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

Examples of com.opengamma.analytics.financial.model.finitedifference.PDEResults1D

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        _theta, expiry, _maxAbsProxyDelta, _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResVolUp = runForwardPDESolver(forwardCurve, localVolatilityUp, isCall, _theta, expiry, _maxAbsProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResVolDown = runForwardPDESolver(forwardCurve, localVolatilityDown, isCall, _theta, expiry, _maxAbsProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEResults1D pdeResForwardUpVolUp = runForwardPDESolver(forwardCurve.withFractionalShift(forwardShift), localVolatilityUp, isCall, _theta, expiry, _maxAbsProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResForwardUpVolDown = runForwardPDESolver(forwardCurve.withFractionalShift(forwardShift), localVolatilityDown, isCall, _theta, expiry, _maxAbsProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResForwardDownVolUp = runForwardPDESolver(forwardCurve.withFractionalShift(-forwardShift), localVolatilityUp, isCall, _theta, expiry, _maxAbsProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
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    final Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, isCall);

    BoundaryCondition lower;
    BoundaryCondition upper;

    PDEResults1D res;

    if (isAmerican) {
      if (isCall) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        upper = new NeumannBoundaryCondition(1.0, sMax, false);
      } else {
        lower = new NeumannBoundaryCondition(-1.0, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }

      final Function<Double, Double> func = new Function<Double, Double>() {
        @Override
        public Double evaluate(final Double... tx) {
          final double x = tx[1];
          return payoff.evaluate(x);
        }
      };

      final FunctionalDoublesSurface free = new FunctionalDoublesSurface(func);

      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
      // European
    } else {
      if (isCall) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        final Function1D<Double, Double> upFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(final Double time) {
            return Math.exp(-q * time);
          }
        };
        upper = new NeumannBoundaryCondition(upFunc, sMax, false);
      } else {
        final Function1D<Double, Double> downFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(final Double time) {
            return -Math.exp(-q * time);
          }
        };
        lower = new NeumannBoundaryCondition(downFunc, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }
      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
    }

    return res.getFunctionValue(index);
  }
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    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
    final double[] xNodes = grid.getSpaceNodes();

    final int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, spot);
    final double w = (xNodes[index + 1] - spot) / (xNodes[index + 1] - xNodes[index]);
    return w * res.getFunctionValue(index) + (1 - w) * res.getFunctionValue(index + 1);
  }
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    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
    final double[] xNodes = grid.getSpaceNodes();
    final int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, spot);
    final double w = (xNodes[index + 1] - spot) / (xNodes[index + 1] - xNodes[index]);
    return w * res.getFunctionValue(index) + (1 - w) * res.getFunctionValue(index + 1);
  }
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    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
    final double[] xNodes = grid.getSpaceNodes();
    final int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, spot);
    final double w = (xNodes[index + 1] - spot) / (xNodes[index + 1] - xNodes[index]);
    return w * res.getFunctionValue(index) + (1 - w) * res.getFunctionValue(index + 1);
  }
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    Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, isCall);

    BoundaryCondition lower;
    BoundaryCondition upper;

    PDEResults1D res;

    if (isAmerican) {
      if (isCall) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        upper = new NeumannBoundaryCondition(1.0, sMax, false);
      } else {
        lower = new NeumannBoundaryCondition(-1.0, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }

      final Function<Double, Double> func = new Function<Double, Double>() {
        @Override
        public Double evaluate(Double... tx) {
          final double x = tx[1];
          return isCall ? Math.max(x - k, 0.0) : Math.max(k - x, 0);
        }
      };

      final FunctionalDoublesSurface free = new FunctionalDoublesSurface(func);
      if (USE_BURNIN) {
        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dataBurn = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, gridBurn);
        PDEResults1D resBurn = INITIAL_SOLVER.solve(dataBurn);

        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, resBurn.getTerminalResults(), lower, upper, free, grid);
        res = SOLVER.solve(data);
      } else {
        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, grid);
        res = SOLVER.solve(data);
      }

    } else {
      if (isCall) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        Function1D<Double, Double> upFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(Double time) {
            return Math.exp(-q * time);
          }
        };
        upper = new NeumannBoundaryCondition(upFunc, sMax, false);
      } else {
        Function1D<Double, Double> downFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(Double time) {
            return -Math.exp(-q * time);
          }
        };
        lower = new NeumannBoundaryCondition(downFunc, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }
      if (USE_BURNIN) {
        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dataBurn = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, gridBurn);
        PDEResults1D resBurn = INITIAL_SOLVER.solve(dataBurn);

        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, resBurn.getTerminalResults(), lower, upper, grid);
        res = SOLVER.solve(data);
      } else {
        PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid);
        res = SOLVER.solve(data);
      }
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    final Function1D<Double, Double> payoff = ICP.getEuropeanPayoff(k, option.isCall());

    BoundaryCondition lower;
    BoundaryCondition upper;

    PDEResults1D res;

    if (isAmerican) {
      if (option.isCall()) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        upper = new NeumannBoundaryCondition(1.0, sMax, false);
      } else {
        lower = new NeumannBoundaryCondition(-1.0, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }

      final Function<Double, Double> func = new Function<Double, Double>() {
        @Override
        public Double evaluate(final Double... tx) {
          final double x = tx[1];
          return payoff.evaluate(x);
        }
      };

      final FunctionalDoublesSurface free = new FunctionalDoublesSurface(func);

      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
      // European
    } else {
      if (option.isCall()) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
        final Function1D<Double, Double> upFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(final Double tau) {
            return Math.exp((costOfCarry.getYValue(tau) - riskFreeRate.getYValue(tau)) * tau);
          }
        };
        upper = new NeumannBoundaryCondition(upFunc, sMax, false);
      } else {
        final Function1D<Double, Double> downFunc = new Function1D<Double, Double>() {
          @Override
          public Double evaluate(final Double tau) {
            return -Math.exp((costOfCarry.getYValue(tau) - riskFreeRate.getYValue(tau)) * tau);
          }
        };
        lower = new NeumannBoundaryCondition(downFunc, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }
      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
    }

    return res.getFunctionValue(index);
  }
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    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);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, logPayoff, lower, upper, grid);
    final PDEResults1D res = _solver.solve(db);

    final int index = getLowerBoundIndex(res.getGrid().getSpaceNodes(), 0.0);
    final double x1 = res.getSpaceValue(index);
    final double x2 = res.getSpaceValue(index + 1);
    final double y1 = res.getFunctionValue(index);
    final double y2 = res.getFunctionValue(index + 1);
    final double dx = x2 - x1;
    final double eLogS = (x2 * y1 - x1 * y2) / dx;
    final double rvNoDivs = -2 * (eLogS - logNoDivFwd);

    final int nDivs = dividends.getNumberOfDividends();
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    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);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initalCond, lower, upper, grid);
    final PDEResults1D res = _solver.solve(db);

    final int gIndex = getLowerBoundIndex(res.getGrid().getSpaceNodes(), 0.0);
    final double x1 = res.getSpaceValue(gIndex);
    final double x2 = res.getSpaceValue(gIndex + 1);
    final double y1 = res.getFunctionValue(gIndex);
    final double y2 = res.getFunctionValue(gIndex + 1);
    final double dx = x2 - x1;
    return (x2 * y1 - x1 * y2) / dx;
  }
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    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);

    //System.out.println(DF+"\t"+pdePrice);
    assertEquals(DF, pdePrice, DF * 5e-5);
  }
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