List of withFractionalShift() Examples

Examples of withFractionalShift()

com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()
Shift the forward curve by a fractional amount, shift, such that the new curve F'(T) = (1 + shift) * F(T), has an unchanged drift. @param shift The fractional shift amount, i.e. 0.1 will produce a curve 10% larger than the original @return The shifted curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

    final double maxForward = 3.5 * forward;
    final double maxProxyDelta = 1.5;


    final PDEFullResults1D pdeRes = runForwardPDESolver(forwardCurve, localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUp = runForwardPDESolver(forwardCurve.withFractionalShift(shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDown = runForwardPDESolver(forwardCurve.withFractionalShift(-shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    final int n = pdeRes.getNumberSpaceNodes();

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()


    final PDEFullResults1D pdeRes = runForwardPDESolver(forwardCurve, localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUp = runForwardPDESolver(forwardCurve.withFractionalShift(shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDown = runForwardPDESolver(forwardCurve.withFractionalShift(-shift), localVol, _isCall, _theta, expiry, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    final int n = pdeRes.getNumberSpaceNodes();


    ps.println("Result of running Forward PDE solver - this gives you a grid of prices at expiries and strikes for a spot " +

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

   * @param shift the fraction shift to the forward
   */
  public void smileDynamic(final PrintStream ps, final double expiry, final double shift) {
    final ForwardCurve forwardCurve = _marketData.getForwardCurve();
    smileDynamic(ps, expiry, _localVolatilityStrike, forwardCurve);
    smileDynamic(ps, expiry, _localVolatilityStrike, forwardCurve.withFractionalShift(shift));
  }


  public void smileDynamic(final PrintStream ps, final double expiry,
      final LocalVolatilitySurfaceStrike localVol, final ForwardCurve forwardCurve) {

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEResults1D pdeResDown = runForwardPDESolver(forwardCurve, lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    //second order shifts
    final PDEResults1D pdeResUpUp = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUpDown = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownUp = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    //second order shifts
    final PDEResults1D pdeResUpUp = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUpDown = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownUp = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownDown = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

    //second order shifts
    final PDEResults1D pdeResUpUp = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUpDown = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownUp = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownDown = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    ps.println("Strike\tBS Vega\tVega\tBS Vanna\tVanna\tBS Vomma\tVomma");

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve.withFractionalShift()

        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResUpDown = runForwardPDESolver(forwardCurve.withFractionalShift(fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownUp = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvUp, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);
    final PDEFullResults1D pdeResDownDown = runForwardPDESolver(forwardCurve.withFractionalShift(-fwdShift), lvDown, _isCall, _theta, maxT, maxProxyDelta,
        _timeSteps, _spaceSteps, _timeGridBunching, _spaceGridBunching, 1.0);


    ps.println("Strike\tBS Vega\tVega\tBS Vanna\tVanna\tBS Vomma\tVomma");
    final int n = pdeRes.getNumberSpaceNodes();
    for (int i = 0; i < n; i++) {

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