Package com.opengamma.analytics.financial.model.finitedifference

Examples of com.opengamma.analytics.financial.model.finitedifference.ThetaMethodFiniteDifference.solve()

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    }
    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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      final FunctionalDoublesSurface free = new FunctionalDoublesSurface(func);

      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
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      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
      // European
    } else {
      if (isCall) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
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        lower = new NeumannBoundaryCondition(downFunc, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }
      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
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      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
    }

    return res.getFunctionValue(index);
  }
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      final FunctionalDoublesSurface free = new FunctionalDoublesSurface(func);

      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, free, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
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      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, free, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
      // European
    } else {
      if (option.isCall()) {
        lower = new NeumannBoundaryCondition(0.0, sMin, true);
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        lower = new NeumannBoundaryCondition(downFunc, sMin, true);
        upper = new NeumannBoundaryCondition(0.0, sMax, false);
      }
      PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid[0]);
      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
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      ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference(theta[0], false);
      res = solver.solve(data);
      for (int ii = 1; ii < n; ii++) {
        data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, res.getTerminalResults(), lower, upper, grid[ii]);
        solver = new ThetaMethodFiniteDifference(theta[ii], false);
        res = solver.solve(data);
      }
    }

    return res.getFunctionValue(index);
  }
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    final BoundaryCondition lower = new NeumannBoundaryCondition(0.0, sMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, sMax, true);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid);
    final ThetaMethodFiniteDifference solver = new ThetaMethodFiniteDifference();
    final PDEResults1D res = solver.solve(data);
    final int index = Arrays.binarySearch(grid.getSpaceNodes(), S0);
    final double pdePrice = res.getFunctionValue(index);

    //System.out.println(DF+"\t"+pdePrice);
    assertEquals(DF, pdePrice, DF * 5e-5);
 
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