Examples of PDE1DCoefficientsProvider

Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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  private final PDE1DCoefficientsProvider _pdeProvider;
  private final InitialConditionsProvider _initialCondProvider;
  private final ThetaMethodFiniteDifference _solver;

  public LocalVolatilityPDECalculator(final double theta) {
    _pdeProvider = new PDE1DCoefficientsProvider();
    _initialCondProvider = new InitialConditionsProvider();
    _solver = new ThetaMethodFiniteDifference(theta, false);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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  private PDEFullResults1D runForwardPDESolver(final ForwardCurve forwardCurve, final LocalVolatilitySurface<?> localVolatility,
      final boolean isCall, final double theta, final double maxT, final double maxAbsProxyDelta, final int
      nTimeSteps, final int nStrikeSteps, final double timeMeshLambda, final double strikeMeshBunching, final double centreMoneyness) {

    final PDE1DCoefficientsProvider provider = new PDE1DCoefficientsProvider();
    ConvectionDiffusionPDE1DCoefficients pde;
    if (localVolatility instanceof LocalVolatilitySurfaceStrike) {
      pde = provider.getForwardLocalVol(forwardCurve, (LocalVolatilitySurfaceStrike) localVolatility);
    } else if (localVolatility instanceof LocalVolatilitySurfaceMoneyness) {
      pde = provider.getForwardLocalVol((LocalVolatilitySurfaceMoneyness) localVolatility);
    } else {
      throw new IllegalArgumentException();
    }
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, true);
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Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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   */
  private PDEFullResults1D runForwardPDESolver(final LocalVolatilitySurfaceMoneyness localVolatility, final boolean isCall,
      final double theta, final double maxT, final double maxAbsProxyDelta, final int nTimeSteps, final int nStrikeSteps,
      final double timeMeshLambda, final double strikeMeshBunching, final double centreMoneyness) {

    final PDE1DCoefficientsProvider provider = new PDE1DCoefficientsProvider();
    final ConvectionDiffusionPDE1DCoefficients pde = provider.getForwardLocalVol(localVolatility);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, true);

    final double minMoneyness = Math.exp(-maxAbsProxyDelta * Math.sqrt(maxT));
    final double maxMoneyness = 1.0 / minMoneyness;
    ArgumentChecker.isTrue(minMoneyness < centreMoneyness, "min moneyness of {} greater than centreMoneyness of {}. Increase maxAbsProxydelta", minMoneyness, centreMoneyness);
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Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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  private PDEResults1D runBackwardsPDESolver(final double strike, final LocalVolatilitySurfaceStrike localVolatility, final boolean isCall,
      final double theta, final double expiry, final double maxFwd, final int
      nTimeNodes, final int nFwdNodes, final double timeMeshLambda, final double spotMeshBunching, final double fwdNodeCentre) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();

    final PDE1DCoefficientsProvider pdeProvider = new PDE1DCoefficientsProvider();
    final InitialConditionsProvider intProvider = new InitialConditionsProvider();
    final ConvectionDiffusionPDE1DCoefficients pde = pdeProvider.getBackwardsLocalVol(forwardCurve, expiry, localVolatility);
    final Function1D<Double, Double> payoff = intProvider.getEuropeanPayoff(strike, isCall);
    // final ZZConvectionDiffusionPDEDataBundle db = provider.getBackwardsLocalVol(strike, expiry, isCall, localVolatility, forwardCurve);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);

    BoundaryCondition lower;
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Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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    PDEUtilityTools.printSurface("ABs Loc Vol", ABS_LOCAL_VOL.getSurface(), 0., 5., 0.1 * SPOT, 3 * SPOT);
  }

  @Test
  public void pdePriceTest() {
    final PDE1DCoefficientsProvider pde_provider = new PDE1DCoefficientsProvider();
    final InitialConditionsProvider int_provider = new InitialConditionsProvider();
    //final ZZConvectionDiffusionPDEDataBundle db = provider.getBackwardsLocalVol(STRIKE, EXPIRY, true, LOCAL_VOL, FORWARD_CURVE);
    final ConvectionDiffusionPDE1DCoefficients pde = pde_provider.getBackwardsLocalVol(FORWARD_CURVE, EXPIRY, LOCAL_VOL);
    final Function1D<Double, Double> payoff = int_provider.getEuropeanPayoff(STRIKE, true);
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(0.5, false);
    final double forward = FORWARD_CURVE.getForward(EXPIRY);

    final int nTimeNodes = 50;
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Examples of com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider

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   * with the result from the implied volatility surface. Neither solving the forward nor the backwards PDE give great accuracy
   */
  @Test
  public void shortDatedOptionTest() {
    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(0.5, false);
    final PDE1DCoefficientsProvider pdeProvider = new PDE1DCoefficientsProvider();
    final InitialConditionsProvider initialConProvider = new InitialConditionsProvider();

    //set up the mixed log-normal model
    final double[] weights = new double[] {0.1, 0.8, 0.1 };
    final double[] sigmas = new double[] {0.15, 0.5, 0.9 };
    final double[] mus = new double[] {-0.1, 0, 0.1 };

    final MultiHorizonMixedLogNormalModelData mlnData = new MultiHorizonMixedLogNormalModelData(weights, sigmas, mus);
    final double spot = 100.;
    final double r = 0.1;
    final ForwardCurve fwdCurve = new ForwardCurve(spot, r);

    final double t = 1.0 / 365.;
    final double rootT = Math.sqrt(t);
    final double fwd = fwdCurve.getForward(t);

    BlackVolatilitySurfaceStrike ivs = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fwdCurve, mlnData);
    LocalVolatilitySurfaceStrike lvs = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fwdCurve, mlnData);
    LocalVolatilitySurfaceMoneyness lvsm = LocalVolatilitySurfaceConverter.toMoneynessSurface(lvs, fwdCurve);

    //    PDEUtilityTools.printSurface("imp vol", ivs.getSurface(), 0, t, 0.9, 1.1);
    //    DupireLocalVolatilityCalculator dupire = new DupireLocalVolatilityCalculator();
    //    LocalVolatilitySurfaceMoneyness dlv = dupire.getLocalVolatility(BlackVolatilitySurfaceConverter.toMoneynessSurface(ivs, fwdCurve));
    //    PDEUtilityTools.printSurface("local vol (dupire)", dlv.getSurface(), 0, t, 0.99, 1.01);
    //    PDEUtilityTools.printSurface("local vol", lvsm.getSurface(), 0, t, 0.99, 1.01);

    //set up for solving the forward PDE
    //TODO shunt this setup into its own class
    ConvectionDiffusionPDE1DStandardCoefficients pde = pdeProvider.getForwardLocalVol(lvsm);
    Function1D<Double, Double> initialCond = initialConProvider.getForwardCallPut(true);
    double xL = 0.8;
    double xH = 1.2;
    BoundaryCondition lower = new NeumannBoundaryCondition(-1.0, xL, true);
    BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMeshF = new HyperbolicMeshing(xL, xH, 1.0, 200, 0.001);
    final MeshingFunction timeMeshF = new ExponentialMeshing(0, t, 50, 4.0);
    final MeshingFunction timeMeshB = new DoubleExponentialMeshing(0, t, t / 2, 50, 2.0, -4.0);
    final PDEGrid1D grid = new PDEGrid1D(timeMeshF, spaceMeshF);
    PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dbF = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initialCond, lower, upper, grid);
    PDETerminalResults1D res = (PDETerminalResults1D) solver.solve(dbF);
    final double minK = Math.exp(-6 * rootT);
    final double maxK = Math.exp(6 * rootT);
    Map<Double, Double> vols = PDEUtilityTools.priceToImpliedVol(fwdCurve, t, res, minK, maxK, true);
    DoubleQuadraticInterpolator1D interpolator = Interpolator1DFactory.DOUBLE_QUADRATIC_INSTANCE;
    Interpolator1DDataBundle idb = interpolator.getDataBundle(vols);

    //set up for solving backwards PDE
    ConvectionDiffusionPDE1DStandardCoefficients pdeB = pdeProvider.getBackwardsLocalVol(t, lvsm);
    double sL = xL * spot;
    double sH = xH * spot;
    final MeshingFunction spaceMeshB = new HyperbolicMeshing(sL, sH, spot, 200, 0.001);
    final PDEGrid1D gridB = new PDEGrid1D(timeMeshB, spaceMeshB);
    int index = SurfaceArrayUtils.getLowerBoundIndex(gridB.getSpaceNodes(), spot);
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