Examples of SmileDeltaTermStructureParametersStrikeInterpolation


Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

     * @return The Black surface and curve data
     */
    protected BlackForexSmileProvider getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
      final FXOptionSecurity security = (FXOptionSecurity) target.getTrade().getSecurity();
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final SmileDeltaTermStructureParametersStrikeInterpolation volatilitySurface = (SmileDeltaTermStructureParametersStrikeInterpolation) inputs.getValue(STANDARD_VOLATILITY_SURFACE_DATA);
      final Pair<Currency, Currency> currencyPair = Pair.of(security.getPutCurrency(), security.getCallCurrency());
      final BlackForexSmileProvider blackData = new BlackForexSmileProvider(data, volatilitySurface, currencyPair);
      return blackData;
    }
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