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 s = ts[1];
        return -s * (rate - yield);
      }
    };


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

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        final double t = ts[0];
        return rate.getYValue(t);
      }
    };


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

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  public ConvectionDiffusionPDE1DStandardCoefficients getLogBlackScholes(final double rate, final double yield, final double vol) {


    final double a = -vol * vol / 2;
    final double b = -a - (rate - yield);


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

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        final double temp = vol * Math.pow(s, beta);
        return -0.5 * temp * temp;
      }
    };


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

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        return -s * (rate - yield);
      }
    };


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

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        final double temp = f * localVol.getVolatility(t, f * ft / fT); // NOTE: f * ft / fT = s, the spot
        return -0.5 * temp * temp;
      }
    };


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

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        final double t = maturity - tau;
        return instRiskFreeRate.getYValue(t);
      }
    };


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

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        final double temp = f * localVol.getVolatilityForMoneyness(t, x);
        return -0.5 * temp * temp;
      }
    };


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

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        final double temp = localVol.getVolatility(t, s);
        return 0.5 * temp * temp - (rate - yield);
      }
    };


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

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


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

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