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


    final int nTimeNodes = 50;
    final int nSpotNodes = 100;
    final double upperLevel = 3.5 * forward;


    final BoundaryCondition lower = new DirichletBoundaryCondition(0, 0);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, upperLevel, false);
    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, EXPIRY, nTimeNodes, 6.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, upperLevel, STRIKE, nSpotNodes, 0.05);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDEResults1D res = solver.solve(new PDE1DDataBundle<>(pde, payoff, lower, upper, grid));

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

    //TODO shunt this setup into its own class 
    ConvectionDiffusionPDE1DStandardCoefficients pde = pdeProvider.getForwardLocalVol(lvsm);
    Function1D<Double, Double> initialCond = initialConProvider.getForwardCallPut(true);
    double xL = 0.8;
    double xH = 1.2;
    BoundaryCondition lower = new NeumannBoundaryCondition(-1.0, xL, true);
    BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMeshF = new HyperbolicMeshing(xL, xH, 1.0, 200, 0.001);
    final MeshingFunction timeMeshF = new ExponentialMeshing(0, t, 50, 4.0);
    final MeshingFunction timeMeshB = new DoubleExponentialMeshing(0, t, t / 2, 50, 2.0, -4.0);
    final PDEGrid1D grid = new PDEGrid1D(timeMeshF, spaceMeshF);
    PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dbF = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initialCond, lower, upper, grid);
    PDETerminalResults1D res = (PDETerminalResults1D) solver.solve(dbF);
    final double minK = Math.exp(-6 * rootT);
    final double maxK = Math.exp(6 * rootT);
    Map<Double, Double> vols = PDEUtilityTools.priceToImpliedVol(fwdCurve, t, res, minK, maxK, true);
    DoubleQuadraticInterpolator1D interpolator = Interpolator1DFactory.DOUBLE_QUADRATIC_INSTANCE;
    Interpolator1DDataBundle idb = interpolator.getDataBundle(vols);


    //set up for solving backwards PDE 
    ConvectionDiffusionPDE1DStandardCoefficients pdeB = pdeProvider.getBackwardsLocalVol(t, lvsm);
    double sL = xL * spot;
    double sH = xH * spot;
    final MeshingFunction spaceMeshB = new HyperbolicMeshing(sL, sH, spot, 200, 0.001);
    final PDEGrid1D gridB = new PDEGrid1D(timeMeshB, spaceMeshB);
    int index = SurfaceArrayUtils.getLowerBoundIndex(gridB.getSpaceNodes(), spot);
    double s1 = gridB.getSpaceNode(index);
    double s2 = gridB.getSpaceNode(index + 1);
    final double w = (s2 - spot) / (s2 - s1);


    //solve a separate backwards PDE for each strike
    for (int i = 0; i < 10; i++) {
      double z = -5 + i;
      double k = spot * Math.exp(0.4 * rootT * z);
      double x = k / fwd;
      double vol = ivs.getVolatility(t, k);
      double volFPDE = interpolator.interpolate(idb, x);


      boolean isCall = (k >= fwd);
      BoundaryCondition lowerB = new NeumannBoundaryCondition(isCall ? 0 : -1, sL, true);
      BoundaryCondition upperB = new NeumannBoundaryCondition(isCall ? 1 : 0, sH, false);


      Function1D<Double, Double> bkdIC = initialConProvider.getEuropeanPayoff(k, isCall);
      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dbB = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pdeB, bkdIC, lowerB, upperB, gridB);
      PDEResults1D resB = solver.solve(dbB);
      double price1 = resB.getFunctionValue(index);

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

    final double range = Math.log(5);
    final double yL = lnFT - range;
    final double yH = lnFT + range;
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, yL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yH, false);


    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);


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

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

    final double theta = 0.5;
    final double yL = -0.5;
    final double yH = 0.5;
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    final BoundaryCondition lower = new NeumannBoundaryCondition(1 / (1 + dStar * Math.exp(-yL)), yL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yH, false);


    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);


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

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

    final double theta = 0.5;
    final double yL = Math.log(SPOT / 6);
    final double yH = Math.log(6 * SPOT);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    final BoundaryCondition lower1 = new NeumannBoundaryCondition(1.0, yL, true);
    final BoundaryCondition upper1 = new NeumannBoundaryCondition(1.0, yH, false);


    final MeshingFunction timeMesh1 = new ExponentialMeshing(0, EXPIRY - DIVIDEND_DATE - 1e-6, 50, 0.0);
    final MeshingFunction timeMesh2 = new ExponentialMeshing(EXPIRY - DIVIDEND_DATE + 1e-6, EXPIRY, 50, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);


    final PDEGrid1D grid1 = new PDEGrid1D(timeMesh1, spaceMesh);
    final double[] sNodes1 = grid1.getSpaceNodes();


    //run the PDE solver backward to the dividend date
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db1 = new PDE1DDataBundle<>(pde, initialCon, lower1, upper1, grid1);
    final PDETerminalResults1D res1 = (PDETerminalResults1D) solver.solve(db1);


    //Map the spot nodes after (in calendar time) the dividend payment to nodes before
    final int nSNodes = sNodes1.length;
    final double[] sNodes2 = new double[nSNodes];
    final double lnBeta = Math.log(1 - BETA);
    for (int i = 0; i < nSNodes; i++) {
      final double temp = sNodes1[i];
      if (temp < 0) {
        sNodes2[i] = Math.log(Math.exp(temp) + ALPHA) - lnBeta;
      }
      else {
        sNodes2[i] = temp + Math.log(1 + ALPHA * Math.exp(-temp)) - lnBeta;
      }
    }


    final PDEGrid1D grid2 = new PDEGrid1D(timeMesh2.getPoints(), sNodes2);
    final BoundaryCondition lower2 = new NeumannBoundaryCondition(1.0, sNodes2[0], true);
    final BoundaryCondition upper2 = new NeumannBoundaryCondition(1.0, sNodes2[nSNodes - 1], false);


    //run the PDE solver backward from the dividend date to zero
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db2 = new PDE1DDataBundle<>(pde, res1.getTerminalResults(), lower2, upper2, grid2);
    final PDETerminalResults1D res2 = (PDETerminalResults1D) solver.solve(db2);

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


    final double fL = Math.log(ft / 5.0);
    final double fH = Math.log(5.0 * ft);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, fL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, fH, false);


    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);

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


    // PDEUtilityTools.printSurface("lv", lvm.getSurface(), 0.0, 2e-9, 0.9999, 1.0001);


    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);


    final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, fL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, fH, false);
    //    BoundaryCondition lower = new FixedSecondDerivativeBoundaryCondition(0.0, xL, true);
    //    BoundaryCondition upper = new FixedSecondDerivativeBoundaryCondition(0.0, xH, false);


    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 50, 0.0);

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Examples of org.sbml.jsbml.ext.spatial.BoundaryCondition

      } else if (elementName.equals(SpatialConstants.advectionCoefficient)){
        AdvectionCoefficient ac = new AdvectionCoefficient();
        spatialParam.setParamType(ac);
        return ac;
      } else if (elementName.equals(SpatialConstants.boundaryCondition)){
        BoundaryCondition bc = new BoundaryCondition();
        spatialParam.setParamType(bc);
        return bc;
      }
    } else if (contextObject instanceof Geometry) {
      Geometry geometry = (Geometry) contextObject;

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