Examples of com.opengamma.financial.analytics.volatility.surface.FunctionalVolatilitySurfaceData

    final double yMinimum = message.getDouble(Y_MINIMUM_FIELD);
    final double yMaximum = message.getDouble(Y_MAXIMUM_FIELD);
    final int nY = message.getInt(Y_SAMPLES_FIELD);
    final double zMinimum = message.getDouble(Z_MINIMUM_FIELD);
    final double zMaximum = message.getDouble(Z_MAXIMUM_FIELD);
    return new FunctionalVolatilitySurfaceData(surface, xLabel, xMinimum, xMaximum, nX, yLabel, yMinimum, yMaximum, nY, zMinimum, zMaximum);
  }

    final double[][] strikes = strikesAndValues.getSecond();
    final double[][] prices = strikesAndValues.getThird();
    final VolatilitySurfaceInterpolator surfaceInterpolator = (VolatilitySurfaceInterpolator) interpolatorObject;
    final PureImpliedVolatilitySurface pureSurface = EquityVolatilityToPureVolatilitySurfaceConverter.getConvertedSurface(spot, curve, dividends, expiries, strikes, prices,
        surfaceInterpolator);
    final FunctionalVolatilitySurfaceData surfaceData = new FunctionalVolatilitySurfaceData(pureSurface, X_LABEL, expiries[0], expiries[expiries.length - 1], 25, Y_LABEL,
        0.25, 1.75, 50, 0, 0.6);
    final ValueProperties properties = getResultProperties(desiredValue);
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.PURE_VOLATILITY_SURFACE, target.toSpecification(), properties), surfaceData));
  }

Examples of com.opengamma.financial.analytics.volatility.surface.FunctionalVolatilitySurfaceData

Related Classes of com.opengamma.financial.analytics.volatility.surface.FunctionalVolatilitySurfaceData