Package com.opengamma.analytics.financial.model.volatility.local

Examples of com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityForwardPDEImpliedVolatilityGridCalculator

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    return ValueRequirementNames.GRID_IMPLIED_VOLATILITY;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDEImpliedVolatilityGridCalculator(pdeCalculator, interpolator);
  }
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    return ValueRequirementNames.IMPLIED_VOLATILITY;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDEImpliedVolatilityGridCalculator(pdeCalculator, interpolator), interpolator);
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityForwardPDEImpliedVolatilityGridCalculator

  • com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D
  • com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEGridImpliedVolatilityFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEImpliedVolatilityFunction
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