Package com.opengamma.financial.analytics.volatility.fittedresults

Examples of com.opengamma.financial.analytics.volatility.fittedresults.HestonFittedSurfaces

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      final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
      for (int i = 0; i < pairFields.size(); i++) {
        final DoubleMatrix2D matrix = deserializer.fieldValueToObject(DoubleMatrix2D.class, matricesFields.get(i));
        inverseJacobians.put((DoublesPair) deserializer.fieldValueToObject(Pair.class, pairFields.get(i)), matrix);
      }
      return new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
    }
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    final InterpolatedDoublesSurface rhoSurface = TestsDataSets.createSABR1AlphaBumped().getRhoSurface();
    final Currency currency = Currency.AUD;
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
    inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
    inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
    final HestonFittedSurfaces fits = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
    assertEquals(fits, cycleObject(HestonFittedSurfaces.class, fits));
  }
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    final InterpolatedDoublesSurface kappaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, kappa, INTERPOLATOR, "Heston kappa surface");
    final InterpolatedDoublesSurface thetaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, theta, INTERPOLATOR, "Heston theta surface");
    final InterpolatedDoublesSurface vol0Surface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, vol0, INTERPOLATOR, "Heston vol0 surface");
    final InterpolatedDoublesSurface omegaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, omega, INTERPOLATOR, "Heston omega surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, INTERPOLATOR, "Heston rho surface");
    final HestonFittedSurfaces fittedSurfaces = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, _currency);
    return Sets.newHashSet(new ComputedValue(_resultSpecification, fittedSurfaces));
  }
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      @SuppressWarnings("synthetic-access")
      final Object surfacesObject = inputs.getValue(ValueRequirementNames.HESTON_SURFACES);
      if (surfacesObject == null) {
        throw new OpenGammaRuntimeException("Could not get heston surface");
      }
      final HestonFittedSurfaces surfaces = (HestonFittedSurfaces) surfacesObject;
      if (!surfaces.getCurrency().equals(currency)) {
        throw new OpenGammaRuntimeException("Currency mismatch between heston curves and trade");
      }
      final InterpolatedDoublesSurface kappaSurface = surfaces.getKappaSurface();
      final InterpolatedDoublesSurface thetaSurface = surfaces.getThetaSurface();
      final InterpolatedDoublesSurface vol0Surface = surfaces.getVol0Surface();
      final InterpolatedDoublesSurface omegaSurface = surfaces.getOmegaSurface();
      final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
      return new HestonCharacteristicExponent(kappaSurface.getZValue(t, k), thetaSurface.getZValue(t, k), vol0Surface.getZValue(t, k), omegaSurface.getZValue(t, k), rhoSurface.getZValue(t, k));
    }
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    final InterpolatedDoublesSurface kappaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, kappa, INTERPOLATOR, "Heston kappa surface");
    final InterpolatedDoublesSurface thetaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, theta, INTERPOLATOR, "Heston theta surface");
    final InterpolatedDoublesSurface vol0Surface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, vol0, INTERPOLATOR, "Heston vol0 surface");
    final InterpolatedDoublesSurface omegaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, omega, INTERPOLATOR, "Heston omega surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, INTERPOLATOR, "Heston rho surface");
    final HestonFittedSurfaces fittedSurfaces = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
    final ValueProperties resultProperties = createValueProperties()
        .with(ValuePropertyNames.CURRENCY, currency.getCode())
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
    final ValueSpecification resultSpecification = new ValueSpecification(ValueRequirementNames.HESTON_SURFACES, target.toSpecification(), resultProperties);
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Related Classes of com.opengamma.financial.analytics.volatility.fittedresults.HestonFittedSurfaces

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  • com.opengamma.financial.analytics.fudgemsg.SmileFittedSurfacesBuilder$HestonFittedSurfacesFudgeBuilder
  • com.opengamma.financial.analytics.model.irfutureoption.InterestRateFutureOptionHestonPresentValueFunction$MyDerivativeVisitor
  • com.opengamma.financial.analytics.model.volatility.surface.HestonFourierIRFutureSurfaceFittingFunction
  • com.opengamma.financial.analytics.model.volatility.surface.HestonFourierIRFutureSurfaceFittingFunctionDeprecated
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