Examples of DupireLocalVolatilityCalculator

com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

  public double priceFromImpliedVolsBackwardPDE(final EquityVarianceSwap swap, final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends,
      final SmileSurfaceDataBundle marketVols) {
    ArgumentChecker.notNull(swap, "swap");
    ArgumentChecker.notNull(discountCurve, "discount curve");
    ArgumentChecker.notNull(marketVols, "market volatilities");
    final DupireLocalVolatilityCalculator dupire = new DupireLocalVolatilityCalculator();
    final PureImpliedVolatilitySurface pureSurf = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    final PureLocalVolatilitySurface plv = dupire.getLocalVolatility(pureSurf);
    final double t = swap.getTimeToSettlement();
    final double[] ev = VAR_SWAP_BKW_PDE_CALCULATOR.expectedVariance(spot, discountCurve, dividends, t, plv);
    //TODO while calculating both with and without div correction is go for testing, don't want it for production
    final double res = (swap.correctForDividends() ? ev[0] : ev[1]) / t;
    return res;

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    return new PureLocalVolatilitySurface(FunctionalDoublesSurface.from(func));
  }


  private PureLocalVolatilitySurface getPureLocalVolFromMarket(final double spot, final YieldAndDiscountCurve discountCurve, final AffineDividends dividends,
      final SmileSurfaceDataBundle marketVols) {
    final DupireLocalVolatilityCalculator dCal = new DupireLocalVolatilityCalculator();
    final PureImpliedVolatilitySurface piv = getPureImpliedVolFromMarket(spot, discountCurve, dividends, marketVols);
    return dCal.getLocalVolatility(piv);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator


    return new BlackVolatilitySurfaceStrike(FunctionalDoublesSurface.from(sabrSurface));
  }


  private static LocalVolatilitySurfaceStrike getSABRLocalVolSurface(final double beta, final ForwardCurve forwardCurve) {
    final DupireLocalVolatilityCalculator cal = new DupireLocalVolatilityCalculator();
    final BlackVolatilitySurfaceStrike impVol = getSABRImpliedVolSurface(beta, forwardCurve);
    return cal.getLocalVolatility(impVol, forwardCurve);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator


  //TODO this test does not work for the ConvectionDiffusionPDE1DStandardCoefficients case
  @Test
  (enabled = false)
  public void fokkerPlankTest() {
    final DupireLocalVolatilityCalculator cal = new DupireLocalVolatilityCalculator(1e-4);


    final BlackVolatilitySurfaceStrike volSurface = new BlackVolatilitySurfaceStrike(FunctionalDoublesSurface.from(SABR_VOL_FUNCTION));


    final LocalVolatilitySurfaceStrike localVol = cal.getLocalVolatility(volSurface, new ForwardCurve(SPOT, RATE));


    //    final ZZConvectionDiffusionPDEDataBundle db1 = LocalVolDensity.getConvectionDiffusionPDEDataBundle(FORWARD_CURVE, localVol);
    //    final ExtendedConvectionDiffusionPDEDataBundle db2 = LocalVolDensity.getExtendedConvectionDiffusionPDEDataBundle(FORWARD_CURVE, localVol);


    final int tNodes = 50;

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    // System.out.println("chi^2:" + res.getChiSq() + "\n params: " + res.getParameters().toString());
  }


  @Test(enabled = false)
  public void localVolTest() {
    final DupireLocalVolatilityCalculator cal = new DupireLocalVolatilityCalculator();


    final BlackVolatilitySurfaceStrike volSurface = new BlackVolatilitySurfaceStrike(FunctionalDoublesSurface.from(SABR_VOL_FUNCTION));
    final LocalVolatilitySurfaceStrike localVol = cal.getLocalVolatility(volSurface, new ForwardCurve(SPOT, RATE));


    PDEUtilityTools.printSurface("localVolTest", localVol.getSurface(), 0, 5.0, SPOT / 4.0, SPOT * 4.0);
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    PDEUtilityTools.printSurface("imp vol", ivs.getSurface(), 0.01, 2.0, spot * 0.1, spot * 3.0);


    LocalVolatilitySurfaceStrike lvs = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fc, data);
    PDEUtilityTools.printSurface("local vol", lvs.getSurface(), 0.00, 2.0, spot * 0.1, spot * 3.0);


    DupireLocalVolatilityCalculator cal = new DupireLocalVolatilityCalculator();
    LocalVolatilitySurfaceStrike lv2 = cal.getLocalVolatility(ivs, fc);
    //    PDEUtilityTools.printSurface("local vo2l", lv2.getSurface(), 0.01, 2.0, spot * 0.3, spot * 3.0);


    System.out.println("lv: " + lvs.getVolatility(2.0, 1.7 * spot));
    System.out.println("lv2: " + lv2.getVolatility(2.0, 1.7 * spot));

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    }
  }


  @Test
  public void nonflatTest1() {
    DupireLocalVolatilityCalculator dupire = new DupireLocalVolatilityCalculator();
    final double spot = 0.03;
    final double r = 0.05;
    final ForwardCurve fc = new ForwardCurve(spot, r);
    final double vol = 0.3;
    double[] w = new double[] {0.8, 0.2 };
    double[] sigma = new double[] {0.2, 0.7 };
    MultiHorizonMixedLogNormalModelData data = new MultiHorizonMixedLogNormalModelData(w, sigma);
    BlackVolatilitySurfaceStrike ivs = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fc, data);
    LocalVolatilitySurfaceStrike lvs = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fc, data);
    LocalVolatilitySurfaceStrike lvs2 = dupire.getLocalVolatility(ivs, fc);


    for (int i = 0; i < 100; i++) {
      double t = 5.0 * RANDOM.nextDouble();
      //strikes in range +- 8-sigma 
      double a = 16 * (RANDOM.nextDouble() - 0.5);

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    }
  }


  @Test
  public void nonflatTest2() {
    DupireLocalVolatilityCalculator dupire = new DupireLocalVolatilityCalculator();
    final double spot = 0.03;
    final double r = 0.10;
    final ForwardCurve fc = new ForwardCurve(spot, r);
    final double vol = 0.3;
    double[] w = new double[] {0.9, 0.1 };
    double[] sigma = new double[] {0.2, 0.7 };
    double[] mu = new double[] {0.1, -0.1 };


    MultiHorizonMixedLogNormalModelData data = new MultiHorizonMixedLogNormalModelData(w, sigma, mu);
    BlackVolatilitySurfaceStrike ivs = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fc, data);
    LocalVolatilitySurfaceStrike lvs = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fc, data);
    LocalVolatilitySurfaceStrike lvs2 = dupire.getLocalVolatility(ivs, fc);


    for (int i = 0; i < 100; i++) {
      double t = 5.0 * RANDOM.nextDouble();
      //strikes in range +- 8-sigma 
      double a = 16 * (RANDOM.nextDouble() - 0.5);

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

      throw new OpenGammaRuntimeException("Forward curve was null");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final BlackVolatilitySurface<?> impliedVolatilitySurface = (BlackVolatilitySurface<?>) impliedVolatilitySurfaceObject;
    final ValueProperties properties = getResultProperties(surfaceName, surfaceType, xAxis, yAxis, yAxisType, forwardCurveCalculationMethod, forwardCurveName, hName);
    final DupireLocalVolatilityCalculator calculator = new DupireLocalVolatilityCalculator(h);
    final LocalVolatilitySurface<?> localVolatilitySurface = calculator.getLocalVolatilitySurface(impliedVolatilitySurface, forwardCurve);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
    return Sets.newHashSet(new ComputedValue(spec, localVolatilitySurface));
  }

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Examples of com.opengamma.analytics.financial.model.volatility.local.DupireLocalVolatilityCalculator

    final double spaceGridBunching = Double.parseDouble(spaceGridBunchingName);
    final String pdeDirection = desiredValue.getConstraint(PROPERTY_PDE_DIRECTION);
    if (!(pdeDirection.equals(LocalVolatilityPDEValuePropertyNames.FORWARD_PDE))) {
      throw new OpenGammaRuntimeException("Can only use forward PDE; should never ask for this direction: " + pdeDirection);
    }
    final DupireLocalVolatilityCalculator localVolatilityCalculator = new DupireLocalVolatilityCalculator(h);
    //TODO R White testing using spline rather than SABR - this should be an option
    final GeneralSmileInterpolator smileInterpolator = new SmileInterpolatorSpline();
    final VolatilitySurfaceInterpolator surfaceFitter = new VolatilitySurfaceInterpolator(smileInterpolator, useLogTime, useIntegratedVariance, useLogValue);
    //final PiecewiseSABRSurfaceFitter1<?> surfaceFitter = new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVariance, useLogValue);
    //TODO get rid of hardcoded maxProxydelta = 1.5

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