/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.local;
import com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D;
import com.opengamma.analytics.financial.model.finitedifference.PDETerminalResults1D;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
/**
*
*/
public class LocalVolatilityBackwardPDEPriceGridCalculator implements PDELocalVolatilityCalculator<Interpolator1DDataBundle> {
private final LocalVolatilityBackwardPDECalculator _pdeCalculator;
private final Interpolator1D _interpolator;
public LocalVolatilityBackwardPDEPriceGridCalculator(final LocalVolatilityBackwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
_pdeCalculator = pdeCalculator;
_interpolator = interpolator;
}
@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;
}
return _interpolator.getDataBundleFromSortedArrays(forwards, prices);
}
@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);
}
}