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

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

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    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);
    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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      _tau = 1.0 / _nbFixedPaymentYear;
      _delta = cmsCap.getPaymentTime() - cmsCap.getSettlementTime();
      _eta = -_delta;
      _timeToExpiry = cmsCap.getFixingTime();
      _forward = forward;
      _sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, cutOffStrike, _timeToExpiry, mu);
      _isCall = cmsCap.isCap();
      _strike = cmsCap.getStrike();
      _factor = g(_forward) / h(_forward);
    }
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      final double volatility = sabrData.getSABRParameter().getVolatility(cap.getFixingTime(), maturity, cap.getStrike(), forward);
      final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
      final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
      price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    } else { // With extrapolation
      SABRExtrapolationRightFunction sabrExtrapolation;
      final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      price = df * sabrExtrapolation.price(option) * cap.getNotional() * cap.getPaymentYearFraction();
    }
    return CurrencyAmount.of(cap.getCurrency(), price);
  }
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      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      bsPrice = sabrExtrapolation.price(option);
      bsDforward = sabrExtrapolation.priceDerivativeForward(option);
    }
    result = result.multipliedBy(bsPrice);
    result = result.plus(forwardDr.multipliedBy(bsDforward));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return result;
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      final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      sabrExtrapolation.priceAdjointSABR(option, bsDsabr);
    }
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[0]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsDsabr[1]);
 
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    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactorTp / integrantVega.h(forward) * integrantVega.g(forward);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final double factor2 = factor * integrantVega.k(strike);
    final double[] strikePartPrice = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, strikePartPrice);
    for (int loopvega = 0; loopvega < 4; loopvega++) {
      strikePartPrice[loopvega] *= factor2;
    }
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    final double relativeTolerance = 1E-3;
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    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);
    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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      _tau = 1.0 / _nbFixedPaymentYear;
      _delta = cmsCap.getPaymentTime() - cmsCap.getSettlementTime();
      _eta = -_delta;
      _timeToExpiry = cmsCap.getFixingTime();
      _forward = forward;
      _sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, cutOffStrike, _timeToExpiry, mu);
      _isCall = cmsCap.isCap();
      _strike = cmsCap.getStrike();
      _factor = g(_forward) / h(_forward);
    }
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      final double volatility = sabr.getSABRParameter().getVolatility(cap.getFixingTime(), maturity, cap.getStrike(), forward);
      final BlackFunctionData dataBlack = new BlackFunctionData(forward, df, volatility);
      final Function1D<BlackFunctionData, Double> func = BLACK_FUNCTION.getPriceFunction(option);
      price = func.evaluate(dataBlack) * cap.getNotional() * cap.getPaymentYearFraction();
    } else { // With extrapolation
      SABRExtrapolationRightFunction sabrExtrapolation;
      final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
      final double alpha = sabr.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabr.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabr.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabr.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      price = df * sabrExtrapolation.price(option) * cap.getNotional() * cap.getPaymentYearFraction();
    }
    return MultipleCurrencyAmount.of(cap.getCurrency(), price);
  }
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      final double alpha = sabr.getSABRParameter().getAlpha(expiryMaturity);
      final double beta = sabr.getSABRParameter().getBeta(expiryMaturity);
      final double rho = sabr.getSABRParameter().getRho(expiryMaturity);
      final double nu = sabr.getSABRParameter().getNu(expiryMaturity);
      final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      bsPrice = sabrExtrapolation.price(option);
      bsDforward = sabrExtrapolation.priceDerivativeForward(option);
    }
    result = result.multipliedBy(bsPrice);
    result = result.plus(forwardDr.multipliedBy(bsDforward));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
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