Package com.opengamma.analytics.financial.model.volatility.local

Examples of com.opengamma.analytics.financial.model.volatility.local.LocalVolatilityBackwardPDECalculator


    final double spaceStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SPACE_STEPS_BUNCHING));
    final double maxMoneyness = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MAX_MONEYNESS));
    final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
    final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator(interpolatorName);
    final PDELocalVolatilityCalculator<?> pdeCalculator =
        getPDECalculator(new LocalVolatilityBackwardPDECalculator(theta, nTimeSteps, nSpaceSteps, timeStepBunching, spaceStepBunching, maxMoneyness), interpolator);
    final Object localVolatilityObject = inputs.getValue(getVolatilitySurfaceRequirement(target, desiredValue));
    if (localVolatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get local volatility surface");
    }
    final Object forwardCurveObject = inputs.getValue(getForwardCurveRequirement(target, desiredValue));
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