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

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

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    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double forward = localVolatility.getForwardCurve().getForward(expiry);
    final double strike = option.getStrike();
    final double maxForward = forward * _maxMoneyness;
    final BoundaryCondition lower = getLowerBoundaryCondition(option, strike);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, _maxMoneyness * forward);
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(maxForward, forward));
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getBackwardsLocalVol(expiry, localVolatility);
    final Function1D<Double, Double> payoff = getInitialConditionProvider().getEuropeanPayoff(strike, isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
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    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final double strike = option.getStrike();
    final double maxForward = forward * _maxMoneyness;
    final BoundaryCondition lower = getLowerBoundaryCondition(option, strike);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, expiry);
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(maxForward, forward));
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getBackwardsLocalVol(forwardCurve, expiry, localVolatility);
    final Function1D<Double, Double> payoff = getInitialConditionProvider().getEuropeanPayoff(strike, isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
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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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    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double minMoneyness = Math.exp(-_maxProxyDelta * Math.sqrt(expiry));
    final double maxMoneyness = 1.0 / minMoneyness;
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(minMoneyness, maxMoneyness));
    final BoundaryCondition lower = getLowerBoundaryCondition(option, minMoneyness);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, maxMoneyness);
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getForwardLocalVol(localVolatility);
    final Function1D<Double, Double> intCond = getInitialConditionProvider().getForwardCallPut(isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, intCond, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
  }
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    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double minMoneyness = Math.exp(-_maxProxyDelta * Math.sqrt(expiry));
    final double maxMoneyness = 1.0 / minMoneyness;
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(minMoneyness, maxMoneyness));
    final BoundaryCondition lower = getLowerBoundaryCondition(option, minMoneyness);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, maxMoneyness);
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getForwardLocalVol(forwardCurve, localVolatility);
    final Function1D<Double, Double> intCond = getInitialConditionProvider().getForwardCallPut(isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, intCond, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
  }
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      public Double evaluate(final Double t) {
        return (1 - probState1(t)) * _forward.getSpot();
      }
    };

    final BoundaryCondition lower1 = new DirichletBoundaryCondition(strikeZeroPrice1, 0.0);
    final BoundaryCondition lower2 = new DirichletBoundaryCondition(strikeZeroPrice2, 0.0);

    final double kMax = grid.getSpaceNode(grid.getNumSpaceNodes() - 1);

    final BoundaryCondition upper = new NeumannBoundaryCondition(0, kMax, false);

    final CoupledPDEDataBundle d1 = new CoupledPDEDataBundle(_data[0], _initalCond1, lower1, upper, grid);
    final CoupledPDEDataBundle d2 = new CoupledPDEDataBundle(_data[1], _initalCond2, lower2, upper, grid);

    final CoupledFiniteDifference solver = new CoupledFiniteDifference(theta, true);
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    final double q = r - b;
    final ConvectionDiffusionPDE1DStandardCoefficients coef = PDE.getBlackScholes(r, q, sigma);
    final Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, isCall);

    BoundaryCondition lower;
    BoundaryCondition upper;

    PDEResults1D res;

    if (isAmerican) {
      if (isCall) {
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    _data2 = getExtendedCoupledPDEDataBundle(forward, data.getVol2(), data.getLambda21(), data.getLambda12(), 1.0 - data.getP0(), data.getBeta2(), localVolOverlay);
  }

  PDEFullResults1D[] solve(final PDEGrid1D grid) {

    final BoundaryCondition lower = new NeumannBoundaryCondition(0.0, grid.getSpaceNode(0), true);
    //BoundaryCondition lower = new DirichletBoundaryCondition(0.0, 0.0);//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));

    final ExtendedCoupledFiniteDifference solver = new ExtendedCoupledFiniteDifference(THETA);
    final PDEResults1D[] res = solver.solve(_data1, _data2, grid, lower, upper, lower, upper, null);
    //handle this with generics
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
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    final double adj = 0.0; // _lambda == 0 ? ZETA * vol * Math.sqrt(expiry / (_nTNodes - 1)) : 0.0;

    double sMin;
    double sMax;
    BoundaryCondition lower;
    BoundaryCondition upper;
    if (isUp) {
      sMin = 0.0;
      sMax = barrierLevel * Math.exp(-adj); //bring the barrier DOWN slightly to adjust for discrete monitoring
      if (isCall) {
        lower = new DirichletBoundaryCondition(0.0, sMin);
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      }
    };

    double sMin;
    double sMax;
    BoundaryCondition lower;
    BoundaryCondition upper;
    if (isUp) {
      sMin = 0.0;
      sMax = barrierLevel;
      if (isCall) {
        lower = new DirichletBoundaryCondition(0.0, sMin);
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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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