/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.equity;
import com.opengamma.analytics.financial.equity.option.EquityIndexFutureOption;
import com.opengamma.analytics.financial.equity.option.EquityIndexOption;
import com.opengamma.analytics.financial.equity.option.EquityOption;
import com.opengamma.analytics.financial.greeks.Greek;
import com.opengamma.analytics.financial.greeks.GreekResultCollection;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
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 EqyOptBaroneAdesiWhaleyGreekCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, GreekResultCollection> {
/** A static instance of this calculator */
private static final EqyOptBaroneAdesiWhaleyGreekCalculator INSTANCE = new EqyOptBaroneAdesiWhaleyGreekCalculator();
/** The pricing model */
private static final BaroneAdesiWhaleyModel MODEL = new BaroneAdesiWhaleyModel();
/**
* @return A static instance of this class
*/
public static EqyOptBaroneAdesiWhaleyGreekCalculator getInstance() {
return INSTANCE;
}
private EqyOptBaroneAdesiWhaleyGreekCalculator() {
}
@Override
public GreekResultCollection visitEquityIndexOption(final EquityIndexOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final boolean isCall = option.isCall();
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double r = data.getDiscountCurve().getInterestRate(t);
final double spot = data.getForwardCurve().getSpot();
final double fwd = data.getForwardCurve().getForward(t);
final double b;
if (t > 0) {
b = Math.log(fwd / spot) / t;
} else {
b = r; // TODO
}
final double[] greeks = MODEL.getPriceAdjoint(spot, 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(spot, k, r, b, t, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
@Override
public GreekResultCollection visitEquityOption(final EquityOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final boolean isCall = option.isCall();
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double r = data.getDiscountCurve().getInterestRate(t);
final double spot = data.getForwardCurve().getSpot();
final double fwd = data.getForwardCurve().getForward(t);
final double b;
if (t > 0) {
b = Math.log(fwd / spot) / t;
} else {
b = r; // TODO
}
final double[] greeks = MODEL.getPriceAdjoint(spot, 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(spot, k, r, b, t, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
@Override
public GreekResultCollection visitEquityIndexFutureOption(final EquityIndexFutureOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final double k = option.getStrike();
final double t = option.getExpiry();
final boolean isCall = option.isCall();
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double r = data.getDiscountCurve().getInterestRate(t);
final double spot = data.getForwardCurve().getSpot();
final double fwd = data.getForwardCurve().getForward(t);
final double b;
if (t > 0) {
b = Math.log(fwd / spot) / t;
} else {
b = r; // TODO
}
final double[] greeks = MODEL.getPriceAdjoint(spot, 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(spot, k, r, b, t, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
}