Examples of SmileDeltaParameters

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

71
72
73
74
75
76
77
78
79
80
81
82
83
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

116
117
118
119
120
121
122
123
124
125
126
127
128
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVATM = new double[3][];
    final double[][] priceVVsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

172
173
174
175
176
177
178
179
180
181
182
183
184
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final double dfDomestic = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = smile.getCurve(optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName()).getDiscountFactor(optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final double[] vegaSmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
   */
  public MultipleCurrencyInterestRateCurveSensitivity presentValueCurveSensitivity(final ForexOptionVanilla optionForex, final SmileDeltaTermStructureVannaVolgaDataBundle smile) {
    ArgumentChecker.notNull(optionForex, "Forex option");
    ArgumentChecker.notNull(smile, "Smile");
    ArgumentChecker.isTrue(smile.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final SmileDeltaParameters smileAtTime = smile.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    final String domesticCurveName = optionForex.getUnderlyingForex().getPaymentCurrency2().getFundingCurveName();
    final String foreignCurveName = optionForex.getUnderlyingForex().getPaymentCurrency1().getFundingCurveName();
    // Forward sweep
    final double dfDomestic = smile.getCurve(domesticCurveName).getDiscountFactor(payTime);
    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVAdjATM = new double[3][];
    final double[][] priceVVAdjsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

2027
2028
2029
2030
2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
        rr2[j] = rrEURGBP[j][i];
        s2[j] = buttEURGBP[j][i];
        rr3[j] = rrEURUSD[j][i];
        s3[j] = buttEURUSD[j][i];
      }
      final SmileDeltaParameters cal1 = new SmileDeltaParameters(expiries[i], atmGBPUSD[i], deltas, rr1, s1);
      final SmileDeltaParameters cal2 = new SmileDeltaParameters(expiries[i], atmEURGBP[i], deltas, rr2, s2);
      final SmileDeltaParameters cal3 = new SmileDeltaParameters(expiries[i], atmEURUSD[i], deltas, rr3, s3);
      strikeGBPUSD[i] = cal1.getStrike(fwdGBPUSD[i]);
      volGBPUSD[i] = cal1.getVolatility();
      strikeEURGBP[i] = cal2.getStrike(fwdEURGBP[i]);
      volEURGBP[i] = cal2.getVolatility();
      strikeEURUSD[i] = cal3.getStrike(fwdEURUSD[i]);
      volEURUSD[i] = cal3.getVolatility();
    }

    final int nNorms = 2;
    final int nParams = 5 * nNorms - 3;

View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

2296
2297
2298
2299
2300
2301
2302
2303
2304
2305
2306
2307
2308
2309
2310
2311
2312
2313
2314
        rr2[j] = rrEURGBP[j][i];
        s2[j] = buttEURGBP[j][i];
        rr3[j] = rrEURUSD[j][i];
        s3[j] = buttEURUSD[j][i];
      }
      final SmileDeltaParameters cal1 = new SmileDeltaParameters(expiries[i], atmGBPUSD[i], deltas, rr1, s1);
      final SmileDeltaParameters cal2 = new SmileDeltaParameters(expiries[i], atmEURGBP[i], deltas, rr2, s2);
      final SmileDeltaParameters cal3 = new SmileDeltaParameters(expiries[i], atmEURUSD[i], deltas, rr3, s3);
      strikeGBPUSD[i] = cal1.getStrike(fwdGBPUSD[i]);
      volGBPUSD[i] = cal1.getVolatility();
      strikeEURGBP[i] = cal2.getStrike(fwdEURGBP[i]);
      volEURGBP[i] = cal2.getVolatility();
      strikeEURUSD[i] = cal3.getStrike(fwdEURUSD[i]);
      volEURUSD[i] = cal3.getVolatility();
    }

    final int nNorms = 5;
    final int nParams = 5 * nNorms - 3;

View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

72
73
74
75
76
77
78
79
80
81
82
83
84
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

111
112
113
114
115
116
117
118
119
120
121
122
123
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVATM = new double[3][];
    final double[][] priceVVsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

161
162
163
164
165
166
167
168
169
170
171
172
173
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), optionForex.getUnderlyingForex().getPaymentTime());
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), optionForex.getUnderlyingForex().getPaymentTime());
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[] priceVVATM = new double[3];
    final double[] priceVVsmile = new double[3];
    final double[] vegaSmile = new double[3];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters

210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final ForexOptionVanilla optionForex, final BlackForexVannaVolgaProviderInterface smileMulticurves) {
    Validate.notNull(optionForex, "Forex option");
    Validate.notNull(smileMulticurves, "Smile");
    Validate.isTrue(smileMulticurves.checkCurrencies(optionForex.getCurrency1(), optionForex.getCurrency2()), "Option currencies not compatible with smile data");
    final MulticurveProviderInterface multicurves = smileMulticurves.getMulticurveProvider();
    final SmileDeltaParameters smileAtTime = smileMulticurves.getSmile(optionForex.getCurrency1(), optionForex.getCurrency2(), optionForex.getTimeToExpiry());
    final double payTime = optionForex.getUnderlyingForex().getPaymentTime();
    // Forward sweep
    final double dfDomestic = multicurves.getDiscountFactor(optionForex.getCurrency2(), payTime);
    final double dfForeign = multicurves.getDiscountFactor(optionForex.getCurrency1(), payTime);
    final double spot = multicurves.getFxRate(optionForex.getCurrency1(), optionForex.getCurrency2());
    final double forward = spot * dfForeign / dfDomestic;
    final double[] strikesVV = smileAtTime.getStrike(forward);
    final double[] volVV = smileAtTime.getVolatility();
    final double volATM = volVV[1];
    final double[][] priceVVAdjATM = new double[3][];
    final double[][] priceVVAdjsmile = new double[3][];
    final BlackFunctionData dataBlackATM = new BlackFunctionData(forward, dfDomestic, volATM);
    for (int loopvv = 0; loopvv < 3; loopvv = loopvv + 2) { // Implementation note: The adjustment for K2 is 0
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.