Package com.opengamma.analytics.financial.model.volatility.smile.fitting

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.HestonModelFitter

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          final double[] sigma = sigmaList.toDoubleArray();
          final double[] errors = errorsList.toDoubleArray();
          ArrayUtils.reverse(strikes);
          ArrayUtils.reverse(sigma);
          ArrayUtils.reverse(errors);
          final LeastSquareResultsWithTransform fittedResult = new HestonModelFitter(forward, strikes, t, sigma, errors, HESTON_FUNCTION).solve(HESTON_INITIAL_VALUES);
          final DoubleMatrix1D parameters = fittedResult.getModelParameters();
          fittedOptionExpiryList.add(t);
          futureDelayList.add(0);
          kappaList.add(parameters.getEntry(0));
          thetaList.add(parameters.getEntry(1));
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          final double[] sigma = sigmaList.toDoubleArray();
          final double[] errors = errorsList.toDoubleArray();
          ArrayUtils.reverse(strikes);
          ArrayUtils.reverse(sigma);
          ArrayUtils.reverse(errors);
          final LeastSquareResultsWithTransform fittedResult = new HestonModelFitter(forward, strikes, t, sigma, errors, HESTON_FUNCTION).solve(HESTON_INITIAL_VALUES);
          final DoubleMatrix1D parameters = fittedResult.getModelParameters();
          fittedOptionExpiryList.add(t);
          futureDelayList.add(0);
          kappaList.add(parameters.getEntry(0));
          thetaList.add(parameters.getEntry(1));
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Related Classes of com.opengamma.analytics.financial.model.volatility.smile.fitting.HestonModelFitter

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  • com.opengamma.analytics.math.minimization.UncoupledParameterTransforms
  • com.opengamma.financial.analytics.model.volatility.surface.HestonFourierIRFutureSurfaceFittingFunction
  • com.opengamma.financial.analytics.model.volatility.surface.HestonFourierIRFutureSurfaceFittingFunctionDeprecated
  • java.util.BitSet
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