Volatility surface/histogram/time series gadgets


#1

Quick questions

Can someone give me an example of how to set OG to display the volatility surface using the example server setup? I’ve figured out how to run the basics for OG, but I just need to entries (if any) where the vol surface is stored.

Also, am I correct in thinking that OG currently only displays the market values of the vol surface, and doesn’t have the ability to display a calculated vol surface? What I’ve been trying to find (and I don’t think it exists) is some sort of tool that will let you plot quant models against data to see how good the fit is. OG doesn’t seem to have all of those features but it has most of the basic components, so I’m trying to repurpose some of the components of OG to create this tool.


#2

No, the plots, when available, are based on samples of fitted data, not just market data.
Bear in mind that the surface plot is available as a standalone project that you’re free to reuse in a more general purpose tool:

https://github.com/OpenGamma/JSurface3D

To see an example of a vol surface plot, try in the simulated examples selecting the view “Swaption Black Pricing View”. Then drop down the preview pane on e.g. a PV01 value and click the down arrow on the toolbar (which pops it to the bottom panel). Then drill down into the dependency graph until you find a value called ‘InterpolatedVolatilitySurfaceData’. If you click the preview on the the value (which will be labelled something like ‘Volatility Surface (10x7)’, you can see the data.

Hope that helps.


#3

That helps a lot.

Right now, I’m a kid in the candy store, trying to go through the code and figuring out what can be done.