/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.volatility.surface; import org.apache.commons.lang.Validate; import com.opengamma.analytics.financial.model.option.definition.OptionDefinition; import com.opengamma.analytics.financial.model.option.definition.SABRDataBundle; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption; import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData; import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction; import com.opengamma.analytics.math.surface.ConstantDoublesSurface; /** * */ public class SABRBlackEquivalentVolatilitySurfaceModel implements VolatilitySurfaceModel<OptionDefinition, SABRDataBundle> { private static final SABRHaganVolatilityFunction SABR_FUNCTION = new SABRHaganVolatilityFunction(); @Override public VolatilitySurface getSurface(final OptionDefinition option, final SABRDataBundle data) { Validate.notNull(option, "option definition"); Validate.notNull(data); final double k = option.getStrike(); final double t = option.getTimeToExpiry(data.getDate()); final double alpha = data.getAlpha(); final double beta = data.getBeta(); final double rho = data.getRho(); final double ksi = data.getVolOfVol(); final double b = data.getCostOfCarry(); final double f = data.getSpot() * Math.exp(b * t); return new VolatilitySurface(ConstantDoublesSurface.from(SABR_FUNCTION.getVolatilityFunction(new EuropeanVanillaOption(k, t, true), f).evaluate(new SABRFormulaData(alpha, beta, rho, ksi)))); } }