Package com.opengamma.analytics.math.surface

Examples of com.opengamma.analytics.math.surface.ConstantDoublesSurface

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    assertEquals(vs1, vs2);
  }

  @Test
  public void testMoneynessSurface() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final BlackVolatilitySurfaceMoneyness moneyness1 = new BlackVolatilitySurfaceMoneyness(surface, curve);
    BlackVolatilitySurfaceMoneyness moneyness2 = cycleObject(BlackVolatilitySurfaceMoneyness.class, moneyness1);
    assertEquals(moneyness1, moneyness2);
    moneyness2 = cycleObject(BlackVolatilitySurfaceMoneyness.class, new BlackVolatilitySurfaceMoneyness(moneyness1));
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    assertEquals(moneyness1, moneyness2);
  }

  @Test
  public void testMoneynessSurfaceBackedByGrid() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final StandardSmileSurfaceDataBundle gridData = new StandardSmileSurfaceDataBundle(100.0, new double[] {101,102,103}, new double[] {1,2,3},
        new double[][] {{80,80},{100,100},{120,120}}, new double[][] {{.3,.25},{.2,.2},{.3,.25}}, new LinearInterpolator1D() );
    final VolatilitySurfaceInterpolator interpolator = new VolatilitySurfaceInterpolator();
    final BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness1 = new BlackVolatilitySurfaceMoneynessFcnBackedByGrid(surface, curve, gridData, interpolator);
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Related Classes of com.opengamma.analytics.math.surface.ConstantDoublesSurface

  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySurfaceTest
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