/**
* 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.ExerciseDecisionType;
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.equity.variance.pricing.AffineDividends;
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.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurveAffineDividends;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BaroneAdesiWhaleyModel;
import com.opengamma.analytics.financial.model.option.pricing.analytic.BjerksundStenslandModel;
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 EqyOptBjerksundStenslandGreekCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, GreekResultCollection> {
/** A static instance of this calculator */
private static final EqyOptBjerksundStenslandGreekCalculator INSTANCE = new EqyOptBjerksundStenslandGreekCalculator();
/** The pricing model */
private static final BjerksundStenslandModel MODEL = new BjerksundStenslandModel();
/**
* @return A static instance of this class
*/
public static EqyOptBjerksundStenslandGreekCalculator getInstance() {
return INSTANCE;
}
private EqyOptBjerksundStenslandGreekCalculator() {
}
@Override
public GreekResultCollection visitEquityIndexOption(EquityIndexOption option, StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
ArgumentChecker.isTrue(option.getExerciseType() == ExerciseDecisionType.AMERICAN, "option must be American");
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final boolean isCall = option.isCall();
return computeGreeks(k, t, isCall, data);
}
@Override
public GreekResultCollection visitEquityOption(EquityOption option, StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
ArgumentChecker.isTrue(option.getExerciseType() == ExerciseDecisionType.AMERICAN, "option must be American");
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final boolean isCall = option.isCall();
return computeGreeks(k, t, isCall, data);
}
/**
* If MARKET_VALUE is available, volatility implied by Bjerksund-Stensland model is used.
* @param option Equity option
* @param data Market data
* @param impliedVol The implied volatility
* @return Greeks
*/
public GreekResultCollection getGreeksDirectEquityOption(final EquityOption option, final StaticReplicationDataBundle data, final double impliedVol) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
final GreekResultCollection result = new GreekResultCollection();
if (impliedVol == 0.) {
result.put(Greek.DELTA, 0.);
result.put(Greek.DUAL_DELTA, 0.);
result.put(Greek.RHO, 0.);
result.put(Greek.CARRY_RHO, 0.);
result.put(Greek.THETA, 0.);
result.put(Greek.VEGA, 0.);
result.put(Greek.GAMMA, 0.);
} else {
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
double b = r;
double modSpot = s;
final ForwardCurve fCurve = data.getForwardCurve();
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) data.getForwardCurve()).getDividends();
final int number = div.getNumberOfDividends();
int i = 0;
while (i < number && div.getTau(i) < t) {
modSpot = modSpot * (1. - div.getBeta(i)) - div.getAlpha(i) * data.getDiscountCurve().getDiscountFactor(div.getTau(i));
++i;
}
} else {
b = Math.log(data.getForwardCurve().getForward(t) / s) / t;
}
final boolean isCall = option.isCall();
final double[] greeks = MODEL.getPriceAdjoint(modSpot, k, r, b, t, impliedVol, isCall);
result.put(Greek.DELTA, greeks[1]);
result.put(Greek.DUAL_DELTA, greeks[2]);
result.put(Greek.RHO, greeks[3] / 100. + greeks[4] / 100.);
result.put(Greek.CARRY_RHO, greeks[4] / 100.);
result.put(Greek.THETA, -greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
final double[] pdg = MODEL.getPriceDeltaGamma(modSpot, k, r, b, t, impliedVol, 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 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] / 100.);
result.put(Greek.CARRY_RHO, greeks[4] / 100.);
result.put(Greek.THETA, -greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
final double[] pdg = MODEL.getPriceDeltaGamma(s, k, r, b, t, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
private GreekResultCollection computeGreeks(double strike, double time, boolean isCall,
StaticReplicationDataBundle data) {
double s = data.getForwardCurve().getSpot();
double r = data.getDiscountCurve().getInterestRate(time);
double b = time > 0 ? Math.log(data.getForwardCurve().getForward(time) / s) / time : r;
double volatility = data.getVolatilitySurface().getVolatility(time, strike);
double[] greeks = MODEL.getPriceAdjoint(s, strike, r, b, time, volatility, isCall);
GreekResultCollection result = new GreekResultCollection();
result.put(Greek.DELTA, greeks[1]);
result.put(Greek.DUAL_DELTA, greeks[2]);
// The standard rho assumes that the yield, q, is fixed where b = r - q,
// thus carry rho should be added.
result.put(Greek.RHO, greeks[3] / 100. + greeks[4] / 100.);
result.put(Greek.CARRY_RHO, greeks[4] / 100.);
result.put(Greek.THETA, -greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
double[] pdg = MODEL.getPriceDeltaGamma(s, strike, r, b, time, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
}