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

Examples of com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDataBundle

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    final CoupledFiniteDifference solver = new CoupledFiniteDifference(0.5, false);
    final double lambda12 = 0.0;
    final double lambda21 = 0.0;
    final double p0 = 0.5;

    TwoStateMarkovChainDataBundle chainData = new TwoStateMarkovChainDataBundle(VOL1, VOL2, lambda12, lambda21, p0);
    ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledBackwardsPair(FORWARD, T, chainData);
    final int timeNodes = 20;
    final int spaceNodes = 150;
    final double lowerMoneyness = 0.4;
    final double upperMoneyness = 2.5;
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  public void testDegenerate() {
    final CoupledFiniteDifference solver = new CoupledFiniteDifference();
    final double lambda12 = 0.2;
    final double lambda21 = 0.5;

    TwoStateMarkovChainDataBundle chainData = new TwoStateMarkovChainDataBundle(VOL1, VOL1, lambda12, lambda21, 0.5);
    ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledBackwardsPair(FORWARD, T, chainData);
    final int timeNodes = 20;
    final int spaceNodes = 150;
    final double lowerMoneyness = 0.4;
    final double upperMoneyness = 2.5;
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  public void testSmile() {
    final CoupledFiniteDifference solver = new CoupledFiniteDifference(0.5, false);
    final double lambda12 = 0.2;
    final double lambda21 = 2.0;

    TwoStateMarkovChainDataBundle chainData = new TwoStateMarkovChainDataBundle(VOL1, VOL2, lambda12, lambda21, 1.0);
    ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledBackwardsPair(FORWARD, T, chainData);
    final int timeNodes = 20;
    final int spaceNodes = 150;
    final double lowerMoneyness = 0.3;
    final double upperMoneyness = 3.0;
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  }

  @Test
  public void testDegenerate() {
    //NOTE vols equal
    final TwoStateMarkovChainDataBundle mcData = new TwoStateMarkovChainDataBundle(VOL1, VOL1, LAMBDA12, LAMBDA21, PROB_STATE1);
    final CoupledFiniteDifference solver = new CoupledFiniteDifference(0.55, true);
    final ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledForwardPair(new ForwardCurve(SPOT, RATE), mcData);

    final int tNodes = 50;
    final int xNodes = 150;
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  @Test
  public void testSmile() {

    final CoupledFiniteDifference solver = new CoupledFiniteDifference(0.55, true);

    final TwoStateMarkovChainDataBundle mcData = new TwoStateMarkovChainDataBundle(VOL1, VOL2, LAMBDA12, LAMBDA21, PROB_STATE1);
    final ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledForwardPair(FORWARD, mcData);

    final int tNodes = 51;
    final int xNodes = 151;
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  @Test(enabled = false)
  public void testSmilePrint() {
    //final boolean print = true;
    final CoupledFiniteDifference solver = new CoupledFiniteDifference(0.55, true);

    final TwoStateMarkovChainDataBundle mcData = new TwoStateMarkovChainDataBundle(VOL1, VOL2, LAMBDA12, LAMBDA21, PROB_STATE1);
    final ConvectionDiffusionPDE1DCoupledCoefficients[] pdeData = PDE_DATA_PROVIDER.getCoupledForwardPair(FORWARD, mcData);

    final int tNodes = 51;
    final int xNodes = 151;
    //final double lowerMoneyness = 0.0;
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Related Classes of com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDataBundle

  • com.opengamma.analytics.financial.model.finitedifference.CoupledFiniteDifferenceTest
  • com.opengamma.analytics.financial.model.finitedifference.CoupledForwardFiniteDifferenceTest
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