Package com.opengamma.analytics.financial.model.finitedifference

Examples of com.opengamma.analytics.financial.model.finitedifference.ExponentialMeshing

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    final int nSpotNodes = 100;
    final double upperLevel = 3.5 * forward;

    final BoundaryCondition lower = new DirichletBoundaryCondition(0, 0);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, upperLevel, false);
    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, EXPIRY, nTimeNodes, 6.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, upperLevel, STRIKE, nSpotNodes, 0.05);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDEResults1D res = solver.solve(new PDE1DDataBundle<>(pde, payoff, lower, upper, grid));

    final int fwdIndex = grid.getLowerBoundIndexForSpace(forward);
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    double xL = 0.8;
    double xH = 1.2;
    BoundaryCondition lower = new NeumannBoundaryCondition(-1.0, xL, true);
    BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMeshF = new HyperbolicMeshing(xL, xH, 1.0, 200, 0.001);
    final MeshingFunction timeMeshF = new ExponentialMeshing(0, t, 50, 4.0);
    final MeshingFunction timeMeshB = new DoubleExponentialMeshing(0, t, t / 2, 50, 2.0, -4.0);
    final PDEGrid1D grid = new PDEGrid1D(timeMeshF, spaceMeshF);
    PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dbF = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initialCond, lower, upper, grid);
    PDETerminalResults1D res = (PDETerminalResults1D) solver.solve(dbF);
    final double minK = Math.exp(-6 * rootT);
 
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    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);

    final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, yL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yH, false);

    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final double[] sNodes = grid.getSpaceNodes();

    //run the PDE solver backward to the dividend date
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    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);

    final BoundaryCondition lower = new NeumannBoundaryCondition(1 / (1 + dStar * Math.exp(-yL)), yL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yH, false);

    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, PURE_LOG_PAY_OFF, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

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    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);

    final BoundaryCondition lower1 = new NeumannBoundaryCondition(1.0, yL, true);
    final BoundaryCondition upper1 = new NeumannBoundaryCondition(1.0, yH, false);

    final MeshingFunction timeMesh1 = new ExponentialMeshing(0, EXPIRY - DIVIDEND_DATE - 1e-6, 50, 0.0);
    final MeshingFunction timeMesh2 = new ExponentialMeshing(EXPIRY - DIVIDEND_DATE + 1e-6, EXPIRY, 50, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);

    final PDEGrid1D grid1 = new PDEGrid1D(timeMesh1, spaceMesh);
    final double[] sNodes1 = grid1.getSpaceNodes();

    //run the PDE solver backward to the dividend date
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    final TwoStateMarkovChainPricer mc = new TwoStateMarkovChainPricer(FORWARD_CURVE, MARKOV_CHAIN_DATA);

    final int tNodes = 20;
    final int xNodes = 100;
    final MeshingFunction timeMesh = new ExponentialMeshing(0, 5, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 6 * SPOT, SPOT, xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

    for (int i = 0; i < warmups; i++) {
      mc.solve(grid, 0.5);
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  public void test() {
    final double t = 5.0;
    final int tNodes = 50;
    final int xNodes = 100;

    final MeshingFunction timeMesh = new ExponentialMeshing(0, t, tNodes, 2.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 6.0 * FORWARD_CURVE.getForward(t), FORWARD_CURVE.getSpot(), xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    //TwoStateMarkovChainDensity densityCal = new TwoStateMarkovChainDensity(forward, chainData);
    final TwoStateMarkovChainWithLocalVolDensity densityCal = new TwoStateMarkovChainWithLocalVolDensity(FORWARD_CURVE, DATA, new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0)));
    final PDEFullResults1D[] denRes = densityCal.solve(grid);
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  @Test(enabled = false)
  public void test() {
    int tNodes = 100;
    int xNodes = 200;

    MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    //MeshingFunction spaceMesh = new ExponentialMeshing(0.0, 6.0 * FORWARD.getForward(T), xNodes, 3.0);
    MeshingFunction spaceMesh = new HyperbolicMeshing(-0.0 * FORWARD.getForward(T), 6.0 * FORWARD.getForward(T), FORWARD.getSpot(), xNodes, 0.01);

    PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

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  @Test
  public void degenerateTest() {
    int tNodes = 20;
    int xNodes = 100;
    MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    MeshingFunction spaceMesh = new HyperbolicMeshing(-0.0 * FORWARD.getForward(T), 6.0 * FORWARD.getForward(T), FORWARD.getSpot(), xNodes, 0.01);
    PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

    double l12 = 0.3;
    double l21 = 2.0;
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    final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, fL, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, fH, false);

    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(PDE, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);
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Related Classes of com.opengamma.analytics.financial.model.finitedifference.ExponentialMeshing

  • com.opengamma.analytics.example.coupledfokkerplank.CoupledFokkerPlankExample
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.model.finitedifference.applications.BarrierOptionPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.BlackScholesMertonPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolatilityBackwardsPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricer
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LogPayoffWithDividendsTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.TermStructureRatesTest
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