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

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

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      @SuppressWarnings("unchecked")
      final VolatilityFunctionProvider<SABRFormulaData> model = (VolatilityFunctionProvider<SABRFormulaData>) VolatilityFunctionFactory.getCalculator(volatilityFunctionName);
      final WeightingFunction weightingFunction = WeightingFunctionFactory.getWeightingFunction(weightingFunctionName);
      if (externalBeta) {
        final double beta = message.getDouble(BETA_FIELD_NAME);
        return new SmileInterpolatorSABR(model, beta, weightingFunction);
      }
      return new SmileInterpolatorSABR(model, weightingFunction);
    }
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  @Test
  public void testHashCodeEquals() {
    VolatilitySurfaceInterpolator other = new VolatilitySurfaceInterpolator(SMILE_INTERPOLATOR, TIME_INTERPOLATOR, USE_LOG_TIME, USE_INTEGRATED_VARIANCE, USE_LOG_VALUE);
    assertEquals(SURFACE_INTERPOLATOR, other);
    assertEquals(SURFACE_INTERPOLATOR.hashCode(), other.hashCode());
    other = new VolatilitySurfaceInterpolator(new SmileInterpolatorSABR(), TIME_INTERPOLATOR, USE_LOG_TIME, USE_INTEGRATED_VARIANCE, USE_LOG_VALUE);
    assertFalse(other.equals(SURFACE_INTERPOLATOR));
    other = new VolatilitySurfaceInterpolator(SMILE_INTERPOLATOR, Interpolator1DFactory.LINEAR_INSTANCE, USE_LOG_TIME, USE_INTEGRATED_VARIANCE, USE_LOG_VALUE);
    assertFalse(other.equals(SURFACE_INTERPOLATOR));
    other = new VolatilitySurfaceInterpolator(SMILE_INTERPOLATOR, Interpolator1DFactory.LINEAR_INSTANCE, !USE_LOG_TIME, USE_INTEGRATED_VARIANCE, USE_LOG_VALUE);
    assertFalse(other.equals(SURFACE_INTERPOLATOR));
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    assertEquals(interpolator, cycleObject(SmileInterpolatorMixedLogNormal.class, interpolator));
  }

  @Test
  public void testSmileInterpolatorSABR() {
    final SmileInterpolatorSABR interpolator = new SmileInterpolatorSABR(VolatilityFunctionFactory.PAULOT_FORMULA, 0.5, WeightingFunctionFactory.LINEAR_WEIGHTING_FUNCTION);
    assertEquals(interpolator, cycleObject(SmileInterpolatorSABR.class, interpolator));
  }
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    final VolatilityFunctionProvider<SABRFormulaData> model = (VolatilityFunctionProvider<SABRFormulaData>) VolatilityFunctionFactory.getCalculator(modelName);
    final WeightingFunction weightingFunction = WeightingFunctionFactory.getWeightingFunction(weightingFunctionName);
    final boolean useExternalBeta = Boolean.parseBoolean(desiredValue.getConstraint(PROPERTY_SABR_USE_EXTERNAL_BETA));
    if (useExternalBeta) {
      final double beta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SABR_EXTERNAL_BETA));
      return new SmileInterpolatorSABR(model, beta, weightingFunction);
    }
    return new SmileInterpolatorSABR(model, weightingFunction);
  }
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  • com.opengamma.analytics.financial.model.volatility.smile.fitting.SABRModelFitter
  • com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData
  • com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolatorTest
  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmile$SmileInterpolatorSABRBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmileTest
  • com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfaceSABRInterpolatorFunction
  • java.util.BitSet
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