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

Examples of com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle

48
49
50
51
52
53
54
55
      upperIndex -= diff;
      lowerIndex -= diff;
    }
    final double[] x = Arrays.copyOfRange(data.getKeys(), lowerIndex, upperIndex + 1);
    final double[] y = Arrays.copyOfRange(data.getValues(), lowerIndex, upperIndex + 1);
    final Interpolator1DDataBundle truncatedData = getDataBundleFromSortedArrays(x, y);
    return _interpolator.interpolate(truncatedData, value);
  }
View Full Code Here
80
81
82
83
84
85
86
87
  }

  @Override
  public Double evaluate(Double x) {
    StepInterpolator1D interpolator = new StepInterpolator1D();
    Interpolator1DDataBundle dataBundle = interpolator.getDataBundleFromSortedArrays(_steps, _monthlyCumulativeFactors);
    return interpolator.interpolate(dataBundle, x);
  }
View Full Code Here
59
60
61
62
63
64
65
66
67
68
69
    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
          expiry, option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
View Full Code Here
108
109
110
111
112
113
114
115
116
117
118
    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
          expiry, option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
View Full Code Here
25
26
27
28
29
30
31
32
  }

  @Override
  public Double getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final double strike = option.getStrike();
    final Interpolator1DDataBundle data = _calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return _interpolator.interpolate(data, strike);
  }
View Full Code Here
32
33
34
35
36
37
38
39
  }

  @Override
  public Double getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final double strike = option.getStrike();
    final Interpolator1DDataBundle data = _calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return _interpolator.interpolate(data, strike);
  }
View Full Code Here
25
26
27
28
29
30
31
32
  @Override
  public Double getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final Interpolator1DDataBundle data = _priceCalculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return _interpolator.interpolate(data, forward);
  }
View Full Code Here
33
34
35
36
37
38
39
40
  @Override
  public Double getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final Interpolator1DDataBundle data = _priceCalculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return _interpolator.interpolate(data, forward);
  }
View Full Code Here
58
59
60
61
62
63
64
65
66
67
68
    final double[] fwds = new double[4];
    System.arraycopy(xNodes, index, fwds, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), fwds[i], option.getStrike(), option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(fwds, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
    final double[] fwds = new double[4];
    System.arraycopy(xNodes, index, fwds, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), fwds[i], option.getStrike(), option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(fwds, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle

  • com.opengamma.analytics.financial.greeks.PDEResultCollection
  • com.opengamma.analytics.financial.interestrate.capletstripping.CapletStrippingAbsoluteStrikeInterpolation
  • com.opengamma.analytics.financial.interestrate.NodeSensitivityCalculatorTestBase
  • com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator
  • com.opengamma.analytics.financial.interestrate.ParameterSensitivityCalculatorTestBase
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffWithDividendsTest
  • com.opengamma.analytics.financial.model.finitedifference.HestonPDETestCase
  • com.opengamma.analytics.financial.model.finitedifference.UniformMeshing
  • com.opengamma.analytics.financial.model.interestrate.curve.SeasonalFunction
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.