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

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

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        }
        // return 0.0;
        throw new MathException("Local Volatility failure: " + res);
      }
    };
    return new LocalVolatilitySurfaceStrike(FunctionalDoublesSurface.from(surf));
  }
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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureLocalVolatilitySurface plv = getPureLocalVolFromMarket(spot, discountCurve, dividends, marketVols);
    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final LocalVolatilitySurfaceStrike lv = VolatilitySurfaceConverter.convertLocalVolSurface(plv, divCurves);

    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
    final double t = swap.getTimeToSettlement();
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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureLocalVolatilitySurface plv = getPureLocalVolFromMarket(spot, discountCurve, dividends, marketVols);
    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final LocalVolatilitySurfaceStrike lv = VolatilitySurfaceConverter.convertLocalVolSurface(plv, divCurves);

    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
    final double t = swap.getTimeToSettlement();
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    ArgumentChecker.notNull(dividends, "dividends");
    ArgumentChecker.notNull(marketVols, "market volatilities");

    final PureLocalVolatilitySurface plv = getPureLocalVolFromMarket(spot, discountCurve, dividends, marketVols);
    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final LocalVolatilitySurfaceStrike lv = VolatilitySurfaceConverter.convertLocalVolSurface(plv, divCurves);
    final double eps = 1e-5;
    final int index = swap.correctForDividends() ? 0 : 1;
    final double t = swap.getTimeToSettlement();

    //up
    final LocalVolatilitySurfaceStrike lvUp = new LocalVolatilitySurfaceStrike(flooredShiftSurface(lv.getSurface(), eps));
    final PureLocalVolatilitySurface plvUp = VolatilitySurfaceConverter.convertLocalVolSurface(lvUp, divCurves);
    final double up = Math.sqrt(VAR_SWAP_FWD_PDE_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, plvUp)[index] / t);
    //down
    final LocalVolatilitySurfaceStrike lvDown = new LocalVolatilitySurfaceStrike(flooredShiftSurface(lv.getSurface(), -eps));
    final PureLocalVolatilitySurface plvDown = VolatilitySurfaceConverter.convertLocalVolSurface(lvDown, divCurves);
    final double down = Math.sqrt(VAR_SWAP_FWD_PDE_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, plvDown)[index] / t);
    final double vega = (up - down) / 2 / eps;
    return vega;
  }
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    final double eps = 1e-5;

    final EquityDividendsCurvesBundle div = new EquityDividendsCurvesBundle(spot, discountCurve, dividends);
    final PureLocalVolatilitySurface pureSurf = getPureLocalVolFromMarket(spot, discountCurve, dividends, marketVols);
    //this surface is assumed invariant to change in the spot
    final LocalVolatilitySurfaceStrike lv = convertLV(pureSurf, div);

    //price the variance swap by static replication of the log-payoff and dividend correction terms
    //up
    final EquityDividendsCurvesBundle divUp = new EquityDividendsCurvesBundle((1 + eps) * spot, discountCurve, dividends);
    final PureLocalVolatilitySurface plvUp = convertLV(lv, divUp);
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        }
        final double x = (s - d) / (f - d);
        return s / (s - d) * from.getVolatility(t, x);
      }
    };
    return new LocalVolatilitySurfaceStrike(FunctionalDoublesSurface.from(func));
  }
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        final double f = divCurves.getF(t);
        final double x = (s - d) / (f - d);
        return pureVolSurface.getVolatility(t, x) * (s - d) / s;
      }
    };
    return new LocalVolatilitySurfaceStrike(FunctionalDoublesSurface.from(localVol));
  }
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    final int xNodes = 101;

    final double forward = FORWARD_CURVE.getForward(T);
    final double maxMoneyness = 5.0;
    final SABRFormulaData sabrData = new SABRFormulaData(ATM_VOL.evaluate(T), 1.0, RHO, NU.evaluate(T));
    final LocalVolatilitySurfaceStrike locVol = getSABRLocalVolSurface(1.0, FORWARD_CURVE);

    // final ZZConvectionDiffusionPDEDataBundle pdeDataFwd = PDE_DATA_PROVIDER.getForwardLocalVol(locVol, FORWARD_CURVE, true);
    final ConvectionDiffusionPDE1DCoefficients pde = PDE_PROVIDER.getForwardLocalVol(FORWARD_CURVE, locVol);
    final Function1D<Double, Double> initialCond = INITIAL_CONDITIONS_PROVIDER.getForwardCallPut(true);
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   * Tests the Monte Carlo (which required a local volatility surface (strike)) against a static replication (which requires a pure implied volatility surface)
   * @param dividends
   */
  private void testNumericsForFlatPureVol(final AffineDividends dividends) {
    final EquityDividendsCurvesBundle divCurves = new EquityDividendsCurvesBundle(SPOT, DISCOUNT_CURVE, dividends);
    final LocalVolatilitySurfaceStrike localVol = VolatilitySurfaceConverter.convertLocalVolSurface(PURE_LOCAL_VOL_FLAT, divCurves);

    //get the analytic values of the expected variance if there are no cash dividends
    boolean canPriceAnalytic = true;
    for (int i = 0; i < dividends.getNumberOfDividends(); i++) {
      if (dividends.getAlpha(i) > 0.0) {
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   * @param plv The pure local volatility surface
   */
  private void testNumerics(final AffineDividends dividends, final MultiHorizonMixedLogNormalModelData data, final double defaultTol) {

    final ForwardCurve fc = new ForwardCurve(1.0);
    final LocalVolatilitySurfaceStrike lv = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fc, data);
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(lv.getSurface());
    final BlackVolatilitySurfaceStrike iv = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fc, data);
    final PureImpliedVolatilitySurface piv = new PureImpliedVolatilitySurface(iv.getSurface());
    final double[] weights = data.getWeights();
    final double[] mus = data.getMus();
    final double[] sigmas = data.getVolatilities();
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Related Classes of com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceStrike

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.VolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolatilityBackwardsPDEPricerTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricerTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainSABRFitterTest
  • com.opengamma.analytics.financial.model.finitedifference.SABRFiniteDifferenceTest
  • com.opengamma.analytics.financial.model.volatility.surface.MixedLogNormalVolatilitySurface
  • com.opengamma.analytics.financial.model.volatility.surface.MixedLogNormalVolatilitySurfaceTest
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