com.opengamma.analytics.financial.model.volatility.surface.SABRBlackEquivalentVolatilitySurfaceModel.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.volatility.surface.SABRBlackEquivalentVolatilitySurfaceModel.java

Source

/**
 * 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))));
    }
}