/**
* Copyright (C) 2014 - 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.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.RollGeskeWhaleyModel;
import com.opengamma.util.ArgumentChecker;
/**
* Calculates the greeks using the Roll-Geske-Whaley model {@link BaroneAdesiWhaleyModel}.
* <p>
* The greeks returned are delta, dual-delta, rho, theta and vega.
*/
public final class EqyOptRollGeskeWhaleyGreekCalculator extends InstrumentDerivativeVisitorAdapter<StaticReplicationDataBundle, GreekResultCollection> {
/** A static instance of this calculator */
private static final EqyOptRollGeskeWhaleyGreekCalculator INSTANCE = new EqyOptRollGeskeWhaleyGreekCalculator();
/** The pricing model */
private static final RollGeskeWhaleyModel MODEL = new RollGeskeWhaleyModel();
/**
* @return A static instance of this class
*/
public static EqyOptRollGeskeWhaleyGreekCalculator getInstance() {
return INSTANCE;
}
private EqyOptRollGeskeWhaleyGreekCalculator() {
}
@Override
public GreekResultCollection visitEquityIndexOption(final EquityIndexOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
return EqyOptBjerksundStenslandGreekCalculator.getInstance().visitEquityIndexOption(option, data);
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final ForwardCurve fCurve = data.getForwardCurve();
double[] divTime = null;
double[] divAmount = null;
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) data.getForwardCurve()).getDividends();
divTime = div.getTau();
divAmount = div.getAlpha();
} else {
divTime = new double[] {0. };
divAmount = new double[] {0. };
}
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double[] greeks = MODEL.getPriceAdjoint(s, k, r, t, volatility, divAmount, divTime);
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, 0.);
result.put(Greek.THETA, -greeks[4] / 365. - greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
result.put(Greek.GAMMA, greeks[7]);
return result;
}
@Override
public GreekResultCollection visitEquityOption(final EquityOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
return EqyOptBjerksundStenslandGreekCalculator.getInstance().getGreeksDirectEquityOption(option, data, data.getVolatilitySurface().getVolatility(t, k));
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final ForwardCurve fCurve = data.getForwardCurve();
double[] divTime = null;
double[] divAmount = null;
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) data.getForwardCurve()).getDividends();
divTime = div.getTau();
divAmount = div.getAlpha();
} else {
divTime = new double[] {0. };
divAmount = new double[] {0. };
}
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double[] greeks = MODEL.getPriceAdjoint(s, k, r, t, volatility, divAmount, divTime);
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, 0.);
result.put(Greek.THETA, -greeks[4] / 365. - greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
result.put(Greek.GAMMA, greeks[7]);
return result;
}
@Override
public GreekResultCollection visitEquityIndexFutureOption(final EquityIndexFutureOption option, final StaticReplicationDataBundle data) {
ArgumentChecker.notNull(option, "option");
ArgumentChecker.notNull(data, "data");
if (!option.isCall()) {
return EqyOptBjerksundStenslandGreekCalculator.getInstance().visitEquityIndexFutureOption(option, 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 ForwardCurve fCurve = data.getForwardCurve();
double[] divTime = null;
double[] divAmount = null;
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) data.getForwardCurve()).getDividends();
divTime = div.getTau();
divAmount = div.getAlpha();
} else {
divTime = new double[] {0. };
divAmount = new double[] {0. };
}
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double[] greeks = MODEL.getPriceAdjoint(s, k, r, t, volatility, divAmount, divTime);
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, 0.);
result.put(Greek.THETA, -greeks[4] / 365. - greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
result.put(Greek.GAMMA, greeks[7]);
return result;
}
/**
* @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 {
if (!option.isCall()) {
return EqyOptBjerksundStenslandGreekCalculator.getInstance().getGreeksDirectEquityOption(option, data, impliedVol);
}
final double s = data.getForwardCurve().getSpot();
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final double r = data.getDiscountCurve().getInterestRate(t);
final ForwardCurve fCurve = data.getForwardCurve();
double[] divTime = null;
double[] divAmount = null;
if (fCurve instanceof ForwardCurveAffineDividends) {
final AffineDividends div = ((ForwardCurveAffineDividends) data.getForwardCurve()).getDividends();
divTime = div.getTau();
divAmount = div.getAlpha();
} else {
divTime = new double[] {0. };
divAmount = new double[] {0. };
}
final double[] greeks = MODEL.getPriceAdjoint(s, k, r, t, impliedVol, divAmount, divTime);
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, 0.);
result.put(Greek.THETA, -greeks[4] / 365. - greeks[5] / 365.);
result.put(Greek.VEGA, greeks[6] / 100.);
result.put(Greek.GAMMA, greeks[7]);
}
return result;
}
}