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

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.StandardSmileSurfaceDataBundle

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    final double[] uniqueExpiries = getUniqueExpiries(volatilitySurface);
    final double[] uniqueStrikes = getUniqueStrikes(volatilitySurface);
    final Pair<double[][], double[][]> strikesAndValues = getStrikesAndValues(uniqueExpiries, uniqueStrikes, volatilitySurface);
    // Convert vols and strikes to double[][],
    // noting that different expiries may have different populated strikes
    return new StandardSmileSurfaceDataBundle(forwardCurve, uniqueExpiries, strikesAndValues.getFirst(), strikesAndValues.getSecond());
  }
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    final double[] uniqueExpiries = getUniqueExpiries(volatilitySurface);
    final double[] uniqueStrikes = getUniqueStrikes(volatilitySurface);
    final Triple<double[], double[][], double[][]> strikesAndValues = getStrikesAndValues(uniqueExpiries, uniqueStrikes, volatilitySurface, minNumberOfStrikes);
    // Convert vols and strikes to double[][],
    // noting that different expiries may have different populated strikes
    return new StandardSmileSurfaceDataBundle(forwardCurve, strikesAndValues.getFirst(), strikesAndValues.getSecond(), strikesAndValues.getThird());
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.StandardSmileSurfaceDataBundle

  • com.opengamma.analytics.financial.equity.variance.EquityVarianceSwapPricerTest
  • com.opengamma.analytics.financial.equity.variance.EquityVarianceSwapStaticReplicationPricerTest
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVolatilityToPureVolatilitySurfaceConverter
  • com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve
  • com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityPDEGreekCalculator
  • com.opengamma.analytics.financial.model.volatility.smile.fitting.FailingSABRInterpolatorTest
  • com.opengamma.financial.analytics.fudgemsg.FittedVolatilitySurfaceBuilder$StandardSmileSurfaceDataBundleBuilder
  • com.opengamma.financial.analytics.fudgemsg.FittedVolatilitySurfaceBuilderTest
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