Examples of PDETerminalResults1D

Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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    final int n = marketData.getNumExpiries();
    final double[][] strikes = marketData.getStrikes();
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final double x = option.getStrike() / forward;
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final int spaceSteps = _pdeCalculator.getNSpaceSteps();
    final double[] xNodes = pdeGrid.getGrid().getSpaceNodes();
    int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, x);
    if (index >= 1) {
      index--;
    }
    if (index >= spaceSteps - 1) {
      index--;
      if (index >= spaceSteps - 1) {
        index--;
      }
    }
    final double[] vols = new double[4];
    final double[] fwds = new double[4];
    System.arraycopy(xNodes, index, fwds, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), fwds[i], option.getStrike(), option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(fwds, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
      for (int j = 0; j < m; j++) {
        final BlackVolatilitySurfaceMoneyness bumpedSurface = _surfaceInterpolator.getBumpedVolatilitySurface(marketData, i, j, SHIFT);
        final LocalVolatilitySurfaceStrike bumpedLV = LocalVolatilitySurfaceConverter.toStrikeSurface(_dupireCalculator.getLocalVolatility(bumpedSurface));
        final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, forwardCurve, option);
        for (int k = 0; k < 4; k++) {
          vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), fwds[k], option.getStrike(), expiry, option.isCall());
        }
        db = _interpolator.getDataBundle(fwds, vols);
        final double vol = _interpolator.interpolate(db, x);
        res[i][j] = (vol - exampleVol) / SHIFT;
      }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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    final int n = marketData.getNumExpiries();
    final double[][] strikes = marketData.getStrikes();
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final double x = option.getStrike() / forward;
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, forwardCurve, option);
    final int spaceSteps = _pdeCalculator.getNSpaceSteps();
    final double[] xNodes = pdeGrid.getGrid().getSpaceNodes();
    int index = SurfaceArrayUtils.getLowerBoundIndex(xNodes, x);
    if (index >= 1) {
      index--;
    }
    if (index >= spaceSteps - 1) {
      index--;
      if (index >= spaceSteps - 1) {
        index--;
      }
    }
    final double[] vols = new double[4];
    final double[] fwds = new double[4];
    System.arraycopy(xNodes, index, fwds, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), fwds[i], option.getStrike(), option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(fwds, vols);
    final double exampleVol = _interpolator.interpolate(db, x);
    final double[][] res = new double[n][];
    for (int i = 0; i < n; i++) {
      final int m = strikes[i].length;
      res[i] = new double[m];
      for (int j = 0; j < m; j++) {
        final BlackVolatilitySurfaceMoneyness bumpedSurface = _surfaceInterpolator.getBumpedVolatilitySurface(marketData, i, j, SHIFT);
        final LocalVolatilitySurfaceStrike bumpedLV = LocalVolatilitySurfaceConverter.toStrikeSurface(_dupireCalculator.getLocalVolatility(bumpedSurface));
        final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, forwardCurve, option);
        for (int k = 0; k < 4; k++) {
          vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), fwds[k], option.getStrike(), expiry, option.isCall());
        }
        db = _interpolator.getDataBundle(fwds, vols);
        final double vol = _interpolator.interpolate(db, x);
        res[i][j] = (vol - exampleVol) / SHIFT;
      }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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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;
    for (int i = 0; i < n; i++) {
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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  @Override
  public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
      final YieldAndDiscountCurve discountingCurve) {
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDETerminalResults1D pdeGridUp = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDETerminalResults1D pdeGridDown = _pdeCalculator.runPDESolver(localVolatility, option);
    final int n = pdeGrid.getNumberSpaceNodes();
    final double[] strikes = new double[n];
    final double[] greeks = new double[n];
    for (int i = 0; i < n; i++) {
      final double moneyness = pdeGrid.getSpaceValue(i);
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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    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);
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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    final double[] sNodes = grid.getSpaceNodes();

    //run the PDE solver backward to the dividend date
    // PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db1 = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initialCon, lower1, upper1, grid1);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db1 = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    final PDETerminalResults1D res = (PDETerminalResults1D) solver.solve(db1);

    final Interpolator1DDataBundle interpolDB = INTEPOLATOR1D.getDataBundle(sNodes, res.getTerminalResults());

    final double val = INTEPOLATOR1D.interpolate(interpolDB, lnFT);
    assertEquals(0.41491529, Math.sqrt(-2 * (val) / EXPIRY), 5e-4); //Number from backwardsPDETest
    //   System.out.println(val + "\t" + Math.sqrt(-2 * val / EXPIRY));
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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    final PDEGrid1D grid1 = new PDEGrid1D(timeMesh1, spaceMesh);
    final double[] sNodes1 = grid1.getSpaceNodes();

    //run the PDE solver backward to the dividend date
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db1 = new PDE1DDataBundle<>(pde, initialCon, lower1, upper1, grid1);
    final PDETerminalResults1D res1 = (PDETerminalResults1D) solver.solve(db1);

    //Map the spot nodes after (in calendar time) the dividend payment to nodes before
    final int nSNodes = sNodes1.length;
    final double[] sNodes2 = new double[nSNodes];
    final double lnBeta = Math.log(1 - BETA);
    for (int i = 0; i < nSNodes; i++) {
      final double temp = sNodes1[i];
      if (temp < 0) {
        sNodes2[i] = Math.log(Math.exp(temp) + ALPHA) - lnBeta;
      }
      else {
        sNodes2[i] = temp + Math.log(1 + ALPHA * Math.exp(-temp)) - lnBeta;
      }
    }

    final PDEGrid1D grid2 = new PDEGrid1D(timeMesh2.getPoints(), sNodes2);
    final BoundaryCondition lower2 = new NeumannBoundaryCondition(1.0, sNodes2[0], true);
    final BoundaryCondition upper2 = new NeumannBoundaryCondition(1.0, sNodes2[nSNodes - 1], false);

    //run the PDE solver backward from the dividend date to zero
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db2 = new PDE1DDataBundle<>(pde, res1.getTerminalResults(), lower2, upper2, grid2);
    final PDETerminalResults1D res2 = (PDETerminalResults1D) solver.solve(db2);

    final Interpolator1DDataBundle interpolDB2 = INTEPOLATOR1D.getDataBundle(sNodes2, res2.getTerminalResults());
    final double val2 = INTEPOLATOR1D.interpolate(interpolDB2, Math.log(SPOT));
    return val2;
  }
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