Package com.opengamma.analytics.math.interpolation.data

Examples of com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle

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    final double timeToExpiration = 0.05;
    final double strike = 1.45;
    final SmileDeltaParameters smile = new SmileDeltaParameters(timeToExpiration, ATM[0], DELTA, RISK_REVERSAL[0], STRANGLE[0]);
    final double[] strikes = smile.getStrike(forward);
    final double[] vol = smile.getVolatility();
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final double volExpected = INTERPOLATOR_STRIKE.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
  }
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    final double timeToExpiration = 5.00;
    final double strike = 1.45;
    final SmileDeltaParameters smile = new SmileDeltaParameters(timeToExpiration, ATM[NB_EXP - 1], DELTA, RISK_REVERSAL[NB_EXP - 1], STRANGLE[NB_EXP - 1]);
    final double[] strikes = smile.getStrike(forward);
    final double[] vol = smile.getVolatility();
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final double volExpected = INTERPOLATOR_STRIKE.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
  }
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    for (int loopvol = 0; loopvol < vol050.length; loopvol++) {
      vol[loopvol] = Math.sqrt(((vol050[loopvol] * vol050[loopvol] * TIME_TO_EXPIRY[2] + vol100[loopvol] * vol100[loopvol] * TIME_TO_EXPIRY[3]) / 2.0) / timeToExpiration);
    }
    final SmileDeltaParameters smile = new SmileDeltaParameters(timeToExpiration, DELTA, vol);
    final double[] strikes = smile.getStrike(forward);
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    final double volExpected = interpolator.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
    final double volTriple = SMILE_TERM.getVolatility(new Triple<>(timeToExpiration, strike, forward));
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    final double[] volatilityT = new double[nbVol];
    final double[] variancePeriod0 = new double[nbVol];
    final double[] variancePeriod1 = new double[nbVol];
    for (int loopexp = 0; loopexp < nbExp; loopexp++) {
      expiries[loopexp] = loopexp * expiryMax / nbExp;
      final ArrayInterpolator1DDataBundle interpData = new ArrayInterpolator1DDataBundle(TIME_TO_EXPIRY, new double[NB_EXP]);
      final int indexLower = interpData.getLowerBoundIndex(expiries[loopexp]);
      if (expiries[loopexp] < 1.0E-10) {
        for (int loopvol = 0; loopvol < nbVol; loopvol++) {
          volatilityT[loopvol] = SMILE_TERM.getVolatilityTerm()[indexLower].getVolatility()[loopvol];
        }
      } else {
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Related Classes of com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle

  • com.opengamma.analytics.financial.credit.cds.ISDAExtrapolator1D
  • com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D
  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParameters
  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolationTest
  • com.opengamma.analytics.math.interpolation.BarycentricRationalFunctionInterpolator1D
  • com.opengamma.analytics.math.interpolation.ClampedCubicSplineInterpolator1D
  • com.opengamma.analytics.math.interpolation.DoubleQuadraticInterpolator1D
  • com.opengamma.analytics.math.interpolation.ExponentialInterpolator1D
  • com.opengamma.analytics.math.interpolation.LinearInterpolator1D
  • com.opengamma.analytics.math.interpolation.LogLinearInterpolator1D
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