Examples of AbsoluteLocalVolatilitySurface

com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface
A surface with gives the absolute local volatility (i.e. for a SDE dx = sigma(t,x)dw) as a function of time to maturity and value of the underlying

Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

   * @param maturity The option maturity (in years)
   * @param data Data relating to the Markov chain
   * @return a pair of convection diffusion data bundles
   */
  public ConvectionDiffusionPDE1DCoupledCoefficients[] getCoupledBackwardsPair(final ForwardCurve forward, final double maturity, final TwoStateMarkovChainDataBundle data) {
    final AbsoluteLocalVolatilitySurface localVolOverlay = new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0));
    return getCoupledBackwardsPair(forward, maturity, data, localVolOverlay);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

   * @param forward  The forward curve
   * @param data Data relating to the Markov chain
   * @return a pair of convection diffusion data bundles
   */
  public ConvectionDiffusionPDE1DCoupledCoefficients[] getCoupledForwardPair(final ForwardCurve forward, final TwoStateMarkovChainDataBundle data) {
    final AbsoluteLocalVolatilitySurface localVolOverlay = new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0));
    return getCoupledForwardPair(forward, data, localVolOverlay);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

   * @param forward The forward curve
   * @param data Data relating to the Markov chain
   * @return a pair of extended convection diffusion data bundles
   */
  public ExtendedCoupledPDEDataBundle[] getCoupledFokkerPlankPair(final ForwardCurve forward, final TwoStateMarkovChainDataBundle data) {
    final AbsoluteLocalVolatilitySurface localVolOverlay = new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0));
    return getCoupledFokkerPlankPair(forward, data, localVolOverlay);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

    final double maxT = 1.0 * tmaxT;
    final double maxK = 1.1 * tmaxK;


    //get the market local vol surface
    //TODO local vol with non-constant (but deterministic) rates
    final AbsoluteLocalVolatilitySurface marketLocalVol = LOCAL_VOL_CALC.getAbsoluteLocalVolatilitySurface(marketVolSurface, forward.getSpot(), forward.getDrift(0));


    if (_print) {
      PDEUtilityTools.printSurface("Market implied Vols", marketVolSurface.getSurface(), minT, maxT, minK, maxK);
      PDEUtilityTools.printSurface("Market local Vols", marketLocalVol.getSurface(), minT, maxT, minK, maxK);
    }


    //get the local vol of basic Markov chain model


    final MeshingFunction timeMesh = new ExponentialMeshing(0, tmaxT, tNodes, 2.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 6.0 * forward.getForward(tmaxT), forward.getForward(0), xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);


    final TwoStateMarkovChainWithLocalVolDensity densityCal = new TwoStateMarkovChainWithLocalVolDensity(forward, chainData, new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0)));
    PDEFullResults1D[] denRes = densityCal.solve(grid);


    if (_print) {
      PDEUtilityTools.printSurface("State 1 densities", denRes[0]);
      PDEUtilityTools.printSurface("State 2 densities", denRes[1]);
    }


    //the Local vol of the basis Markov chain model
    AbsoluteLocalVolatilitySurface mcBaseLocalVol = MC_LOCAL_VOL_CALC.calc(denRes, chainData, null);
    AbsoluteLocalVolatilitySurface mcLocalVol;
    if (_print) {
      PDEUtilityTools.printSurface("Markov local Vols", mcBaseLocalVol.getSurface(), minT, maxT, minK, maxK);
    }


    AbsoluteLocalVolatilitySurface lvOverlay = null;
    mcLocalVol = mcBaseLocalVol;


    int count = 0;
    while (!converged(marketLocalVol, mcLocalVol, dataPoints) && count < 10) {
      count++;


      //get the local vol overlay to the Markov chain model
      lvOverlay = getLocalVolOverlay(marketLocalVol, mcBaseLocalVol);
      if (_print) {
        PDEUtilityTools.printSurface("Local vol overlay at step " + count, lvOverlay.getSurface(), minT, maxT, minK, maxK);
      }


      final TwoStateMarkovChainWithLocalVolDensity lvDensityCal = new TwoStateMarkovChainWithLocalVolDensity(forward, chainData, lvOverlay);
      denRes = lvDensityCal.solve(grid);


      if (_print) {
        PDEUtilityTools.printSurface("State 1 densities at step " + count, denRes[0]);
        PDEUtilityTools.printSurface("State 2 densities at step" + count, denRes[1]);
      }


      //calculate mc local vol without overlay
      mcBaseLocalVol = MC_LOCAL_VOL_CALC.calc(denRes, chainData, null);
      //... and with overlay
      mcLocalVol = MC_LOCAL_VOL_CALC.calc(denRes, chainData, lvOverlay);
    }


    if (_print) {
      PDEUtilityTools.printSurface("Markov LV local Vols", mcLocalVol.getSurface(), minT, maxT, minK, maxK);
      if (lvOverlay != null) {
        PDEUtilityTools.printSurface("Local vol overlay ", lvOverlay.getSurface(), minT, maxT, minK, maxK);
      }
    }


    //Solve the forward PDE with the local vol overlay to check match with data
    final TwoStateMarkovChainPricer pricer = new TwoStateMarkovChainPricer(forward, chainData, lvOverlay);

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

        final double temp = marketLocalVol.getVolatility(t, s) / modelLocalVol.getVolatility(t, s);
        return temp;
      }
    };


    return new AbsoluteLocalVolatilitySurface(FunctionalDoublesSurface.from(func));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface

      public Double evaluate(final Double... ts) {
        return GRID_INTERPOLATOR2D.interpolate(interpolatorDB, new DoublesPair(ts[0], ts[1]));
      }
    };


    return new AbsoluteLocalVolatilitySurface(FunctionalDoublesSurface.from(lvFunc));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.AbsoluteLocalVolatilitySurface


    final MeshingFunction timeMesh = new ExponentialMeshing(0, t, tNodes, 2.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 6.0 * FORWARD_CURVE.getForward(t), FORWARD_CURVE.getSpot(), xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    //TwoStateMarkovChainDensity densityCal = new TwoStateMarkovChainDensity(forward, chainData);
    final TwoStateMarkovChainWithLocalVolDensity densityCal = new TwoStateMarkovChainWithLocalVolDensity(FORWARD_CURVE, DATA, new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0)));
    final PDEFullResults1D[] denRes = densityCal.solve(grid);
    System.out.println("Densities ");
    PDEUtilityTools.printSurface("state 1 density", denRes[0]);
    PDEUtilityTools.printSurface("state 2 density", denRes[1]);
  }

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