Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

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      ArgumentChecker.isTrue(_nExpiries == riskReversals[i].length, "wrong number of rr; have {}, need {}", riskReversals[i].length, _nExpiries);
      ArgumentChecker.isTrue(_nExpiries == strangle[i].length, "wrong number of strangles; have {}, need {}", strangle[i].length, _nExpiries);
    }
    _forwards = forwards;
    _expiries = expiries;
    _forwardCurve = new ForwardCurve(InterpolatedDoublesCurve.from(_expiries, _forwards, interpolator));
    _strikes = new double[_nExpiries][];
    _vols = new double[_nExpiries][];
    for (int i = 0; i < _nExpiries; i++) {
      final double[] rr = new double[n];
      final double[] s = new double[n];
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   * @return The data to run through a PDE solver that will give the time-zero forward option price as a function of the time-zero
   * value of the underlying
   */
  public ConvectionDiffusionPDE1DStandardCoefficients getBackwardsLocalVol(final double maturity, final LocalVolatilitySurfaceMoneyness localVol) {

    final ForwardCurve fc = localVol.getForwardCurve();
    final double f0 = fc.getForward(maturity);
    final Function<Double, Double> a = new Function<Double, Double>() {
      @Override
      public Double evaluate(final Double... tf) {
        Validate.isTrue(tf.length == 2);
        final double tau = tf[0];
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   * @return The data to run through a PDE solver that will give the time-zero <b>forward</b> option price as a function of the time-zero
   * value of the log-forward
   */
  public ConvectionDiffusionPDE1DStandardCoefficients getLogBackwardsLocalVol(final double maturity, final LocalVolatilitySurfaceMoneyness localVol) {

    final ForwardCurve fc = localVol.getForwardCurve();
    final double f0T = fc.getForward(maturity);
    final Function<Double, Double> a = new Function<Double, Double>() {
      @Override
      public Double evaluate(final Double... tx) {
        Validate.isTrue(tx.length == 2);
        final double tau = tx[0];
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   */
  public double[] expectedVariance(final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends, final double expiry,
      final BlackVolatilitySurfaceStrike volSurfaceStrike) {

    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final BlackVolatilitySurfaceMoneyness volSurface = BlackVolatilitySurfaceConverter.toMoneynessSurface(volSurfaceStrike, new ForwardCurve(divCurves.getF()));

    final double terminalFwd = divCurves.getF(expiry);
    final double logNoDivFwd = Math.log(spot) + discountCurve.getInterestRate(expiry) * expiry;
    final double logContract = integrate(getLogPayoffIntegrand(expiry, volSurface)) + Math.log(terminalFwd);

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        pVols[i][j] = volToPureVol(strikes[i][j], f, d, t, vols[i][j]);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.isTrue(expiry > 0, "expiry > 0");
    ArgumentChecker.notNull(pureLocalVolSurface, "pure local volatility surface");
    //"convert" to a LocalVolatilitySurfaceMoneyness _ DO NOT interpret this as an actual LocalVolatilitySurfaceMoneyness
    final LocalVolatilitySurfaceMoneyness localVolSurface = new LocalVolatilitySurfaceMoneyness(pureLocalVolSurface.getSurface(), new ForwardCurve(1.0));

    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_PROVIDER.getForwardLocalVol(localVolSurface);
    final Function1D<Double, Double> initialCond = INITIAL_COND_PROVIDER.getForwardCallPut(true);

    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
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        vols[i][j] = BlackFormulaRepository.impliedVolatility(purePrice, 1.0, x[i][j], t, isCall);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), expiries, x, vols);
    final BlackVolatilitySurfaceMoneyness surf = surfaceInterpolator.getVolatilitySurface(data);
    return new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
  }
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  public double[] expectedVariance(final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends, final double expiry,
      final PureLocalVolatilitySurface pureLocalVolSurface) {
    final EquityDividendsCurvesBundle divs = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final double logNoDivFwd = Math.log(spot) + discountCurve.getInterestRate(expiry) * expiry;
    //"convert" to a LocalVolatilitySurfaceMoneyness _ DO NOT interpret this as an actual LocalVolatilitySurfaceMoneyness
    final LocalVolatilitySurfaceMoneyness localVolSurface = new LocalVolatilitySurfaceMoneyness(pureLocalVolSurface.getSurface(), new ForwardCurve(1.0));

    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_PROVIDER.getLogBackwardsLocalVol(expiry, localVolSurface);
    final Function1D<Double, Double> logPayoff = getLogPayoff(divs, expiry);

    //evaluate the log-payoff on a nominally six sigma range
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    final double tau = ad.getTau(index);
    final double atmVol = plv.getVolatility(tau, 1.0);
    final double yMin = -Math.sqrt(tau) * atmVol * SIGMA;
    final double yMax = -yMin;

    final LocalVolatilitySurfaceMoneyness localVolSurface = new LocalVolatilitySurfaceMoneyness(plv.getSurface(), new ForwardCurve(1.0));
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_PROVIDER.getLogBackwardsLocalVol(tau, localVolSurface);
    final Function1D<Double, Double> initalCond = getCorrectionInitialCondition(ad, curves, index, correctForDividends);

    final BoundaryCondition lower = new NeumannBoundaryCondition(getCorrectionLowerBoundaryCondition(ad, curves, index, correctForDividends, index), yMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, yMax, false);
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        pVols[i][j] = volToPureVol(strikes[i][j], f, d, t, vols[i][j]);
      }
    }

    //fit an implied volatility surface to the pure implied vols (as the forward is 1.0, the BlackVolatilitySurfaceMoneyness is numerically identical to the PureImpliedVolatilitySurface
    final SmileSurfaceDataBundle data = new StandardSmileSurfaceDataBundle(new ForwardCurve(1.0), marketVols.getExpiries(), x, pVols);
    final BlackVolatilitySurfaceMoneyness surf = _surfaceInterpolator.getVolatilitySurface(data);
    final PureImpliedVolatilitySurface pureSurf = new PureImpliedVolatilitySurface(surf.getSurface()); //TODO have a direct fitter for PureImpliedVolatilitySurface
    return pureSurf;
  }
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplication
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVolatilityToPureVolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.analytics.financial.interestrate.curve.ForwardCurveTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricerTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider
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