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

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

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

com.opengamma.analytics.financial.model.volatility.smile.fitting.interpolation.WeightingFunction
A function to allow a smooth weighing between two functions. If two functions f(x) and g(x) fit the data set (x_i,y_i) at the points x_a and x_b (i.e. f(x_a) = g(x_a) = y_a and f(x_b) = g(x_b) = y_b), then a weighted function h(x) = w(x)f(x) + (1-w(x))*g(x) with 0 <= w(x) <= 1 will also fit the points a and b TODO this belongs with interpolator

      final String volatilityFunctionName = message.getString(VOLATILITY_MODEL_FIELD_NAME);
      final String weightingFunctionName = message.getString(WEIGHTING_FUNCTION_FIELD_NAME);
      final boolean externalBeta = message.getBoolean(EXTERNAL_BETA_FIELD_NAME);
      @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);

View Full Code Here

  }


  @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

  @Override
  protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
    final String modelName = desiredValue.getConstraint(PROPERTY_SABR_MODEL);
    final String weightingFunctionName = desiredValue.getConstraint(PROPERTY_SABR_WEIGHTING_FUNCTION);
    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);
    }

View Full Code Here

TOP

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

com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmile$SmileInterpolatorSABRBuilder

com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfaceMixedLogNormalInterpolatorFunction

com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfaceSABRInterpolatorFunction

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.