Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DStandardCoefficients

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

Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DStandardCoefficients

com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DStandardCoefficients
$$ This class contains the coefficients terms ($a(t,x), b(t,x), c(x,t)$) that are functions of $t$ and $x$ but NOT $V$ in the PDE \[ \frac{\partial V}{\partial t}+a(t,x)\frac{\partial^2 V}{\partial x^2}+b(t,x)\frac{\partial V}{\partial x2}+c(t,x)V=0 \] where of course $V$ is also a function of $t$ and $x$ $$

        final double temp = localVol.getVolatility(t, ftT * f0t / f0T);
        return 0.5 * temp * temp;
      }
    };


    return new ConvectionDiffusionPDE1DStandardCoefficients(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), ZERO_SURFACE);
  }

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        final double k = tk[1];
        return k * (rate - yield);
      }
    };


    return new ConvectionDiffusionPDE1DStandardCoefficients(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), ConstantDoublesSurface.from(yield));
  }

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        final double k = tk[1];
        return k * (rate - yield);
      }
    };


    return new ConvectionDiffusionPDE1DStandardCoefficients(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), ConstantDoublesSurface.from(yield));
  }

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        final double temp = m * vol;
        return -0.5 * temp * temp;
      }
    };


    return new ConvectionDiffusionPDE1DStandardCoefficients(FunctionalDoublesSurface.from(a), ZERO_SURFACE, ZERO_SURFACE);
  }

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        return shortRate.getYValue(t) - temp1 * temp1 - temp2;
      }
    };


    return new ConvectionDiffusionPDE1DStandardCoefficients(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c));


  }

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    final int index = Arrays.binarySearch(xNodes, s0);
    ArgumentChecker.isTrue(index >= 0, "cannot find spot on grid");


    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;

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   */
  public double outBarrier(final double spot, final double barrierLevel, final double strike, final double expiry, final double rate, final double carry,
      final double vol, final boolean isCall, final double rebate) {


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


    final double adj = 0.0; // _lambda == 0 ? ZETA * vol * Math.sqrt(expiry / (_nTNodes - 1)) : 0.0;


    double sMin;

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   */
  protected double outBarrierSpecial(final double spot, final double barrierLevel, final double strike, final double expiry, final double rate, final double carry,
      final double vol, final boolean isCall, final double rebate) {


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


    final Function1D<Double, Double> rebateValue = new Function1D<Double, Double>() {
      @Override
      public Double evaluate(final Double tau) {

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  protected double blackPrice(final double spot, final double strike, final double expiry, final double rate, final double carry,
      final double vol, final boolean isCall) {


    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;

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    PDEGrid1D gridBurn = USE_BURNIN ? new PDEGrid1D(tMeshBurn, xMesh) : null;
    PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final int index = Arrays.binarySearch(grid.getSpaceNodes(), s0);
    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;

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