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

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


    // 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);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

    final int n = res.getNumberSpaceNodes();
    final double[] values = new double[n];
    for (int i = 0; i < n; i++) {
      //      System.out.println(res.getSpaceValue(i) + "\t" + res.getFunctionValue(i));
      values[i] = res.getFunctionValue(i);
    }

    final Interpolator1DDataBundle idb = INTERPOLATOR.getDataBundle(grid.getSpaceNodes(), values);
    final double elogS = INTERPOLATOR.interpolate(idb, Math.log(ft));
    final double kVol = Math.sqrt(-2 * (elogS - Math.log(ft)) / EXPIRY);
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