Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity.indexoption; import java.util.ArrayList; import java.util.Arrays; import java.util.Collections; import java.util.HashSet; import java.util.List; import java.util.Set; import org.apache.commons.lang.ArrayUtils; import org.apache.commons.lang.Validate; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle; import com.opengamma.analytics.financial.equity.option.EquityIndexOption; import com.opengamma.analytics.financial.equity.option.EquityIndexOptionPresentValueCalculator; import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.GeneralSmileInterpolator; import com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SurfaceArrayUtils; import com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.SmileSurfaceDataBundle; import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceMoneynessFcnBackedByGrid; import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator; import com.opengamma.analytics.math.function.Function1D; import com.opengamma.analytics.math.surface.NodalDoublesSurface; import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.function.FunctionExecutionContext; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValueProperties.Builder; import com.opengamma.engine.value.ValuePropertyNames; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.OpenGammaCompilationContext; import com.opengamma.financial.OpenGammaExecutionContext; import com.opengamma.financial.analytics.DoubleLabelledMatrix2D; import com.opengamma.financial.security.option.EquityBarrierOptionSecurity; import com.opengamma.util.tuple.Triple; /** * */ public class EquityIndexVanillaBarrierOptionVegaMatrixFunction extends EquityIndexVanillaBarrierOptionFunction { private static final EquityIndexOptionPresentValueCalculator PVC = EquityIndexOptionPresentValueCalculator .getInstance(); // Vanilla PV Calculator private static final double SHIFT = 0.0001; // FIXME This really should be configurable by the user! public EquityIndexVanillaBarrierOptionVegaMatrixFunction() { super(ValueRequirementNames.VEGA_QUOTE_MATRIX); } @Override protected Object computeValues(Set<EquityIndexOption> vanillaOptions, StaticReplicationDataBundle market) { final NodalDoublesSurface vegaSurface; if (market.getVolatilitySurface() instanceof BlackVolatilitySurfaceMoneynessFcnBackedByGrid) { // unpack the market data, including the interpolators final BlackVolatilitySurfaceMoneynessFcnBackedByGrid surfaceBundle = (BlackVolatilitySurfaceMoneynessFcnBackedByGrid) market .getVolatilitySurface(); final VolatilitySurfaceInterpolator surfaceInterpolator = surfaceBundle.getInterpolator(); final GeneralSmileInterpolator strikeInterpolator = surfaceInterpolator.getSmileInterpolator(); final SmileSurfaceDataBundle volGrid = surfaceBundle.getGridData(); final double[] forwards = volGrid.getForwards(); final double[] expiries = volGrid.getExpiries(); final int nExpiries = volGrid.getNumExpiries(); final double optionExpiry = vanillaOptions.iterator().next().getTimeToExpiry(); final double[][] strikes = volGrid.getStrikes(); final double[][] vols = volGrid.getVolatilities(); // Prices of vanillas in base scenario final int nVanillas = vanillaOptions.size(); EquityIndexOption[] vanillas = vanillaOptions.toArray(new EquityIndexOption[nVanillas]); final Double[] basePrices = new Double[nVanillas]; for (int v = 0; v < nVanillas; v++) { basePrices[v] = PVC.visitEquityIndexOption(vanillas[v], market); } // Smile fits across strikes in base scenario, one per expiry Function1D<Double, Double>[] smileFitsBase = surfaceInterpolator.getIndependentSmileFits(volGrid); // Bump market at each expiry and strike scenario // In each scenario, reprice each of the underlying vanillaOptions // NOTE: Only computing down-shift as this appears to produce more stable risk, and is faster List<Triple<Double, Double, Double>> triplesExpiryStrikeVega = new ArrayList<Triple<Double, Double, Double>>(); final int expiryIndex = SurfaceArrayUtils.getLowerBoundIndex(expiries, optionExpiry); for (int t = Math.max(0, expiryIndex - 3); t < Math.min(nExpiries, expiryIndex + 4); t++) { final int nStrikes = strikes[t].length; int idxLow = SurfaceArrayUtils.getLowerBoundIndex(strikes[t], vanillas[0].getStrike()); int idxHigh = idxLow; for (int v = 1; v < nVanillas; v++) { int idxV = SurfaceArrayUtils.getLowerBoundIndex(strikes[t], vanillas[v].getStrike()); idxLow = Math.min(idxLow, idxV); idxHigh = Math.max(idxHigh, idxV); } for (int k = Math.max(0, idxLow - 6); k < Math.min(nStrikes, idxHigh + 16); k++) { // Scenario (t,k) // TODO: REVIEW Each scenario only requires a single new smile fit in k. We only recompute the smile function for the expiry we are bumping.. double[] bumpedVols = Arrays.copyOf(vols[t], nStrikes); bumpedVols[k] = vols[t][k] - SHIFT; final Function1D<Double, Double> thisExpirysSmile = strikeInterpolator .getVolatilityFunction(forwards[t], strikes[t], expiries[t], bumpedVols); Function1D<Double, Double>[] scenarioSmileFits = Arrays.copyOf(smileFitsBase, smileFitsBase.length); scenarioSmileFits[t] = thisExpirysSmile; BlackVolatilitySurfaceMoneynessFcnBackedByGrid shiftedSurface = surfaceInterpolator .combineIndependentSmileFits(scenarioSmileFits, volGrid); StaticReplicationDataBundle shiftedMarket = market.withShiftedSurface(shiftedSurface); // Sensitivities for (int v = 0; v < nVanillas; v++) { final Double shiftedPV = PVC.visit(vanillas[v], shiftedMarket); Validate.notNull(shiftedPV, "Null PV in shifted scenario, T = " + expiries[t] + ", k = " + strikes[t][k]); final Double vega = (shiftedPV - basePrices[v]) / -SHIFT; final Triple<Double, Double, Double> xyz = new Triple<Double, Double, Double>(expiries[t], strikes[t][k], vega); triplesExpiryStrikeVega.add(xyz); } } } vegaSurface = NodalDoublesSurface.from(triplesExpiryStrikeVega); // Repackage into DoubleLabelledMatrix2D // Find unique set of expiries, final Double[] uniqueX = ArrayUtils.toObject(expiries); // and strikes Set<Double> strikeSet = new HashSet<Double>(); for (int i = 0; i < strikes.length; i++) { strikeSet.addAll(Arrays.asList(ArrayUtils.toObject(strikes[i]))); } final Double[] uniqueY = strikeSet.toArray(new Double[0]); // Fill matrix with values, zero where no vega is available final double[][] values = new double[uniqueY.length][uniqueX.length]; int i = 0; for (final Double x : uniqueX) { int j = 0; for (final Double y : uniqueY) { double vega; try { vega = vegaSurface.getZValue(x, y); } catch (final IllegalArgumentException e) { vega = 0; } values[j++][i] = vega; } i++; } final DoubleLabelledMatrix2D vegaMatrix = new DoubleLabelledMatrix2D(uniqueX, uniqueY, values); return vegaMatrix; } else { throw new OpenGammaRuntimeException( "Currently will only accept a VolatilitySurface of type: BlackVolatilitySurfaceMoneynessFcnBackedByGrid"); } } @Override /* The VegaMatrixFunction advertises the particular underlying Bloomberg ticker that it applies to. The target must share this underlying. */ public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { String bbgTicker = getBloombergTicker(OpenGammaCompilationContext.getHistoricalTimeSeriesSource(context), ((EquityBarrierOptionSecurity) target.getSecurity()).getUnderlyingId()); return Collections.singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), createValueProperties(target, bbgTicker).get())); } /* We specify one additional property, the UnderlyingTicker, to allow a View to contain a VegaQuoteMatrix for each VolMatrix */ protected ValueProperties.Builder createValueProperties(final ComputationTarget target, final String bbgTicker) { return super.createValueProperties(target).with(ValuePropertyNames.UNDERLYING_TICKER, bbgTicker); } @Override protected ValueProperties.Builder createValueProperties(final ComputationTarget target, ValueRequirement desiredValue, FunctionExecutionContext executionContext) { HistoricalTimeSeriesSource tsSource = OpenGammaExecutionContext .getHistoricalTimeSeriesSource(executionContext); String bbgTicker = getBloombergTicker(tsSource, getEquityBarrierOptionSecurity(target).getUnderlyingId()); Builder propsBuilder = super.createValueProperties(target, desiredValue, executionContext) .with(ValuePropertyNames.UNDERLYING_TICKER, bbgTicker); return propsBuilder; } }