Examples of PDETerminalResults1D

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 int n = pdeGrid.getNumberSpaceNodes();
    final double[] forwards = new double[n];
    final double[] greeks = new double[n];
    for (int i = 0; i < n; i++) {
      forwards[i] = pdeGrid.getSpaceValue(i);
      greeks[i] = getResultForForward(pdeGrid, i);
    }
    return _interpolator.getDataBundleFromSortedArrays(forwards, greeks);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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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 int n = pdeGrid.getNumberSpaceNodes();
    final double[] forwards = new double[n];
    final double[] greeks = new double[n];
    for (int i = 0; i < n; i++) {
      forwards[i] = pdeGrid.getSpaceValue(i);
      greeks[i] = getResultForForward(pdeGrid, i);
    }
    return _interpolator.getDataBundleFromSortedArrays(forwards, greeks);
  }
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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 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++) {
      try {
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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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  }

  @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.PDETerminalResults1D

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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.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[] moneyness = new double[4];
    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
          expiry, option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, 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 LocalVolatilitySurfaceMoneyness bumpedLV = _dupireCalculator.getLocalVolatility(bumpedSurface);
        final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, option);
        for (int k = 0; k < 4; k++) {
          vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), 1.0, moneyness[k],
              expiry, option.isCall());
        }
        db = _interpolator.getDataBundle(moneyness, 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[] moneyness = new double[4];
    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeGrid.getFunctionValue(index + i), 1.0, moneyness[i],
          expiry, option.isCall());
    }
    Interpolator1DDataBundle db = _interpolator.getDataBundle(moneyness, 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 LocalVolatilitySurfaceMoneyness bumpedLV = _dupireCalculator.getLocalVolatility(bumpedSurface);
        final PDETerminalResults1D pdeResBumped = _pdeCalculator.runPDESolver(bumpedLV, option);
        for (int k = 0; k < 4; k++) {
          vols[k] = BlackFormulaRepository.impliedVolatility(pdeResBumped.getFunctionValue(index + k), 1.0, moneyness[k],
              expiry, option.isCall());
        }
        db = _interpolator.getDataBundle(moneyness, 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 LocalVolatilitySurfaceStrike lvStrike = LocalVolatilitySurfaceConverter.toStrikeSurface(localVolatility);
    final LocalVolatilitySurfaceStrike localVolatilityUp = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(lvStrike.getSurface(), VOL_SHIFT, true));
    final LocalVolatilitySurfaceStrike localVolatilityDown = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(lvStrike.getSurface(), -VOL_SHIFT, true));
    final ForwardCurve forwardCurveUp = forwardCurve.withFractionalShift(FWD_SHIFT);
    final ForwardCurve forwardCurveDown = forwardCurve.withFractionalShift(-FWD_SHIFT);
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
    final PDETerminalResults1D pdeGridUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurve, option);
    final PDETerminalResults1D pdeGridDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurve, option);
    final PDETerminalResults1D pdeGridUpUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurveUp, option);
    final PDETerminalResults1D pdeGridUpDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurveUp, option);
    final PDETerminalResults1D pdeGridDownUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurveDown, option);
    final PDETerminalResults1D pdeGridDownDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurveDown, option);
    final int n = pdeGrid.getNumberSpaceNodes();
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final double[] strikes = new double[n];
    final double[] greeks = new double[n];
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D

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      final YieldAndDiscountCurve discountingCurve) {
    final LocalVolatilitySurfaceStrike localVolatilityUp = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(localVolatility.getSurface(), VOL_SHIFT, true));
    final LocalVolatilitySurfaceStrike localVolatilityDown = new LocalVolatilitySurfaceStrike(SurfaceShiftFunctionFactory.getShiftedSurface(localVolatility.getSurface(), -VOL_SHIFT, true));
    final ForwardCurve forwardCurveUp = forwardCurve.withFractionalShift(FWD_SHIFT);
    final ForwardCurve forwardCurveDown = forwardCurve.withFractionalShift(-FWD_SHIFT);
    final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, forwardCurve, option);
    final PDETerminalResults1D pdeGridUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurve, option);
    final PDETerminalResults1D pdeGridDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurve, option);
    final PDETerminalResults1D pdeGridUpUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurveUp, option);
    final PDETerminalResults1D pdeGridUpDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurveUp, option);
    final PDETerminalResults1D pdeGridDownUp = _pdeCalculator.runPDESolver(localVolatilityUp, forwardCurveDown, option);
    final PDETerminalResults1D pdeGridDownDown = _pdeCalculator.runPDESolver(localVolatilityDown, forwardCurveDown, option);
    final int n = pdeGrid.getNumberSpaceNodes();
    final double expiry = option.getTimeToExpiry();
    final double forward = forwardCurve.getForward(expiry);
    final double[] strikes = new double[n];
    final double[] greeks = new double[n];
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