Examples of AffineDividends

Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  @Override
  public AffineDividends buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final double[] tau = deserializer.fieldValueToObject(double[].class, message.getByName(TAU_FIELD));
    final double[] alpha = deserializer.fieldValueToObject(double[].class, message.getByName(ALPHA_FIELD));
    final double[] beta = deserializer.fieldValueToObject(double[].class, message.getByName(BETA_FIELD));
    return new AffineDividends(tau, alpha, beta);
  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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    }
  }

  @Test
  public void noDividendsTest() {
    final AffineDividends dividends = AffineDividends.noDividends();
    testNumericsForFlatPureVol(dividends);
    testNumerics(dividends, MLN_DATA, 1e-7);

  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  @Test
  public void proportionalOnlyTest() {
    final double[] tau = new double[] {EXPIRY - 0.7, EXPIRY - 0.1, EXPIRY + 0.1 };
    final double[] alpha = new double[3];
    final double[] beta = new double[] {0.1, 0.1, 0.1 };
    final AffineDividends dividends = new AffineDividends(tau, alpha, beta);
    testNumericsForFlatPureVol(dividends);
    testNumerics(dividends, MLN_DATA, 1e-7);
  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  @Test
  public void dividendsAfterExpiryTest() {
    final double[] tau = new double[] {EXPIRY + 0.1, EXPIRY + 0.6 };
    final double[] alpha = new double[] {0.1 * SPOT, 0.05 * SPOT };
    final double[] beta = new double[] {0.05, 0.1 };
    final AffineDividends dividends = new AffineDividends(tau, alpha, beta);
    testNumericsForFlatPureVol(dividends);
    testNumerics(dividends, MLN_DATA, 1e-7);
  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  @Test
  public void dividendsBeforeExpiryTest() {
    final double[] tau = new double[] {0.85, 1.2 };
    final double[] alpha = new double[] {0.3 * SPOT, 0.2 * SPOT };
    final double[] beta = new double[] {0.1, 0.2 };
    final AffineDividends dividends = new AffineDividends(tau, alpha, beta);
    testNumericsForFlatPureVol(dividends);
    testNumerics(dividends, MLN_DATA, 1e-7);
  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  @Test
  public void dividendsAtExpiryTest() {
    final double[] tau = new double[] {1.2, EXPIRY };
    final double[] alpha = new double[] {0.1 * SPOT, 0.05 * SPOT };
    final double[] beta = new double[] {0.1, 0.2 };
    final AffineDividends dividends = new AffineDividends(tau, alpha, beta);
    //   testNumericsForFlatPureVol(dividends);
    testNumerics(dividends, MLN_DATA, 1e-7);
  }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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  }

  @Test
  public void testMixedLogNormalVolSurface() {

    final AffineDividends dividends = AffineDividends.noDividends();
    final ForwardCurve fwdCurve = new ForwardCurve(SPOT, DRIFT);
    final double sigma1 = 0.2;
    final double sigma2 = 1.0;
    final double w = 0.9;
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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    @Override
    public ForwardCurveAffineDividends buildObject(FudgeDeserializer deserializer, FudgeMsg message) {
      final double spot = message.getDouble(SPOT_FIELD_NAME);
      final YieldAndDiscountCurve riskFreeCurve = deserializer.fieldValueToObject(YieldAndDiscountCurve.class, message.getByName(RISK_FREE_FIELD_NAME));
      final AffineDividends dividends = deserializer.fieldValueToObject(AffineDividends.class, message.getByName(DIVIDENDS_FIELD_NAME));
      return new ForwardCurveAffineDividends(spot, riskFreeCurve, dividends);
    }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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    @Override
    protected void buildMessage(FudgeSerializer serializer, MutableFudgeMsg message, ForwardCurveAffineDividends object) {
      serializer.addToMessage(message, SPOT_FIELD_NAME, null, object.getSpot());
      serializer.addToMessage(message, RISK_FREE_FIELD_NAME, null, object.getRiskFreeCurve());
      final AffineDividends dividends = object.getDividends();
      serializer.addToMessage(message, DIVIDENDS_FIELD_NAME, null, substituteObject(dividends));
    }
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Examples of com.opengamma.analytics.financial.equity.variance.pricing.AffineDividends

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    final double spot = 100.0;
    final YieldAndDiscountCurve riskFreeCurve = YieldCurve.from(ConstantDoublesCurve.from(0.0));
    final double[] tau = new double[] {0.25, 0.5, 0.75, 1, 2, 3, 4};
    final double[] alpha = new double[] {0.23, 0.24, 0.25, 0.26, 0, 0, 0};
    final double[] beta = new double[] {0, 0, 0, 0, 0.15, 0.2, 0.3};
    final AffineDividends dividends = new AffineDividends(tau, alpha, beta);
    final ForwardCurveAffineDividends curve1 = new ForwardCurveAffineDividends(spot, riskFreeCurve, dividends);
    final ForwardCurveAffineDividends curve2 = cycleObject(ForwardCurveAffineDividends.class, curve1);
    assertEquals(curve1.getSpot(), curve2.getSpot(), EPS);
    assertTrue(curve2.getForwardCurve() instanceof FunctionalDoublesCurve);
    assertTrue(curve2.getDriftCurve() instanceof FunctionalDoublesCurve);
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