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

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

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    for (int i = 0; i < nExp; i++) {
      temp += STRIKES[i].length;
    }
    final int totalStrikes = temp;

    final ForwardCurve fwdCurve = new ForwardCurve(1.0);

    final List<double[]> tk = new ArrayList<>(totalStrikes);
    final List<Double> vols = new ArrayList<>(totalStrikes);
    final List<Double> sigmas = new ArrayList<>(totalStrikes);
    for (int i = 0; i < nExp; i++) {
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  }

  @SuppressWarnings("unused")
  private Surface<Double, Double, Double> toDeltaProxySurface(final LocalVolatilitySurface<?> lv) {

    final ForwardCurve fc = MARKET_DATA.getForwardCurve();

    final Function<Double, Double> func = new Function<Double, Double>() {

      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double... tx) {
        final double t = tx[0];
        final double x = tx[1];
        final double f = fc.getForward(t);
        final double k = f * Math.exp(-x * Math.sqrt(t));
        return lv.getVolatility(t, k);
      }
    };

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    return FunctionalDoublesSurface.from(func);
  }

  private Surface<Double, Double, Double> toDeltaProxySurface(final BlackVolatilitySurface<?> lv) {
    final ForwardCurve fc = MARKET_DATA.getForwardCurve();
    final Function<Double, Double> func = new Function<Double, Double>() {

      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double... tx) {
        final double t = tx[0];
        final double x = tx[1];
        final double f = fc.getForward(t);
        final double k = f * Math.exp(-x * Math.sqrt(t));
        return lv.getVolatility(t, k);
      }
    };
    return FunctionalDoublesSurface.from(func);
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    // The latter is used to form the forwardOptionPrice given a (spot) market value
    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final double forward = forwardCurve.getForward(timeToExpiry);
    final double spot = forwardCurve.getForward(0.0);
   
    // The Volatility Surface is simply a single point, which must be inferred from the market value
    final Object optionPriceObject = inputs.getComputedValue(MarketDataRequirementNames.MARKET_VALUE);
    if (optionPriceObject == null) {
      throw new OpenGammaRuntimeException("Could not get market value of underlying option");
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        }
        if (expiries.size() == 0) {
          throw new OpenGammaRuntimeException("Could not get any values for forward swaps");
        }
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator));
        return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName, forwardTenorName), curve));
      }

      private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName,
          final String rightExtrapolatorName, final String forwardTenor) {
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    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Object, Object> volatilitySurface = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
    return BlackVolatilitySurfaceUtils.getDataFromStandardQuotes(forwardCurve, volatilitySurface);
  }
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    // Form market scenario
    ValueProperties constraints = desiredValues.iterator().next().getConstraints();
   
    // Apply shift to forward price curve
    final ForwardCurve fwdCurveScen;
    String priceShiftTypeConstraint = constraints.getValues(s_priceShiftType).iterator().next();
    String stockConstraint = constraints.getValues(s_priceShift).iterator().next();
   
    if (stockConstraint.equals("")) {
      fwdCurveScen = market.getForwardCurve(); // use base market prices
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    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Object, Object> volatilitySurface = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
    return BlackVolatilitySurfaceUtils.getDataFromStandardQuotes(forwardCurve, volatilitySurface, 4); //TODO remove hard-coding
  }
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        }
        if (expiries.size() == 0) {
          throw new OpenGammaRuntimeException("Could not get any values for FX forwards");
        }
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator));
        return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName), curve));
      }

      private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName,
          final String rightExtrapolatorName) {
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    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    @SuppressWarnings("unchecked")
    final
    VolatilitySurfaceData<Object, Object> volatilitySurface = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
    return BlackVolatilitySurfaceUtils.getDataFromStandardQuotes(forwardCurve, volatilitySurface);
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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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