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

Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData

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        final double a = mp.getEntry(0);
        final double b = mp.getEntry(1);
        final double rho = mp.getEntry(2);
        final double sigma = mp.getEntry(3);
        final double m = mp.getEntry(4);
        final SVIFormulaData newData = new SVIFormulaData(a, b, rho, sigma, m);
        return FORMULA.getVolatilityFunction(new EuropeanVanillaOption(strike, maturity, true), forward).evaluate(newData);
      }
    };

    final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
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    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }

  @Override
  protected SVIFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
    return new SVIFormulaData(modelParameters.getData());
  }
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    return new SVIVolatilityFunction();
  }

  @Override
  SVIFormulaData getModelData() {
    return new SVIFormulaData(A, B, RHO, NU, M);
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData

  • com.opengamma.analytics.financial.model.volatility.smile.fitting.SVIModelFitter
  • com.opengamma.analytics.financial.model.volatility.smile.fitting.SVIModelFitterTest
  • com.opengamma.analytics.financial.model.volatility.smile.fitting.SVINonLinearLeastSquareFitter
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