Greeks.java

  1. package org.drip.pricer.option;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * 
  16.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  17.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  18.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  19.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  20.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  21.  *      and computational support.
  22.  *  
  23.  *      https://lakshmidrip.github.io/DROP/
  24.  *  
  25.  *  DROP is composed of three modules:
  26.  *  
  27.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  28.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  29.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  30.  * 
  31.  *  DROP Product Core implements libraries for the following:
  32.  *  - Fixed Income Analytics
  33.  *  - Loan Analytics
  34.  *  - Transaction Cost Analytics
  35.  * 
  36.  *  DROP Portfolio Core implements libraries for the following:
  37.  *  - Asset Allocation Analytics
  38.  *  - Asset Liability Management Analytics
  39.  *  - Capital Estimation Analytics
  40.  *  - Exposure Analytics
  41.  *  - Margin Analytics
  42.  *  - XVA Analytics
  43.  * 
  44.  *  DROP Computational Core implements libraries for the following:
  45.  *  - Algorithm Support
  46.  *  - Computation Support
  47.  *  - Function Analysis
  48.  *  - Model Validation
  49.  *  - Numerical Analysis
  50.  *  - Numerical Optimizer
  51.  *  - Spline Builder
  52.  *  - Statistical Learning
  53.  * 
  54.  *  Documentation for DROP is Spread Over:
  55.  * 
  56.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  57.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  58.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  59.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  60.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  61.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  62.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  63.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  64.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  65.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  66.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  67.  * 
  68.  *  Licensed under the Apache License, Version 2.0 (the "License");
  69.  *      you may not use this file except in compliance with the License.
  70.  *   
  71.  *  You may obtain a copy of the License at
  72.  *      http://www.apache.org/licenses/LICENSE-2.0
  73.  *  
  74.  *  Unless required by applicable law or agreed to in writing, software
  75.  *      distributed under the License is distributed on an "AS IS" BASIS,
  76.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  77.  *  
  78.  *  See the License for the specific language governing permissions and
  79.  *      limitations under the License.
  80.  */

  82. /**
  83.  * <i>Greeks</i> contains the Sensitivities/Pricing Measures common across both Call and Put Option Pricing
  84.  * Runs.
  85.  *
  86.  *  <br><br>
  87.  *  <ul>
  88.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  89.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  90.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/pricer/README.md">Custom Pricing Algorithms and the Derivative Fokker Planck Trajectory Generators</a></li>
  91.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/pricer/option/README.md">Deterministic/Stochastic Volatility Settings/Greeks</a></li>
  92.  *  </ul>
  93.  * <br><br>
  94.  * 
  95.  * @author Lakshmi Krishnamurthy
  96.  */

  98. public class Greeks {
  99.     private double _dblDF = java.lang.Double.NaN;
  100.     private double _dblRho = java.lang.Double.NaN;
  101.     private double _dblVega = java.lang.Double.NaN;
  102.     private double _dblVeta = java.lang.Double.NaN;
  103.     private double _dblCharm = java.lang.Double.NaN;
  104.     private double _dblColor = java.lang.Double.NaN;
  105.     private double _dblDelta = java.lang.Double.NaN;
  106.     private double _dblGamma = java.lang.Double.NaN;
  107.     private double _dblPrice = java.lang.Double.NaN;
  108.     private double _dblProb1 = java.lang.Double.NaN;
  109.     private double _dblProb2 = java.lang.Double.NaN;
  110.     private double _dblSpeed = java.lang.Double.NaN;
  111.     private double _dblTheta = java.lang.Double.NaN;
  112.     private double _dblVanna = java.lang.Double.NaN;
  113.     private double _dblVomma = java.lang.Double.NaN;
  114.     private double _dblUltima = java.lang.Double.NaN;
  115.     private double _dblExpectedPayoff = java.lang.Double.NaN;
  116.     private double _dblExpectedATMPayoff = java.lang.Double.NaN;
  117.     private double _dblEffectiveVolatility = java.lang.Double.NaN;

  119.     /**
  120.      * The Greeks Constructor
  121.      * 
  122.      * @param dblDF The Payoff Discount Factor
  123.      * @param dblEffectiveVolatility Effective Volatility
  124.      * @param dblExpectedPayoff Expected Forward Payoff
  125.      * @param dblExpectedATMPayoff Expected ATM Forward Payoff
  126.      * @param dblPrice Price
  127.      * @param dblProb1 Probability Term #1
  128.      * @param dblProb2 Probability Term #2
  129.      * @param dblDelta Delta
  130.      * @param dblVega Vega
  131.      * @param dblTheta Theta
  132.      * @param dblRho Rho
  133.      * @param dblGamma Gamma
  134.      * @param dblVanna Vanna
  135.      * @param dblVomma Vomma
  136.      * @param dblCharm Charm
  137.      * @param dblVeta Veta
  138.      * @param dblColor Color
  139.      * @param dblSpeed Speed
  140.      * @param dblUltima Ultima
  141.      * 
  142.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  143.      */

  145.     public Greeks (
  146.         final double dblDF,
  147.         final double dblEffectiveVolatility,
  148.         final double dblExpectedPayoff,
  149.         final double dblExpectedATMPayoff,
  150.         final double dblPrice,
  151.         final double dblProb1,
  152.         final double dblProb2,
  153.         final double dblDelta,
  154.         final double dblVega,
  155.         final double dblTheta,
  156.         final double dblRho,
  157.         final double dblGamma,
  158.         final double dblVanna,
  159.         final double dblVomma,
  160.         final double dblCharm,
  161.         final double dblVeta,
  162.         final double dblColor,
  163.         final double dblSpeed,
  164.         final double dblUltima)
  165.         throws java.lang.Exception
  166.     {
  167.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblDF = dblDF) ||
  168.             !org.drip.numerical.common.NumberUtil.IsValid (_dblEffectiveVolatility = dblEffectiveVolatility))
  169.             throw new java.lang.Exception ("Greeks ctr: Invalid Inputs");

  171.         _dblExpectedPayoff = dblExpectedPayoff;
  172.         _dblExpectedATMPayoff = dblExpectedATMPayoff;
  173.         _dblPrice = dblPrice;
  174.         _dblProb1 = dblProb1;
  175.         _dblProb2 = dblProb2;
  176.         _dblDelta = dblDelta;
  177.         _dblVega = dblVega;
  178.         _dblTheta = dblTheta;
  179.         _dblRho = dblRho;
  180.         _dblGamma = dblGamma;
  181.         _dblVanna = dblVanna;
  182.         _dblVomma = dblVomma;
  183.         _dblCharm = dblCharm;
  184.         _dblVeta = dblVeta;
  185.         _dblColor = dblColor;
  186.         _dblSpeed = dblSpeed;
  187.         _dblUltima = dblUltima;
  188.     }

  190.     /**
  191.      * The Option Terminal Discount Factor
  192.      * 
  193.      * @return The Option Terminal Discount Factor
  194.      */

  196.     public double df()
  197.     {
  198.         return _dblDF;
  199.     }

  201.     /**
  202.      * The "Effective" Volatility
  203.      * 
  204.      * @return The "Effective" Volatility
  205.      */

  207.     public double effectiveVolatility()
  208.     {
  209.         return _dblEffectiveVolatility;
  210.     }

  212.     /**
  213.      * The Expected Payoff
  214.      * 
  215.      * @return The Expected Payoff
  216.      */

  218.     public double expectedPayoff()
  219.     {
  220.         return _dblExpectedPayoff;
  221.     }

  223.     /**
  224.      * The Expected ATM Payoff
  225.      * 
  226.      * @return The Expected ATM Payoff
  227.      */

  229.     public double expectedATMPayoff()
  230.     {
  231.         return _dblExpectedATMPayoff;
  232.     }

  234.     /**
  235.      * The Option Price
  236.      * 
  237.      * @return The Option Price
  238.      */

  240.     public double price()
  241.     {
  242.         return _dblPrice;
  243.     }

  245.     /**
  246.      * The Prob 1 Term
  247.      * 
  248.      * @return The Prob 1 Term
  249.      */

  251.     public double prob1()
  252.     {
  253.         return _dblProb1;
  254.     }

  256.     /**
  257.      * The Prob 2 Term
  258.      * 
  259.      * @return The Prob 2 Term
  260.      */

  262.     public double prob2()
  263.     {
  264.         return _dblProb2;
  265.     }

  267.     /**
  268.      * The Option Delta
  269.      * 
  270.      * @return The Option Delta
  271.      */

  273.     public double delta()
  274.     {
  275.         return _dblDelta;
  276.     }

  278.     /**
  279.      * The Option Vega
  280.      * 
  281.      * @return The Option Vega
  282.      */

  284.     public double vega()
  285.     {
  286.         return _dblVega;
  287.     }

  289.     /**
  290.      * The Option Theta
  291.      * 
  292.      * @return The Option Theta
  293.      */

  295.     public double theta()
  296.     {
  297.         return _dblTheta;
  298.     }

  300.     /**
  301.      * The Option Rho
  302.      * 
  303.      * @return The Option Rho
  304.      */

  306.     public double rho()
  307.     {
  308.         return _dblRho;
  309.     }

  311.     /**
  312.      * The Option Gamma
  313.      * 
  314.      * @return The Option Gamma
  315.      */

  317.     public double gamma()
  318.     {
  319.         return _dblGamma;
  320.     }

  322.     /**
  323.      * The Option Vanna
  324.      * 
  325.      * @return The Option Vanna
  326.      */

  328.     public double vanna()
  329.     {
  330.         return _dblVanna;
  331.     }

  333.     /**
  334.      * The Option Vomma
  335.      * 
  336.      * @return The Option Vomma
  337.      */

  339.     public double vomma()
  340.     {
  341.         return _dblVomma;
  342.     }

  344.     /**
  345.      * The Option Charm
  346.      * 
  347.      * @return The Option Charm
  348.      */

  350.     public double charm()
  351.     {
  352.         return _dblCharm;
  353.     }

  355.     /**
  356.      * The Option Veta
  357.      * 
  358.      * @return The Option Veta
  359.      */

  361.     public double veta()
  362.     {
  363.         return _dblVeta;
  364.     }

  366.     /**
  367.      * The Option Color
  368.      * 
  369.      * @return The Option Color
  370.      */

  372.     public double color()
  373.     {
  374.         return _dblColor;
  375.     }

  377.     /**
  378.      * The Option Speed
  379.      * 
  380.      * @return The Option Speed
  381.      */

  383.     public double speed()
  384.     {
  385.         return _dblSpeed;
  386.     }

  388.     /**
  389.      * The Option Ultima
  390.      * 
  391.      * @return The Option Ultima
  392.      */

  394.     public double ultima()
  395.     {
  396.         return _dblUltima;
  397.     }
  398. }
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