/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.surface.black;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.EXCEPTION_SPLINE_EXTRAPOLATOR_FAILURE;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SPLINE_INTERPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SPLINE_LEFT_EXTRAPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SPLINE_RIGHT_EXTRAPOLATOR;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.QUIET_SPLINE_EXTRAPOLATOR_FAILURE;
import static com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues.FLAT_SPLINE_EXTRAPOLATOR_FAILURE;
import java.util.Set;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.GeneralSmileInterpolator;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SmileInterpolatorSpline;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
/**
* The Spline Smile extrapolates by fitting a ShiftedLogNormal Model. This is Black with an additional free parameter, F' = F*exp(mu)) <p>
* <p>
* Two choices are provided of how to handle ExtrapolatorFailureBehaviour if the fitter is unable to find a solution to fit the boundary vol and the vol gradient dVol/dK at that point...<p>
* "Exception": an exception will be thrown. This selection puts the onus of shepherding the data on whoever provides marks. <p>
* "Quiet": the failing vol/strike will be tossed away, and the closest interior point is tried. This repeats until a solution is found.
* In this method, risk will not be attributed to failing vols.<p>
* Or one can impose the trivial solution of flat vol extrapolation (dVoldK=0) in which vols outside range will return the value at the boundary.
* "Flat": To select Flat extrapolation, set PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE =
*/
public abstract class BlackVolatilitySurfaceSplineInterpolatorFunction extends BlackVolatilitySurfaceInterpolatorFunction {
@Override
protected Set<ValueRequirement> getSpecificRequirements(final ValueProperties constraints) {
return BlackVolatilitySurfacePropertyUtils.ensureSplineVolatilityInterpolatorProperties(constraints);
}
@Override
protected ValueProperties getResultProperties(final ValueRequirement desiredValue) {
final ValueProperties.Builder properties = BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(createValueProperties().get(), desiredValue);
return properties.get();
}
protected Interpolator1D getInterpolator1D(final ValueRequirement desiredValue) {
final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_INTERPOLATOR);
final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_LEFT_EXTRAPOLATOR);
final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_RIGHT_EXTRAPOLATOR);
final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
return interpolator;
}
/**
* Fit ShiftedLognormal model to vol level and slope at the boundary.
* If this fails, reduce slope until a fit is found.
*/
public static class Quiet extends BlackVolatilitySurfaceSplineInterpolatorFunction {
@Override
protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
final Interpolator1D interpolator = getInterpolator1D(desiredValue);
return new SmileInterpolatorSpline(interpolator, QUIET_SPLINE_EXTRAPOLATOR_FAILURE);
}
@Override
protected ValueProperties getResultProperties() {
ValueProperties.Builder properties = BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(createValueProperties().get());
properties = properties.withoutAny(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE) // Remove property set to 'any'
.with(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE, QUIET_SPLINE_EXTRAPOLATOR_FAILURE); // Fix property to Quiet
return properties.get();
}
}
/**
* Fit ShiftedLognormal model to vol level and slope at the boundary.
* If this fails, throw exception
*/
public static class Exception extends BlackVolatilitySurfaceSplineInterpolatorFunction {
@Override
protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
final Interpolator1D interpolator = getInterpolator1D(desiredValue);
return new SmileInterpolatorSpline(interpolator, EXCEPTION_SPLINE_EXTRAPOLATOR_FAILURE);
}
@Override
protected ValueProperties getResultProperties() {
ValueProperties.Builder properties = BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(createValueProperties().get());
properties = properties.withoutAny(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE) // Remove property set to 'any'
.with(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE, EXCEPTION_SPLINE_EXTRAPOLATOR_FAILURE); // Fix property to Exception
return properties.get();
}
}
/**
* Fit trivial ShiftedLognormal model, where slope is zero, to vol level at the boundary.
* This cannot fail to fit.
*/
public static class Flat extends BlackVolatilitySurfaceSplineInterpolatorFunction {
@Override
protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
final Interpolator1D interpolator = getInterpolator1D(desiredValue);
return new SmileInterpolatorSpline(interpolator, FLAT_SPLINE_EXTRAPOLATOR_FAILURE);
}
@Override
protected ValueProperties getResultProperties() {
ValueProperties.Builder properties = BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(createValueProperties().get());
properties = properties.withoutAny(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE) // Remove property set to 'any'
.with(PROPERTY_SPLINE_EXTRAPOLATOR_FAILURE, FLAT_SPLINE_EXTRAPOLATOR_FAILURE); // Fix property to Flat
return properties.get();
}
}
}