/**
* 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.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 abstract class LocalVolatilityBackwardPDESpotGreeksGridCalculator implements PDELocalVolatilityCalculator<Interpolator1DDataBundle> {
private final LocalVolatilityBackwardPDECalculator _pdeCalculator;
private final Interpolator1D _interpolator;
public LocalVolatilityBackwardPDESpotGreeksGridCalculator(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 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);
}
@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);
}
protected abstract double getResultForForward(final PDETerminalResults1D pdeGrid, final int index);
/**
* Calculates the delta
*/
public static class DeltaCalculator extends LocalVolatilityBackwardPDESpotGreeksGridCalculator {
public DeltaCalculator(final LocalVolatilityBackwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
super(pdeCalculator, interpolator);
}
@Override
protected double getResultForForward(final PDETerminalResults1D pdeGrid, final int index) {
return pdeGrid.getFirstSpatialDerivative(index);
}
}
/**
* Calculates the gamma
*/
public static class GammaCalculator extends LocalVolatilityBackwardPDESpotGreeksGridCalculator {
public GammaCalculator(final LocalVolatilityBackwardPDECalculator pdeCalculator, final Interpolator1D interpolator) {
super(pdeCalculator, interpolator);
}
@Override
protected double getResultForForward(final PDETerminalResults1D pdeGrid, final int index) {
return pdeGrid.getSecondSpatialDerivative(index);
}
}
}