/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.commodity.calculator; import com.opengamma.analytics.financial.commodity.CommodityFutureOptionSameMethodVisitorAdapter; import com.opengamma.analytics.financial.commodity.derivative.CommodityFutureOption; import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle; import com.opengamma.analytics.financial.greeks.Greek; import com.opengamma.analytics.financial.greeks.GreekResultCollection; import com.opengamma.analytics.financial.model.option.pricing.analytic.BaroneAdesiWhaleyModel; import com.opengamma.util.ArgumentChecker; /** * Calculates the greeks of a commodity future option using the Barone-Adesi Whaley model {@link BaroneAdesiWhaleyModel}. * <p> * The greeks returned are delta, dual-delta, rho, carry rho, theta and vega. */ public final class ComFutOptBAWGreekCalculator extends CommodityFutureOptionSameMethodVisitorAdapter<StaticReplicationDataBundle, GreekResultCollection> { /** A static instance of this calculator */ private static final ComFutOptBAWGreekCalculator INSTANCE = new ComFutOptBAWGreekCalculator(); /** The pricing model */ private static final BaroneAdesiWhaleyModel MODEL = new BaroneAdesiWhaleyModel(); /** * @return A static instance of this class */ public static ComFutOptBAWGreekCalculator getInstance() { return INSTANCE; } /** * Private constructor. */ private ComFutOptBAWGreekCalculator() { } @Override public GreekResultCollection visit(final CommodityFutureOption<?> option, final StaticReplicationDataBundle data) { ArgumentChecker.notNull(option, "option"); ArgumentChecker.notNull(data, "data"); final double s = data.getForwardCurve().getSpot(); final double k = option.getStrike(); final double t = option.getExpiry(); final double r = data.getDiscountCurve().getInterestRate(t); final double b = r; //TODO final double volatility = data.getVolatilitySurface().getVolatility(t, k); final boolean isCall = option.isCall(); final double[] greeks = MODEL.getPriceAdjoint(s, k, r, b, t, volatility, isCall); final GreekResultCollection result = new GreekResultCollection(); result.put(Greek.DELTA, greeks[1]); result.put(Greek.DUAL_DELTA, greeks[2]); result.put(Greek.RHO, greeks[3]); result.put(Greek.CARRY_RHO, greeks[4]); result.put(Greek.THETA, greeks[5]); result.put(Greek.VEGA, greeks[6]); final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, volatility, s, isCall); result.put(Greek.GAMMA, pdg[2]); return result; } }