Package com.opengamma.analytics.financial.model.volatility.surface

Examples of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator

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    final Triple<double[], double[][], double[][]> strikesAndValues = BlackVolatilitySurfaceUtils.getStrippedStrikesAndValues(volatilitySurfaceData);
    final double[] expiryNumber = strikesAndValues.getFirst();
    final double[] expiries = getExpiries(expiryNumber, date);
    final double[][] strikes = strikesAndValues.getSecond();
    final double[][] prices = strikesAndValues.getThird();
    final VolatilitySurfaceInterpolator surfaceInterpolator = (VolatilitySurfaceInterpolator) interpolatorObject;
    final PureImpliedVolatilitySurface pureSurface = EquityVolatilityToPureVolatilitySurfaceConverter.getConvertedSurface(spot, curve, dividends, expiries, strikes, prices,
        surfaceInterpolator);
    final FunctionalVolatilitySurfaceData surfaceData = new FunctionalVolatilitySurfaceData(pureSurface, X_LABEL, expiries[0], expiries[expiries.length - 1], 25, Y_LABEL,
        0.25, 1.75, 50, 0, 0.6);
    final ValueProperties properties = getResultProperties(desiredValue);
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    final String surfaceName = desiredValue.getConstraint(SURFACE);
    final String curveCalculationMethodName = desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
    final String forwardCurveName = desiredValue.getConstraint(CURVE);
    //TODO R White testing using spline rather than SABR - this should be an option
    final GeneralSmileInterpolator smileInterpolator = new SmileInterpolatorSpline();
    final VolatilitySurfaceInterpolator surfaceFitter = new VolatilitySurfaceInterpolator(smileInterpolator, useLogTime, useIntegratedVariance, useLogValue);
    //  final PiecewiseSABRSurfaceFitter1<?> surfaceFitter = new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVariance, useLogValue);
    final SmileSurfaceDataBundle data = getData(inputs, getVolatilityDataRequirement(target, surfaceName), getForwardCurveRequirement(target, curveCalculationMethodName, forwardCurveName));
    final BlackVolatilitySurface<?> impliedVolatilitySurface = surfaceFitter.getVolatilitySurface(data);
    final ValueProperties properties = getResultProperties(surfaceName, surfaceType, xAxis, yAxis, yAxisType, curveCalculationMethodName,
        forwardCurveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PIECEWISE_SABR_VOL_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
  }
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      throw new OpenGammaRuntimeException("Can only use forward PDE; should never ask for this direction: " + pdeDirection);
    }
    final DupireLocalVolatilityCalculator localVolatilityCalculator = new DupireLocalVolatilityCalculator(h);
    //TODO R White testing using spline rather than SABR - this should be an option
    final GeneralSmileInterpolator smileInterpolator = new SmileInterpolatorSpline();
    final VolatilitySurfaceInterpolator surfaceFitter = new VolatilitySurfaceInterpolator(smileInterpolator, useLogTime, useIntegratedVariance, useLogValue);
    //final PiecewiseSABRSurfaceFitter1<?> surfaceFitter = new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVariance, useLogValue);
    //TODO get rid of hardcoded maxProxydelta = 1.5
    final LocalVolatilityForwardPDEGreekCalculator1<?> calculator = new LocalVolatilityForwardPDEGreekCalculator1<Moneyness>(theta, timeSteps, spaceSteps, timeGridBunching, spaceGridBunching,
        /*(MoneynessPiecewiseSABRSurfaceFitter)*/surfaceFitter, localVolatilityCalculator, 1.5);
    final ValueSpecification spec = new ValueSpecification(desiredValue.getValueName(), target.toSpecification(), desiredValue.getConstraints());
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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Object interpolatorObject = inputs.getValue(ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR);
    if (interpolatorObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface interpolator");
    }
    final VolatilitySurfaceInterpolator surfaceInterpolator = (VolatilitySurfaceInterpolator) interpolatorObject;
    final SmileSurfaceDataBundle data = getData(inputs);
    final BlackVolatilitySurfaceMoneyness impliedVolatilitySurface = surfaceInterpolator.getVolatilitySurface(data);
    final ValueProperties properties = getResultProperties(desiredValue);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator

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  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.model.volatility.smile.fitting.FailingSABRInterpolatorTest
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  • com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle
  • com.opengamma.analytics.util.serialization.InvokedSerializedForm
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmile$VolatilitySurfaceInterpolatorBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySmileTest
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySurface$BlackVolatilitySurfaceMoneynessWithGridBuilder
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