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

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

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    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);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(PDE, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);
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    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);
    //  final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(fL, fH, (fL + fH) / 2, 101, 0.4);

    // ZZConvectionDiffusionPDEDataBundle pde_data = PDE_DATA_PROVIDER.getBackwardsLocalVolLogPayoff(EXPIRY, lvm);
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_DATA_PROVIDER.getLogBackwardsLocalVol(EXPIRY, lvm);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
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  public static void runCoupledFokkerPlank(PrintStream out) throws FileNotFoundException, IOException {
    final ExtendedCoupledFiniteDifference solver = new ExtendedCoupledFiniteDifference(0.5);
    final int tNodes = 50;
    final int xNodes = 150;

    final MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(LOWER.getLevel(), UPPER.getLevel(), SPOT, xNodes, 0.01);

    final double[] timeGrid = new double[tNodes];
    for (int n = 0; n < tNodes; n++) {
      timeGrid[n] = timeMesh.evaluate(n);
    }

    final double[] spaceGrid = new double[xNodes];
    for (int i = 0; i < xNodes; i++) {
      spaceGrid[i] = spaceMesh.evaluate(i);
    }
    final PDEGrid1D grid = new PDEGrid1D(timeGrid, spaceGrid);

    final PDEResults1D[] res = solver.solve(DATA1, DATA2, grid, LOWER, UPPER, LOWER, UPPER, null);
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
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Related Classes of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

  • com.opengamma.analytics.example.coupledfokkerplank.CoupledFokkerPlankExample
  • 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
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