Java tutorial
/** * 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.smile.fitting; import java.util.BitSet; import org.apache.commons.lang.Validate; import org.testng.annotations.Test; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData; import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption; import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction; import com.opengamma.analytics.math.matrix.DoubleMatrix1D; import com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResultsWithTransform; /** * @deprecated This class tests deprecated functionality */ @Deprecated public class SABRSurfaceFittingTest { private static final SABRNonLinearLeastSquareFitter FITTER = new SABRNonLinearLeastSquareFitter( new SABRHaganVolatilityFunction()); @Test public void doIt() { final double[] maturities = new double[] { 5, 1, 10, 15, 1, 5 }; final double[] tenors = new double[] { 5, 5, 10, 15, 1, 10 }; final double[] forwards = new double[] { 0.0424, 0.025513, 0.046213, 0.04405, 0.010482, 0.04443 }; final double[] atmVols = new double[] { 0.23845, 0.36995, 0.18745, 0.162, 0.7332, 0.2177 }; final int n = maturities.length; Validate.isTrue(n == tenors.length && n == forwards.length && n == atmVols.length); final double[] moneynessSigma = new double[] { -2, -1, -0.5, -0.25, 0, 0.25, 0.5, 1, 2 }; final double[][] vols = new double[n][]; vols[0] = new double[] { 0, 0.27, 0.253, 0.247, 0.23845, 0.238, 0.236, 0.233, 0.226 }; vols[1] = new double[] { 0.653, 0.442, 0.396, 0.382, 0.36995, 0.367, 0.363, 0.363, 0.36 }; vols[2] = new double[] { 0.25, 0.214, 0.2, 0.194, 0.18745, 0.186, 0.183, 0.179, 0.171 }; vols[3] = new double[] { 0.224, 0.19, 0.175, 0.17, 0.162, 0.161, 0.158, 0.154, 0.15 }; vols[4] = new double[] { 0, 0, 0.847, 0.776, 0.7332, 0.718, 0.707, 0.702, 0.701 }; vols[5] = new double[] { 0.284, 0.247, 0.231, 0.225, 0.2177, 0.217, 0.213, 0.209, 0.207 }; final double[] alpha = new double[n]; final double[] beta = new double[n]; final double[] nu = new double[n]; final double[] rho = new double[n]; final double[] start = new double[] { 0.3, 0.9, 0.3, 0.0 }; for (int i = 0; i < n; i++) { int m = 0; for (int j = 0; j < vols[i].length; j++) { if (vols[i][j] > 0.0) { m++; } } final EuropeanVanillaOption[] options = new EuropeanVanillaOption[m]; final BlackFunctionData[] data = new BlackFunctionData[m]; final double[] errors = new double[m]; int p = 0; for (int j = 0; j < vols[i].length; j++) { if (vols[i][j] > 0.0) { options[p] = new EuropeanVanillaOption( forwards[i] * Math.exp(atmVols[i] * Math.sqrt(maturities[i]) * moneynessSigma[j]), maturities[i], true); data[p] = new BlackFunctionData(forwards[i], 1, vols[i][j]); errors[p] = 0.001; p++; } } final LeastSquareResultsWithTransform result = FITTER.getFitResult(options, data, errors, start, new BitSet(4)); final DoubleMatrix1D params = result.getModelParameters(); alpha[i] = params.getEntry(0); beta[i] = params.getEntry(1); nu[i] = params.getEntry(2); rho[i] = params.getEntry(3); // System.out.print(alpha[i] + "\t" + beta[i] + "\t" + nu[i] + "\t" + rho[i] + "\t"); // for (int j = 0; j < m; j++) { // System.out.print("\t" + strikes[j]); // } // System.out.print("\n"); // System.out.print("\t\t\t\t"); // for (int j = 0; j < m; j++) { // double sabrVol = sabr.impliedVolatility(forwards[i], alpha[i], beta[i], nu[i], rho[i], strikes[j], maturities[i]); // System.out.print("\t" + sabrVol); // } // System.out.print("\n"); } } }