardModified = METHOD_SWAP.forwardModified(swap, curveBlack);
    final double strikeModified = Math.pow(1.0d + swaption.getStrike(), delta) - 1.0;
    // Implementation note: Modified strike: \bar K = (1+K)^\delta-1; the swaption payoff is pvbp*(\bar F - \bar K)^+
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double sign = (swaption.isLong() ? 1.0 : -1.0);
    //    final double pv = numeraire * bsAdjoint[0] * sign;
    // Backward sweep
    final double pvBar = 1.0;
    final double numeraireBar = bsAdjoint[0] * sign * pvBar;
 
View Full Code Here
177
178
179
180
181
182
183
184
185
186
187
188
189
190
    final double forwardModified = METHOD_SWAP.forwardModified(swap, curveBlack);
    final double strikeModified = Math.pow(1.0d + swaption.getStrike(), delta) - 1.0;
    // Implementation note: Modified strike: \bar K = (1+K)^\delta-1; the swaption payoff is pvbp*(\bar F - \bar K)^+
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double sign = (swaption.isLong() ? 1.0 : -1.0);
    //    final double pv = numeraire * bsAdjoint[0] * sign;
    // Backward sweep
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
View Full Code Here
75
76
77
78
79
80
81
82
83
84
85
86
87
88
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final double discountFactorSettle = sabrData.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName()).getDiscountFactor(swaption.getSettlementTime());
    double price;
    if (swaption.getStrike() <= _cutOffStrike) { // No extrapolation
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final double volatility = sabrData.getSABRParameter().getVolatility(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
      final BlackFunctionData dataBlack = new BlackFunctionData(forward, discountFactorSettle * pvbp, volatility);
      final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(swaption);
      price = func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    } else { // With extrapolation
      final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
View Full Code Here
100
101
102
103
104
105
106
107
108
109
110
      final InterestRateFutureOptionMarginSecurity optionEDU2Standard = new InterestRateFutureOptionMarginSecurity(EDU2, expirationTime, STRIKE, IS_CALL);
      final double priceFuture = 0.9905;
      final double priceOption = METHOD.optionPriceFromFuturePrice(optionEDU2Standard, SABR_BUNDLE, priceFuture);
      final double delay = 0.0;
      final double volatility = SABR_PARAMETER.getVolatility(expirationTime, delay, 1 - STRIKE, 1 - priceFuture);
      final BlackPriceFunction blackFunction = new BlackPriceFunction();
      final BlackFunctionData dataBlack = new BlackFunctionData(1 - priceFuture, 1.0, volatility);
      final EuropeanVanillaOption option = new EuropeanVanillaOption(1 - STRIKE, expirationTime, !IS_CALL);
      final double priceOptionExpected = blackFunction.getPriceFunction(option).evaluate(dataBlack);
      assertEquals("Future option with SABR volatilities: option price from future price", priceOptionExpected, priceOption);
    }
View Full Code Here
89
90
91
92
93
94
95
96
97
98
99
100
    final double strikeModified = Math.pow(1.0 + RATE, cpn0.getPaymentYearFraction()) - 1.0d;
    final double num = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(cpn0.getPaymentTime()) * NOTIONAL;
    final double expiry = SWAPTION_LONG_REC.getTimeToExpiry();
    final double vol = BLACK.getVolatility(expiry, SWAPTION_LONG_REC.getMaturityTime());
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, expiry, SWAPTION_LONG_REC.isCall());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, num, vol);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pvExpected = -func.evaluate(dataBlack); // Short
    final CurrencyAmount pvComputed = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, CURVES_BLACK);
    assertEquals("SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod: forward", pvExpected, pvComputed.getAmount(), TOLERANCE_PV);
  }
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.