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

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

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    return ValueRequirementNames.FORWARD_GAMMA;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDESpotGreeksGridCalculator.GammaCalculator(pdeCalculator, interpolator), interpolator);
  }
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    return ValueRequirementNames.PRESENT_VALUE;
  }

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

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDEStrikeGreeksGridCalculator.DualDeltaCalculator(pdeCalculator, interpolator), interpolator);
  }
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    return ValueRequirementNames.FORWARD_VOMMA;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDEVolatilityGreeksGridCalculator.VommaCalculator(pdeCalculator, interpolator), interpolator);
  }
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    return ValueRequirementNames.FORWARD_VEGA;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDEVolatilityGreeksGridCalculator.VegaCalculator(pdeCalculator, interpolator), interpolator);
  }
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    return ValueRequirementNames.DUAL_GAMMA;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDEStrikeGreeksGridCalculator.DualGammaCalculator(pdeCalculator, interpolator), interpolator);
  }
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    return ValueRequirementNames.FORWARD_DELTA;
  }

  @Override
  protected PDELocalVolatilityCalculator<?> getPDECalculator(final LocalVolatilityForwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
    return new LocalVolatilityForwardPDESingleResultCalculator(new LocalVolatilityForwardPDESpotGreeksGridCalculator.DeltaCalculator(pdeCalculator, interpolator), 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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    return ValueRequirementNames.FORWARD_VANNA;
  }

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

  • com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEDualDeltaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEDualGammaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEForwardDeltaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEForwardGammaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEForwardVannaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEForwardVegaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEForwardVommaFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEImpliedVolatilityFunction
  • com.opengamma.financial.analytics.model.forex.option.localvol.FXOptionLocalVolatilityForwardPDEPipsPresentValueFunction
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