Examples of PDEGrid1D

Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  public abstract PDETerminalResults1D runPDESolver(final LocalVolatilitySurfaceMoneyness localVolatility, final EuropeanVanillaOption option);

  public abstract PDETerminalResults1D runPDESolver(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option);

  protected PDEGrid1D getGrid(final MeshingFunction timeMesh, final MeshingFunction spaceMesh) {
    return new PDEGrid1D(timeMesh, spaceMesh);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  @Override
  public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
      final YieldAndDiscountCurve discountingCurve) {
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDEGrid1D grid = pdeGrid.getGrid();
    final double expiry = option.getTimeToExpiry();
    final boolean isCall = option.isCall();
    final double strike = option.getStrike();
    final double forward = forwardCurve.getForward(expiry);
    final double[] moneynesses = grid.getSpaceNodes();
    final double[] modifiedPrices = pdeGrid.getTerminalResults();
    final int n = modifiedPrices.length;
    final DoubleArrayList strikes = new DoubleArrayList();
    final DoubleArrayList prices = new DoubleArrayList();
    for (int i = 0; i < n; i++) {
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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      lower = new DirichletBoundaryCondition(0.0, minMoneyness);
      upper = new NeumannBoundaryCondition(1.0, maxMoneyness, false);
    }
    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, maxT, nTimeSteps, timeMeshLambda);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(minMoneyness, maxMoneyness, centreMoneyness, nStrikeSteps, strikeMeshBunching);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> initialCond = (new InitialConditionsProvider()).getForwardCallPut(isCall);
    final PDEFullResults1D res = (PDEFullResults1D) solver.solve(new PDE1DDataBundle<>(pde, initialCond, lower, upper, grid));
    return res;
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  @Override
  public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
      final YieldAndDiscountCurve discountingCurve) {
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDEGrid1D grid = pdeGrid.getGrid();
    final double df = discountingCurve.getDiscountFactor(option.getTimeToExpiry());
    final double[] forwards = grid.getSpaceNodes();
    final double[] forwardPrices = pdeGrid.getTerminalResults();
    final int n = forwards.length;
    final double[] prices = new double[n];
    for (int i = 0; i < n; i++) {
      prices[i] = forwardPrices[i] * df;
 
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  @Override
  public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
      final YieldAndDiscountCurve discountingCurve) {
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, forwardCurve, option);
    final PDEGrid1D grid = pdeGrid.getGrid();
    final double[] forwards = grid.getSpaceNodes();
    final double[] forwardPrices = pdeGrid.getTerminalResults();
    return _interpolator.getDataBundleFromSortedArrays(forwards, forwardPrices);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    final double forward = localVolatility.getForwardCurve().getForward(expiry);
    final double strike = option.getStrike();
    final double maxForward = forward * _maxMoneyness;
    final BoundaryCondition lower = getLowerBoundaryCondition(option, strike);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, _maxMoneyness * forward);
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(maxForward, forward));
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getBackwardsLocalVol(expiry, localVolatility);
    final Function1D<Double, Double> payoff = getInitialConditionProvider().getEuropeanPayoff(strike, isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    final double forward = forwardCurve.getForward(expiry);
    final double strike = option.getStrike();
    final double maxForward = forward * _maxMoneyness;
    final BoundaryCondition lower = getLowerBoundaryCondition(option, strike);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, expiry);
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(maxForward, forward));
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getBackwardsLocalVol(forwardCurve, expiry, localVolatility);
    final Function1D<Double, Double> payoff = getInitialConditionProvider().getEuropeanPayoff(strike, isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  @Override
  public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
      final YieldAndDiscountCurve discountingCurve) {
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDEGrid1D grid = pdeGrid.getGrid();
    final double expiry = option.getTimeToExpiry();
    final boolean isCall = option.isCall();
    final double forward = forwardCurve.getForward(expiry);
    final double[] moneynesses = grid.getSpaceNodes();
    final double[] modifiedPrices = pdeGrid.getTerminalResults();
    final int n = modifiedPrices.length;
    double[] strikes = new double[n];
    double[] impliedVols = new double[n];
    int count = 0;
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  public PDETerminalResults1D runPDESolver(final LocalVolatilitySurfaceMoneyness localVolatility, final EuropeanVanillaOption option) {
    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double minMoneyness = Math.exp(-_maxProxyDelta * Math.sqrt(expiry));
    final double maxMoneyness = 1.0 / minMoneyness;
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(minMoneyness, maxMoneyness));
    final BoundaryCondition lower = getLowerBoundaryCondition(option, minMoneyness);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, maxMoneyness);
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getForwardLocalVol(localVolatility);
    final Function1D<Double, Double> intCond = getInitialConditionProvider().getForwardCallPut(isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, intCond, lower, upper, grid);
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  public PDETerminalResults1D runPDESolver(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option) {
    final boolean isCall = option.isCall();
    final double expiry = option.getTimeToExpiry();
    final double minMoneyness = Math.exp(-_maxProxyDelta * Math.sqrt(expiry));
    final double maxMoneyness = 1.0 / minMoneyness;
    final PDEGrid1D grid = getGrid(getTimeMesh(expiry), getSpaceMesh(minMoneyness, maxMoneyness));
    final BoundaryCondition lower = getLowerBoundaryCondition(option, minMoneyness);
    final BoundaryCondition upper = getUpperBoundaryCondition(option, maxMoneyness);
    final ConvectionDiffusionPDE1DCoefficients pde = getPDEProvider().getForwardLocalVol(forwardCurve, localVolatility);
    final Function1D<Double, Double> intCond = getInitialConditionProvider().getForwardCallPut(isCall);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, intCond, lower, upper, grid);
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