@SuppressWarnings("synthetic-access")
@Override
public Double visitDelta(final BlackVolatilitySurfaceDelta surface, final DoublesPair data) {
Validate.isTrue(data.first < data.second, "lower limit not less that upper");
Validate.isTrue(data.first >= 0.0, "lower limit < 0.0");
Validate.isTrue(data.second <= 1.0, "upper limit > 1.0");
if (_t < 1e-4) {
final double dnsVol = surface.getVolatilityForDelta(_t, 0.5);
return dnsVol * dnsVol; // this will be identical to atm-vol for t-> 0
}
final Function1D<Double, Double> integrand = getDeltaIntegrand(surface);
// find the delta corresponding to the at-the-money-forward (NOTE this is not the DNS of delta
// = 0.5)
final double atmfVol = surface.getVolatility(_t, _f);
final double atmfDelta = BlackFormulaRepository.delta(_f, _f, _t, atmfVol, true);
final double lowerLimit = data.first;
final double upperLimit = data.second;
// Do the call/k^2 integral - split up into the the put integral and the call integral because
// the function is not smooth at strike = forward
double res = _integrator.integrate(integrand, lowerLimit, atmfDelta); // Call part
if (_addResidual) {
// The lower strike cutoff is expressed as a absolute strike (i.e. k << f), while the
// upperLimit is a call delta (values close to one = small absolute strikes),
// so we must covert the lower strike cutoff to a upper delta cutoff
final double limitVol = surface.getVolatility(_t, _lowStrikeCutoff);
final double limitDelta =
BlackFormulaRepository.delta(_f, _lowStrikeCutoff, _t, limitVol, true);
final double u = Math.min(upperLimit, limitDelta);
res += _integrator.integrate(integrand, atmfDelta, u); // put part
res += _residual;
} else {
res += _integrator.integrate(integrand, atmfDelta, upperLimit); // put part
}
return 2 * res / _t;
}
private double presentValueDeltaStandard(
final double forward,
final double strike,
final double expiry,
final boolean isCall,
final double df,
final double notional,
final double yearFraction) {
double volatility = _smileFunction.getVolatility(strike);
double price =
BlackFormulaRepository.delta(forward, strike, expiry, volatility, isCall)
* df
* notional
* yearFraction;
return price;
}
@SuppressWarnings("synthetic-access")
@Override
public Double visitDelta(final BlackVolatilitySurfaceDelta surface) {
if (_t < 1e-4) {
final double atmVol = surface.getVolatility(_t, _f);
return atmVol * atmVol;
}
final double lowerLimit = _tol;
double upperLimit;
if (_addResidual) {
final double limitVol = surface.getVolatility(_t, _lowStrikeCutoff);
upperLimit = BlackFormulaRepository.delta(_f, _lowStrikeCutoff, _t, limitVol, true);
} else {
upperLimit = 1 - _tol;
}
final DoublesPair limits = new DoublesPair(lowerLimit, upperLimit);
return visitDelta(surface, limits);
}
