/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.local;
import com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
/**
*
*/
public abstract class LocalVolatilityForwardPDEStrikeGreeksGridCalculator implements PDELocalVolatilityCalculator<Interpolator1DDataBundle> {
private final LocalVolatilityForwardPDECalculator _pdeCalculator;
private final Interpolator1D _interpolator;
public LocalVolatilityForwardPDEStrikeGreeksGridCalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
_pdeCalculator = pdeCalculator;
_interpolator = interpolator;
}
@Override
public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
final YieldAndDiscountCurve discountingCurve) {
final double expiry = option.getTimeToExpiry();
final double forward = forwardCurve.getForward(expiry);
final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
final PDETerminalResults1D pdeGridUp = _pdeCalculator.runPDESolver(localVolatility, option);
final PDETerminalResults1D pdeGridDown = _pdeCalculator.runPDESolver(localVolatility, option);
final int n = pdeGrid.getNumberSpaceNodes();
final double[] strikes = new double[n];
final double[] greeks = new double[n];
for (int i = 0; i < n; i++) {
final double moneyness = pdeGrid.getSpaceValue(i);
strikes[i] = moneyness * forward;
greeks[i] = getResultForMoneyness(pdeGrid, pdeGridUp, pdeGridDown, i, forward, option);
}
return _interpolator.getDataBundleFromSortedArrays(strikes, greeks);
}
@Override
public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
final YieldAndDiscountCurve discountingCurve) {
return getResult(LocalVolatilitySurfaceConverter.toMoneynessSurface(localVolatility, forwardCurve), forwardCurve, option, discountingCurve);
}
protected abstract double getResultForMoneyness(final PDETerminalResults1D pdeGrid, final PDETerminalResults1D pdeGridUp, final PDETerminalResults1D pdeGridDown,
final int index, final double forward, final EuropeanVanillaOption option);
public Interpolator1D getInterpolator() {
return _interpolator;
}
/**
* Calculates the dual delta (a.k.a. strike delta)
*/
public static class DualDeltaCalculator extends LocalVolatilityForwardPDEStrikeGreeksGridCalculator {
public DualDeltaCalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
super(pdeCalculator, interpolator);
}
@Override
protected double getResultForMoneyness(final PDETerminalResults1D pdeGrid, final PDETerminalResults1D pdeGridUp, final PDETerminalResults1D pdeGridDown,
final int index, final double forward, final EuropeanVanillaOption option) {
return pdeGrid.getFirstSpatialDerivative(index);
}
}
/**
* Calculates the dual gamma (a.k.a. strike gamma)
*/
public static class DualGammaCalculator extends LocalVolatilityForwardPDEStrikeGreeksGridCalculator {
public DualGammaCalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
super(pdeCalculator, interpolator);
}
@Override
protected double getResultForMoneyness(final PDETerminalResults1D pdeGrid, final PDETerminalResults1D pdeGridUp, final PDETerminalResults1D pdeGridDown,
final int index, final double forward, final EuropeanVanillaOption option) {
return pdeGrid.getSecondSpatialDerivative(index) / forward;
}
}
}