Package com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.StandardSmileSurfaceDataBundle

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        pVols[i][j] = volToPureVol(strikes[i][j], f, d, t, vols[i][j]);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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        vols[i][j] = BlackFormulaRepository.impliedVolatility(purePrice, 1.0, x[i][j], t, isCall);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), expiries, x, vols);
    final BlackVolatilitySurfaceMoneyness surf = surfaceInterpolator.getVolatilitySurface(data);
    return new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
  }
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        pVols[i][j] = volToPureVol(strikes[i][j], f, d, t, vols[i][j]);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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  private final static YieldCurve div1 = new YieldCurve("test", div);
  private final static ForwardCurve fwd = new ForwardCurveYieldImplied(2791.0, TestKurve2, div1);

  public static void SABRSurface() {

    final SmileSurfaceDataBundle surfdatabundle = new StandardSmileSurfaceDataBundle(fwd, datearray, strikematrix, volsmatrix);

    final VolatilitySurfaceInterpolator surf = new VolatilitySurfaceInterpolator(DEFAULT_SMILE_INTERPOLATOR);
    final BlackVolatilitySurfaceMoneynessFcnBackedByGrid surf1 = surf.getVolatilitySurface(surfdatabundle);

    for (int i = 0; i < 11; i++) {
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        final double pVol = surf.getVolatility(t, x);
        final double p = (f[i] - d) * BlackFormulaRepository.price(1.0, x, t, pVol, isCall);
        vols[i][j] = BlackFormulaRepository.impliedVolatility(p, f[i], strikes[i][j], t, pVol);
      }
    }
    return new StandardSmileSurfaceDataBundle(spot, f, expiries, strikes, vols, Interpolator1DFactory.DOUBLE_QUADRATIC_INSTANCE);
  }
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        final double pVol = surf.getVolatility(t, x);
        final double p = (f[i] - d) * BlackFormulaRepository.price(1.0, x, t, pVol, isCall);
        vols[i][j] = BlackFormulaRepository.impliedVolatility(p, f[i], strikes[i][j], t, pVol);
      }
    }
    return new StandardSmileSurfaceDataBundle(spot, f, expiries, strikes, vols, Interpolator1DFactory.DOUBLE_QUADRATIC_INSTANCE);
  }
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    public StandardSmileSurfaceDataBundle buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final ForwardCurve forwardCurve = deserializer.fieldValueToObject(ForwardCurve.class, message.getByName(FORWARD_CURVE_FIELD_NAME));
      final double[] expiries = deserializer.fieldValueToObject(double[].class, message.getByName(EXPIRIES_FIELD_NAME));
      final double[][] strikes = deserializer.fieldValueToObject(double[][].class, message.getByName(STRIKES_FIELD_NAME));
      final double[][] vols = deserializer.fieldValueToObject(double[][].class, message.getByName(VOLS_FIELD_NAME));
      return new StandardSmileSurfaceDataBundle(forwardCurve, expiries, strikes, vols);
    }
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  private final double _spaceGridBunching;

  public LocalVolatilityPDEGreekCalculator(final ForwardCurve forwardCurve, final double[] expiries, final double[][] strikes, final double[][] impliedVols,
      final boolean isCall) {

    _marketData = new StandardSmileSurfaceDataBundle(forwardCurve, expiries, strikes, impliedVols);

    Validate.notNull(forwardCurve, "null forward curve");
    Validate.notNull(expiries, "null expiries");
    Validate.notNull(strikes, "null strikes");
    Validate.notNull(impliedVols, "null impliedVols");
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  @Test
  public void testMoneynessSurfaceBackedByGrid() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final StandardSmileSurfaceDataBundle gridData = new StandardSmileSurfaceDataBundle(100.0, new double[] {101,102,103}, new double[] {1,2,3},
        new double[][] {{80,80},{100,100},{120,120}}, new double[][] {{.3,.25},{.2,.2},{.3,.25}}, new LinearInterpolator1D() );
    final VolatilitySurfaceInterpolator interpolator = new VolatilitySurfaceInterpolator();
    final BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness1 = new BlackVolatilitySurfaceMoneynessFcnBackedByGrid(surface, curve, gridData, interpolator);
    BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness2 = cycleObject(BlackVolatilitySurfaceMoneynessFcnBackedByGrid.class, moneyness1);
    assertArrayEquals(moneyness1.getGridData().getExpiries(), moneyness2.getGridData().getExpiries(), 0);
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  private static final StandardSmileSurfaceDataBundle STANDARD_DATA = new StandardSmileSurfaceDataBundle(FOREX_DATA.getForwardCurve(), FOREX_DATA.getExpiries(), FOREX_DATA.getStrikes(),
      FOREX_DATA.getVolatilities());

  @Test
  public void testStandardData() {
    final StandardSmileSurfaceDataBundle data = cycleObject(StandardSmileSurfaceDataBundle.class, STANDARD_DATA);
    assertArrayEquals(STANDARD_DATA.getExpiries(), data.getExpiries(), 0);
    assertTrue(Arrays.deepEquals(STANDARD_DATA.getStrikes(), data.getStrikes()));
    assertTrue(Arrays.deepEquals(STANDARD_DATA.getVolatilities(), data.getVolatilities()));
    assertCurveEquals(STANDARD_DATA.getForwardCurve().getForwardCurve(), data.getForwardCurve().getForwardCurve());
    assertCurveEquals(STANDARD_DATA.getForwardCurve().getDriftCurve(), data.getForwardCurve().getDriftCurve());
    assertEquals(STANDARD_DATA.getForwardCurve().getSpot(), data.getForwardCurve().getSpot(), 1e-12);
  }
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