Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.GridInterpolator2D

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      }
    }

    final Interpolator1D linearFlat = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    final GridInterpolator2D interpolator = new GridInterpolator2D(linearFlat, linearFlat);
    _volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
    _index = parameters.getIndex();

  }
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      }
    }

    final Interpolator1D linearFlat = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    final GridInterpolator2D interpolator = new GridInterpolator2D(linearFlat, linearFlat);
    _volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
    _index = parameters.getIndex();
  }
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   * Test of VolatilitySurface that doesn't permit extrapolation in strike dimension
   */
  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testSurfaceWithoutStrikeExtrapolation() {
    final CombinedInterpolatorExtrapolator interpOnlyStrike = getInterpolator(Interpolator1DFactory.LINEAR);
    final Interpolator2D interp2D = new GridInterpolator2D(INTERPOLATOR_1D_EXPIRY, interpOnlyStrike);
    final InterpolatedDoublesSurface surface = new InterpolatedDoublesSurface(EXPIRIES, STRIKES, VOLS, interp2D);
    final BlackVolatilitySurfaceStrike volSurface = new BlackVolatilitySurfaceStrike(surface);
    PRICER.expectedVariance(swap1, new StaticReplicationDataBundle(volSurface, DISCOUNT, FORWARD_CURVE));
  }
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   * If the smile/skew translates with the forward, we always expect zero forward sensitivity.
   */
  @Test
  public void testForwardSensitivityForDeltaStrikeParameterisation() {

    final InterpolatedDoublesSurface DELTA_SURFACE = new InterpolatedDoublesSurface(EXPIRIES, CALLDELTAs, VOLS, new GridInterpolator2D(INTERPOLATOR_1D_LINEAR, INTERPOLATOR_1D_DBLQUAD));
    final BlackVolatilitySurfaceDelta DELTA_VOL_SURFACE = new BlackVolatilitySurfaceDelta(DELTA_SURFACE, FORWARD_CURVE);
    final StaticReplicationDataBundle DELTA_MARKET = new StaticReplicationDataBundle(DELTA_VOL_SURFACE, FUNDING, FORWARD_CURVE);

    final double relShift = 0.1;

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  parallelVega = 4583.95175875458
   */
  @Test
  public void testBlackVegaForDeltaSurface() {

    final InterpolatedDoublesSurface DELTA_SURFACE = new InterpolatedDoublesSurface(EXPIRIES, CALLDELTAs, VOLS, new GridInterpolator2D(INTERPOLATOR_1D_LINEAR, INTERPOLATOR_1D_DBLQUAD));
    final BlackVolatilitySurfaceDelta DELTA_VOL_SURFACE = new BlackVolatilitySurfaceDelta(DELTA_SURFACE, FORWARD_CURVE);
    final StaticReplicationDataBundle DELTA_MARKET = new StaticReplicationDataBundle(DELTA_VOL_SURFACE, FUNDING, FORWARD_CURVE);

    // Compute the surface
    final NodalDoublesSurface vegaSurface = DELTA_CAL.calcBlackVegaForEntireSurface(swapStartsNow, DELTA_MARKET);
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    Validate.notNull(kRightExtrapolatorName, "k right extrapolator name");
    _definitionName = definitionName;
    _instrumentType = instrumentType;
    final Interpolator1D tInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(tInterpolatorName, tLeftExtrapolatorName, tRightExtrapolatorName);
    final Interpolator1D kInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(kInterpolatorName, kLeftExtrapolatorName, kRightExtrapolatorName);
    _interpolator = new GridInterpolator2D(tInterpolator, kInterpolator);
  }
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      serializer.addToMessage(message, Y_FIELD_NAME, null, object.getYInterpolator());
    }

    @Override
    public GridInterpolator2D buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      return new GridInterpolator2D(deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(X_FIELD_NAME)),
          deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(Y_FIELD_NAME)));
    }
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  @Test
  public void testInterpolatedVolatilitySurface() {
    final double sigma = 0.4;
    final Interpolator1D linear = new LinearInterpolator1D();
    final Interpolator2D interpolator = new GridInterpolator2D(linear, linear);
    final Map<DoublesPair, Double> data = new HashMap<>();
    data.put(Pair.of(0., 1.), sigma);
    data.put(Pair.of(1., 0.), sigma);
    data.put(Pair.of(0., 0.), sigma);
    data.put(Pair.of(1., 1.), sigma);
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   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2,
        5, 10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
        0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, new GridInterpolator2D(LINEAR, LINEAR));
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5,
        0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
        -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, new GridInterpolator2D(LINEAR, LINEAR));
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
        0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, new GridInterpolator2D(LINEAR, LINEAR));
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift,
        0.05 + shift, 0.05 + shift, 0.05 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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