List of priceAdjointSABR() Examples

Examples of priceAdjointSABR()

com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.priceAdjointSABR()
Computes the option price derivative with respect to the SABR parameters. The price is SABR below the cut-off strike and extrapolated beyond. @param option The option. @param priceDerivativeSABR An array of three doubles in which the derivative with respect to SABR parameters will be stored. The derivatives are w.r.t. [0] alpha, [1] beta, [2] rho, and [3] nu. @return The option derivative.

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

    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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * priceDSabr[3]);

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

    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(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * priceDSabr[3]);

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

    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, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(swaption, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[3]);

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

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

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

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

      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);
      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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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.priceAdjointSABR()

    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, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(swaption, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[3]);

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