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

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

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    }
    final Object discountingCurveObject = inputs.getValue(getDiscountingCurveRequirement(target, desiredValue));
    if (discountingCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get discounting curve");
    }
    final LocalVolatilitySurfaceMoneyness localVolatility = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final EuropeanVanillaOption option = getOption(security, now);
    final YieldAndDiscountCurve discountingCurve = (YieldAndDiscountCurve) discountingCurveObject;
    final Object result = getResult(pdeCalculator, localVolatility, forwardCurve, option, discountingCurve);
    final ValueProperties properties = getResultProperties(desiredValue);
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    final ValueRequirement volatilitySurfaceRequirement = getVolatilitySurfaceRequirement(target, desiredValue);
    final Object localVolatilityObject = inputs.getValue(volatilitySurfaceRequirement);
    if (localVolatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get local volatility surface");
    }
    final LocalVolatilitySurfaceMoneyness localVolatilityMoneyness = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
    final LocalVolatilitySurfaceStrike localVolatilityStrike = LocalVolatilitySurfaceConverter.toStrikeSurface(localVolatilityMoneyness);
    final ValueProperties properties = getResultProperties(desiredValue, LocalVolatilitySurfacePropertyNamesAndValues.STRIKE);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, localVolatilityStrike));
  }
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    if (impliedVolatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Volatility surface was null");
    }
    final BlackVolatilitySurfaceMoneyness impliedVolatilitySurface = (BlackVolatilitySurfaceMoneyness) impliedVolatilitySurfaceObject;
    final DupireLocalVolatilityCalculator calculator = new DupireLocalVolatilityCalculator(eps);
    final LocalVolatilitySurfaceMoneyness localVolatilitySurface = calculator.getLocalVolatility(impliedVolatilitySurface);
    final ValueProperties properties = getResultProperties(desiredValue, LocalVolatilitySurfacePropertyNamesAndValues.MONEYNESS);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, localVolatilitySurface));
  }
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    }
    final Object discountingCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (discountingCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get discounting curve");
    }
    final LocalVolatilitySurfaceMoneyness localVolatility = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final EuropeanVanillaOption option = getOption(security, now);
    final YieldAndDiscountCurve discountingCurve = (YieldAndDiscountCurve) discountingCurveObject;
    final Object result = getResult(pdeCalculator, localVolatility, forwardCurve, option, discountingCurve);
    final ValueProperties properties = getResultProperties(desiredValue);
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Related Classes of com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceMoneyness

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider
  • com.opengamma.analytics.financial.model.finitedifference.ForwardPDETest
  • com.opengamma.analytics.financial.model.finitedifference.SABRFiniteDifferenceTest
  • com.opengamma.analytics.financial.model.volatility.surface.MixedLogNormalVolatilitySurfaceTest
  • com.opengamma.analytics.financial.model.volatility.surface.Moneyness
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySurface$LocalVolatilitySurfaceMoneynessBuilder
  • com.opengamma.financial.analytics.model.volatility.local.DupireLocalVolatilitySurfaceFunction
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