Package com.opengamma.analytics.financial.model.finitedifference

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

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    final Function1D<Double, Double> intCon = ICP.getEuropeanPayoff(strike, isCall);
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE.getBlackScholes(rate, rate - carry, vol);

    final double sMin = 0.0;
    final double sMax = spot * Math.exp(_z * Math.sqrt(expiry));
    BoundaryCondition lower;
    BoundaryCondition upper;
    if (isCall) {
      lower = new DirichletBoundaryCondition(0.0, sMin);
      final Function1D<Double, Double> upperValue = new Function1D<Double, Double>() {
        @Override
        public Double evaluate(final Double tau) {
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    ArgumentChecker.isTrue(index >= 0, "cannot find spot on grid");

    ConvectionDiffusionPDE1DStandardCoefficients coef = PDE.getBackwardsLocalVol(r, q, t, locVol);
    Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, isCall);

    BoundaryCondition lower;
    BoundaryCondition upper;

    PDEResults1D res;

    if (isAmerican) {
      if (isCall) {
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  }

  PDEFullResults1D[] solve(final PDEGrid1D grid) {

    //BoundaryCondition lower = new FixedSecondDerivativeBoundaryCondition(0, grid.getSpaceNode(0), true);
    final BoundaryCondition lower = new NeumannBoundaryCondition(0.0, grid.getSpaceNode(0), true);
    //BoundaryCondition lower = new DirichletBoundaryCondition(0.0, grid.getSpaceNode(0));//TODO for beta < 0.5 zero is accessible and thus there will be non-zero
    //density there
    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, grid.getSpaceNode(grid.getNumSpaceNodes() - 1));

    CoupledPDEDataBundle d1 = new CoupledPDEDataBundle(_data1, _initCon11, lower, upper, grid);
    CoupledPDEDataBundle d2 = new CoupledPDEDataBundle(_data2, _initCon12, lower, upper, grid);

    final CoupledFiniteDifference solver = new CoupledFiniteDifference(THETA, true);
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    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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    //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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    //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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    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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    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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    //    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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    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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Related Classes of com.opengamma.analytics.financial.model.finitedifference.BoundaryCondition

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.model.finitedifference.applications.BarrierOptionPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.BlackScholesMertonPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolatilityBackwardsPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffWithDividendsTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.TermStructureRatesTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDensity
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