List of combineIndependentSmileFits() Examples

Examples of combineIndependentSmileFits()

com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator.combineIndependentSmileFits()
Given a set of smiles in the moneyness dimension, produce surface function that additionally interpolates in expiry.
Access to the individual parts of getVolatilitySurface() permits user to bump vols without having to recalibrate each independent smile @param smileFunctions Array of Function1D's, one per expiry, that return volatility given strike @param marketData The mark data - contains the forwards, expiries, and strikes and (market) implied volatilities at each expiry, not null @return Implied volatility surface parameterised by time and moneyness

Examples of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator.combineIndependentSmileFits()

          final double[] bumpedVols = Arrays.copyOf(vols[t], nStrikes);
          bumpedVols[k] = vols[t][k] - shift;
          final Function1D<Double, Double> thisExpirysSmile = strikeInterpolator.getVolatilityFunction(forwards[t], strikes[t], volExpiries[t], bumpedVols);
          final Function1D<Double, Double>[] scenarioSmileFits = Arrays.copyOf(smileFitsBase, smileFitsBase.length);
          scenarioSmileFits[t] = thisExpirysSmile;
          final BlackVolatilitySurfaceMoneynessFcnBackedByGrid shiftedSurface = surfaceInterpolator.combineIndependentSmileFits(scenarioSmileFits, volGrid);
          //BlackVolatilitySurfaceMoneynessFcnBackedByGrid shiftedSurface = surfaceInterpolator.getBumpedVolatilitySurface(volGrid, t, k, -shift);
          final StaticReplicationDataBundle shiftedMarket = market.withShiftedSurface(shiftedSurface);
          final Double pvScenario = option.accept(_pricer, shiftedMarket);


          ArgumentChecker.notNull(pvScenario, "Null PV in shifted scenario, T = " + volExpiries[t] + ", k = " + strikes[t][k]);

View Full Code Here

Examples of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceInterpolator.combineIndependentSmileFits()

          final double[] bumpedVols = Arrays.copyOf(vols[t], nStrikes);
          bumpedVols[k] = vols[t][k] - SHIFT;
          final Function1D<Double, Double> thisExpirysSmile = strikeInterpolator.getVolatilityFunction(forwards[t], strikes[t], expiries[t], bumpedVols);
          final Function1D<Double, Double>[] scenarioSmileFits = Arrays.copyOf(smileFitsBase, smileFitsBase.length);
          scenarioSmileFits[t] = thisExpirysSmile;
          final BlackVolatilitySurfaceMoneynessFcnBackedByGrid shiftedSurface = surfaceInterpolator.combineIndependentSmileFits(scenarioSmileFits, volGrid);
          final StaticReplicationDataBundle shiftedMarket = market.withShiftedSurface(shiftedSurface);
          // Sensitivities
          for (int v = 0; v < nVanillas; v++) {
            final Double shiftedPV = vanillas[v].accept(PVC, shiftedMarket);
            Validate.notNull(shiftedPV, "Null PV in shifted scenario, T = " + expiries[t] + ", k = " + strikes[t][k]);

View Full Code Here

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.