Examples of BoundaryCondition

bs.bs2d.fea.BoundaryCondition
@author Djen
com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition
Represents a boundary condition for a PDE solver that has time dependent characteristics but is fixed at a space level
org.sbml.jsbml.ext.spatial.BoundaryCondition
@author Alex Thomas @author Andreas Dräger @since 1.0 @version $Rev: 1639 $

Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    ArgumentChecker.isTrue(index >= 0, "cannot find spot on grid");


    final ConvectionDiffusionPDE1DStandardCoefficients coef = PDE.getBackwardsLocalVol(riskFreeRate, costOfCarry, t, localVol);
    final Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, option.isCall());


    BoundaryCondition lower;
    BoundaryCondition upper;


    PDEResults1D res;


    if (isAmerican) {
      if (option.isCall()) {

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition


    //common boundary conditions 
    //TODO the grid involves some magic numbers that should be possible to alter externally by expert users 
    final double xL = 0.0;
    final double xH = 6;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, _nSpaceSteps + 1, 0.001); //0.05
    final MeshingFunction[] timeMeshes = new MeshingFunction[nDivsBeforeExpiry + 1];
    final PDEGrid1D[] grids = new PDEGrid1D[nDivsBeforeExpiry + 1];
    if (nDivsBeforeExpiry == 0) {
      timeMeshes[0] = new ExponentialMeshing(0, expiry, _nTimeSteps, 5.0);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    //evaluate the log-payoff on a nominally six sigma range
    final double atmVol = pureLocalVolSurface.getVolatility(expiry, 1.0);
    final double yMin = -Math.sqrt(expiry) * atmVol * SIGMA;
    final double yMax = -yMin;


    final BoundaryCondition lower = new NeumannBoundaryCondition(getLowerBoundaryCondition(divs, expiry), yMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yMax, false);


    final MeshingFunction timeMesh = new ExponentialMeshing(0, expiry, _nTimeSteps, LAMBDA_T);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yMin, yMax, _nSpaceSteps, LAMBDA_X);


    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition


    final LocalVolatilitySurfaceMoneyness localVolSurface = new LocalVolatilitySurfaceMoneyness(plv.getSurface(), new ForwardCurve(1.0));
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_PROVIDER.getLogBackwardsLocalVol(tau, localVolSurface);
    final Function1D<Double, Double> initalCond = getCorrectionInitialCondition(ad, curves, index, correctForDividends);


    final BoundaryCondition lower = new NeumannBoundaryCondition(getCorrectionLowerBoundaryCondition(ad, curves, index, correctForDividends, index), yMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, yMax, false);


    final MeshingFunction timeMesh = new ExponentialMeshing(0, tau, _nTimeSteps, LAMBDA_T);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(yMin, yMax, 0.0, _nSpaceSteps, LAMBDA_X);


    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    final double sMax = 5 * S0;
    final MeshingFunction xMesh = new ExponentialMeshing(sMin, sMax, xNodes, 0.0, new double[] {S0 });
    final MeshingFunction tMesh = new ExponentialMeshing(0, T, tNodes, 0.0);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);


    final BoundaryCondition lower = new NeumannBoundaryCondition(0.0, sMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, sMax, true);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid);
    final ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference();
    final PDEResults1D res = solver.solve(data);
    final int index = Arrays.binarySearch(grid.getSpaceNodes(), S0);
    final double pdePrice = res.getFunctionValue(index);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    //    final ZZConvectionDiffusionPDEDataBundle db1 = LocalVolDensity.getConvectionDiffusionPDEDataBundle(FORWARD_CURVE, localVol);
    //    final ExtendedConvectionDiffusionPDEDataBundle db2 = LocalVolDensity.getExtendedConvectionDiffusionPDEDataBundle(FORWARD_CURVE, localVol);


    final int tNodes = 50;
    final int xNodes = 100;
    final BoundaryCondition lower = new DirichletBoundaryCondition(0.0, 0.0);
    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, 10 * FORWARD_CURVE.getForward(T));
    final MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0.0, upper.getLevel(), SPOT, xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);


    final ConvectionDiffusionPDE1DFullCoefficients pde1 = PDE_PROVIDER.getFokkerPlank(ConstantDoublesCurve.from(RATE), localVol);
    final ConvectionDiffusionPDE1DStandardCoefficients pde2 = PDE_PROVIDER.getFokkerPlankInStandardCoefficients(ConstantDoublesCurve.from(RATE), localVol);
    final Function1D<Double, Double> initalCondition = INITAL_CONDITION_PROVIDER.getLogNormalDensity(SPOT, 0.01, 0.2);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    final double minMoneyness = Math.exp(-maxAbsProxyDelta * Math.sqrt(maxT));
    final double maxMoneyness = 1.0 / minMoneyness;
    ArgumentChecker.isTrue(minMoneyness < centreMoneyness, "min moneyness of {} greater than centreMoneyness of {}. Increase maxAbsProxydelta", minMoneyness, centreMoneyness);
    ArgumentChecker.isTrue(maxMoneyness > centreMoneyness, "max moneyness of {} less than centreMoneyness of {}. Increase maxAbsProxydelta", maxMoneyness, centreMoneyness);


    BoundaryCondition lower;
    BoundaryCondition upper;
    if (isCall) {
      //call option with low strike  is worth the forward - strike, while a put is worthless
      lower = new DirichletBoundaryCondition((1.0 - minMoneyness), minMoneyness);
      upper = new DirichletBoundaryCondition(0.0, maxMoneyness);
    } else {

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    final ConvectionDiffusionPDE1DCoefficients pde = pdeProvider.getBackwardsLocalVol(forwardCurve, expiry, localVolatility);
    final Function1D<Double, Double> payoff = intProvider.getEuropeanPayoff(strike, isCall);
    // final ZZConvectionDiffusionPDEDataBundle db = provider.getBackwardsLocalVol(strike, expiry, isCall, localVolatility, forwardCurve);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    BoundaryCondition lower;
    BoundaryCondition upper;
    if (isCall) {
      lower = new DirichletBoundaryCondition(0.0, 0.0); //call option with strike zero is worth 0
      upper = new NeumannBoundaryCondition(1.0, maxFwd, false);
    } else {
      lower = new DirichletBoundaryCondition(strike, 0.0);

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    final int totalStrikes = temp;


    final ForwardCurve fwdCurve = new ForwardCurve(1.0);
    final double xL = 0.0;
    final double xH = 4;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, 40, 0.05);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, 2.0, 30, 0.2);
    final PDEGrid1D pdeGrid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> initialCond = INITIAL_COND_PROVIDER.getForwardCallPut(true);
    final double[] xa = new double[] {0, 0 };

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Examples of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

    final int nKnots = bSplines.size();


    final ForwardCurve fwdCurve = new ForwardCurve(1.0);
    final double xL = 0.0;
    final double xH = 6;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, 40, 0.05);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, 2.0, 30, 0.2);
    final PDEGrid1D pdeGrid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> initialCond = INITIAL_COND_PROVIDER.getForwardCallPut(true);

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