/**
* Computes the option security price volatility sensitivity. The future price is computed without
* convexity adjustment.
*
* @param security The future option security.
* @param normalData The normal volatility and multi-curves provider.
* @return The security price Black volatility sensitivity.
*/
public SurfaceValue priceNormalSensitivity(
final InterestRateFutureOptionMarginSecurity security,
final NormalSTIRFuturesSmileProviderInterface normalData) {
ArgumentChecker.notNull(security, "Option security");
ArgumentChecker.notNull(normalData, "Normal data");
// Forward sweep
final double priceFuture =
METHOD_FUTURE.price(security.getUnderlyingFuture(), normalData.getMulticurveProvider());
final double strike = security.getStrike();
final EuropeanVanillaOption option =
new EuropeanVanillaOption(strike, security.getExpirationTime(), security.isCall());
final double delay =
security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
final double volatility =
normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
// Backward sweep
final double[] priceAdjoint = new double[3];
NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
final double priceBar = 1.0;
final double volatilityBar = priceAdjoint[1] * priceBar;
final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
final SurfaceValue sensi = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
return sensi;
}
/**
* Computes the option security price curve sensitivity. The future price is computed without
* convexity adjustment. It is supposed that for a given strike the volatility does not change
* with the curves (sticky strike).
*
* @param security The future option security.
* @param normalData The normal volatility and multi-curves provider.
* @return The security price curve sensitivity.
*/
@Override
public MulticurveSensitivity priceCurveSensitivity(
final InterestRateFutureOptionMarginSecurity security,
final NormalSTIRFuturesSmileProviderInterface normalData) {
ArgumentChecker.notNull(security, "Option security");
ArgumentChecker.notNull(normalData, "Normal data");
// Forward sweep
final double priceFuture =
METHOD_FUTURE.price(security.getUnderlyingFuture(), normalData.getMulticurveProvider());
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
security.getStrike(), security.getExpirationTime(), security.isCall());
final double delay =
security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
final double volatility =
normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
// Backward sweep
final double[] priceAdjoint = new double[3];
NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
final double priceBar = 1.0;
final double priceFutureBar = priceAdjoint[0] * priceBar;
final MulticurveSensitivity priceFutureDerivative =
METHOD_FUTURE.priceCurveSensitivity(
security.getUnderlyingFuture(), normalData.getMulticurveProvider());
return priceFutureDerivative.multipliedBy(priceFutureBar);
}
/**
* Computes the option security price from future price.
*
* @param security The future option security.
* @param normalData The normal volatility and multi-curves provider.
* @param priceFuture The price of the underlying future.
* @return The security price.
*/
public double priceFromFuturePrice(
final InterestRateFutureOptionMarginSecurity security,
final NormalSTIRFuturesSmileProviderInterface normalData,
final double priceFuture) {
ArgumentChecker.notNull(security, "Option security");
ArgumentChecker.notNull(normalData, "Normal data");
final EuropeanVanillaOption option =
new EuropeanVanillaOption(
security.getStrike(), security.getExpirationTime(), security.isCall());
final double delay =
security.getUnderlyingFuture().getLastTradingTime() - security.getExpirationTime();
final double volatility =
normalData.getVolatility(security.getExpirationTime(), security.getStrike(), delay);
final NormalFunctionData normalPoint = new NormalFunctionData(priceFuture, 1.0, volatility);
final double priceSecurity = NORMAL_FUNCTION.getPriceFunction(option).evaluate(normalPoint);
return priceSecurity;
}