/**
* 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 it.unimi.dsi.fastutil.doubles.DoubleArrayList;
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.financial.model.volatility.BlackFormulaRepository;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
/**
*
*/
public class LocalVolatilityForwardPDEPriceGridCalculator implements PDELocalVolatilityCalculator<Interpolator1DDataBundle> {
private final LocalVolatilityForwardPDECalculator _pdeCalculator;
private final Interpolator1D _interpolator;
public LocalVolatilityForwardPDEPriceGridCalculator(final LocalVolatilityForwardPDECalculator 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 expiry = option.getTimeToExpiry();
final boolean isCall = option.isCall();
final double strike = option.getStrike();
final double forward = forwardCurve.getForward(expiry);
final double[] moneynesses = grid.getSpaceNodes();
final double[] modifiedPrices = pdeGrid.getTerminalResults();
final int n = modifiedPrices.length;
final DoubleArrayList strikes = new DoubleArrayList();
final DoubleArrayList prices = new DoubleArrayList();
for (int i = 0; i < n; i++) {
try {
final double impliedVol = BlackFormulaRepository.impliedVolatility(modifiedPrices[i], 1, moneynesses[i], expiry, isCall);
prices.add(BlackFormulaRepository.price(forward, strike, expiry, impliedVol, isCall));
strikes.add(forward * moneynesses[i]);
} catch (final Exception e) {
}
}
return _interpolator.getDataBundleFromSortedArrays(strikes.toDoubleArray(), prices.toDoubleArray());
}
@Override
public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceStrike localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
final YieldAndDiscountCurve discountingCurve) {
return getResult(LocalVolatilitySurfaceConverter.toMoneynessSurface(localVolatility, forwardCurve), forwardCurve, option, discountingCurve);
}
public Interpolator1D getInterpolator() {
return _interpolator;
}
}