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

Examples of com.opengamma.analytics.math.interpolation.data.Interpolator1DDoubleQuadraticDataBundle

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    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeRes.getFunctionValue(index + i), 1.0, moneyness[i],
          option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDoubleQuadraticDataBundle db = INTERPOLATOR_1D.getDataBundle(moneyness, vols);
    final double exampleVol = INTERPOLATOR_1D.interpolate(db, x);

    final double shiftAmount = 1e-4; //1bps

    final double[][] res = new double[n][];
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    final double[] fwds = new double[4];
    System.arraycopy(fwdNodes, index, fwds, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeRes.getFunctionValue(index + i), fwds[i], option.getStrike(), option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDoubleQuadraticDataBundle db = INTERPOLATOR_1D.getDataBundle(fwds, vols);
    exampleVol = INTERPOLATOR_1D.interpolate(db, forward);

    final double shiftAmount = 1e-4; //1bps

    final double[][] res = new double[n][];
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    for (int i = 0; i < 4; i++) {
      fwd[i] = grid.getSpaceNode(i + fwdIndex - 1);
      final double price = res.getFunctionValue(i + fwdIndex - 1);
      vol[i] = BlackFormulaRepository.impliedVolatility(price, fwd[i], STRIKE, EXPIRY, true);
    }
    final Interpolator1DDoubleQuadraticDataBundle idb = INTERPOLATOR_1D.getDataBundle(fwd, vol);

    final double sabrVol = SABR_SURFACE.getVolatility(EXPIRY, STRIKE);
    final double modelVol = INTERPOLATOR_1D.interpolate(idb, forward);
    assertEquals("Volatility test", sabrVol, modelVol, 1e-4); //1bps error
  }
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Related Classes of com.opengamma.analytics.math.interpolation.data.Interpolator1DDoubleQuadraticDataBundle

  • com.opengamma.analytics.financial.model.finitedifference.SABRFiniteDifferenceTest
  • com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityTest
  • com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityForwardPDEGreekCalculator1
  • com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityPDEGreekCalculator
  • com.opengamma.analytics.math.function.RealPolynomialFunction1D
  • com.opengamma.analytics.math.interpolation.DoubleQuadraticInterpolator1D
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