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

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SmileInterpolatorMixedLogNormal

83
84
85
86
87
88
89
    private static final String WEIGHTING_FUNCTION_FIELD_NAME = "weightingFunctionField";

    @Override
    public SmileInterpolatorMixedLogNormal buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final String weightingFunctionName = message.getString(WEIGHTING_FUNCTION_FIELD_NAME);
      return new SmileInterpolatorMixedLogNormal(WeightingFunctionFactory.getWeightingFunction(weightingFunctionName));
    }
View Full Code Here
49
50
51
52
53
54
55
56
    assertEquals(interpolator, cycleObject(SmileInterpolatorSpline.class, interpolator));
  }

  @Test
  public void testSmileInterpolatorMixedLogNormal() {
    final SmileInterpolatorMixedLogNormal interpolator = new SmileInterpolatorMixedLogNormal(WeightingFunctionFactory.COSINE_WEIGHTING_FUNCTION);
    assertEquals(interpolator, cycleObject(SmileInterpolatorMixedLogNormal.class, interpolator));
  }
View Full Code Here
28
29
30
31
32
33
34
  @Override
  protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
    final String weightingFunctionName = desiredValue.getConstraint(PROPERTY_MIXED_LOG_NORMAL_WEIGHTING_FUNCTION);
    final WeightingFunction weightingFunction = WeightingFunctionFactory.getWeightingFunction(weightingFunctionName);
    return new SmileInterpolatorMixedLogNormal(weightingFunction);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.SmileInterpolatorMixedLogNormal

  • cern.jet.random.engine.RandomEngine
  • com.opengamma.analytics.financial.model.volatility.smile.fitting.MixedLogNormalModelFitter
  • com.opengamma.analytics.financial.model.volatility.smile.function.MixedLogNormalModelData
  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmile$SmileInterpolatorMixedLogNormalBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmileTest
  • com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfaceMixedLogNormalInterpolatorFunction
  • java.util.BitSet
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.