Package com.opengamma.analytics.financial.model.option.definition

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

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@Deprecated
public abstract class SkewKurtosisDataOptionModelFunction extends StandardOptionDataAnalyticOptionModelFunction {

  @Override
  protected SkewKurtosisOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
    final StandardOptionDataBundle standardData = super.getDataBundle(relevantTime, option, inputs);
    final UniqueId uid = option.getUniqueId();
    final Object skewObject = inputs.getValue(ValueRequirementNames.SKEW);
    if (skewObject == null) {
      throw new NullPointerException("Could not get skew");
    }
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    }
    final double spot = spotAsObject;
    final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE);
    final double b = (Double) inputs.getValue(ValueRequirementNames.COST_OF_CARRY);
    return new StandardOptionDataBundle(discountCurve, b, volatilitySurface, spot, now);
  }
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    final double years = DateUtils.getDifferenceInYears(today, expiry.getExpiry());
    final double b = discountCurve.getInterestRate(years); // TODO
    final OptionDefinition europeanVanillaOptionDefinition = new EuropeanVanillaOptionDefinition(optionSec.getStrike(), expiry, (optionSec.getOptionType() == OptionType.CALL));
    final Map<OptionDefinition, Double> prices = new HashMap<OptionDefinition, Double>();
    prices.put(europeanVanillaOptionDefinition, optionPrice);
    final VolatilitySurface volatilitySurface = _volatilitySurfaceModel.getSurface(prices, new StandardOptionDataBundle(discountCurve, b, null, underlyingPrice, today));

    //This is so cheap no need to check desired values
    final double impliedVol = volatilitySurface.getVolatility(0.0, 0.0); //This surface is constant

    // Package the result
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public abstract class AnalyticOptionModelFunction extends AbstractFunction.NonCompiledInvoker {

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
    final StandardOptionDataBundle data = getDataBundle(executionContext.getValuationClock(), option, inputs);
    final OptionDefinition definition = getOptionDefinition(option);
    final Set<Greek> requiredGreeks = new HashSet<Greek>();
    for (final ValueRequirement dV : desiredValues) {
      final Greek desiredGreek = AvailableGreeks.getGreekForValueRequirement(dV);
      if (desiredGreek == null) {
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Related Classes of com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle

  • com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDESolverTestCase
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AmericanAnalyticOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AssetOrNothingOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AsymmetricPowerOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BatesGeneralizedJumpDiffusionModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.CashOrNothingOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.EuropeanStandardBarrierOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackBarrierPriceFunctionTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.GapOptionModelTest
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