Examples of com.opengamma.analytics.financial.model.option.pricing.fourier.MartingaleCharacteristicExponent

Package com.opengamma.analytics.financial.model.option.pricing.fourier

Examples of com.opengamma.analytics.financial.model.option.pricing.fourier.MartingaleCharacteristicExponent

com.opengamma.analytics.financial.model.option.pricing.fourier.MartingaleCharacteristicExponent
A Characteristic Exponent with value at -i equal to 0. That is E[exp(x)] = 1, where E[] is the expectation and x is the random variable.

    return new Function1D<HestonModelData, double[]>() {


      @SuppressWarnings("synthetic-access")
      @Override
      public double[] evaluate(final HestonModelData x) {
        final MartingaleCharacteristicExponent ce = new HestonCharacteristicExponent(x);
        //TODO calculations relating to the FFT setup are made each call, even though they will be very similar (depends on Characteristic
        // Exponent). Maybe worth calculating a typical setup, outside of this function
        final double[][] strikeNPrice = FFT_PRICER.price(forward, 1.0, timeToExpiry, true, ce, lowestStrike, highestStrike, n, _limitSigma, _alpha, _limitTolerance);
        final int m = strikeNPrice.length;
        final double[] k = new double[m];

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    return new Function1D<HestonModelData, double[][]>() {


      @SuppressWarnings("synthetic-access")
      @Override
      public double[][] evaluate(final HestonModelData x) {
        final MartingaleCharacteristicExponent ce = new HestonCharacteristicExponent(x);
        final double[][] greeks = greekCal.getGreeks(forward, 1.0, timeToExpiry, true, ce, lowestStrike, highestStrike, n, _limitSigma, _alpha, _limitTolerance);
        //1st array is strikes and the second is prices (which we don't need)
        final double[] k = greeks[0];
        final double[] prices = greeks[1];
        final int m = k.length;

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    return new Function1D<HestonModelData, double[][]>() {


      @SuppressWarnings("synthetic-access")
      @Override
      public double[][] evaluate(final HestonModelData x) {
        final MartingaleCharacteristicExponent ce = new HestonCharacteristicExponent(x);
        final double[][] greeks = greekCal.getGreeks(forward, 1.0, timeToExpiry, true, ce, lowestStrike, highestStrike, n, _limitSigma, _alpha, _limitTolerance);
        //1st array is strikes and the second is prices (which we don't need)


        final double[] k = greeks[0];
        final double[] prices = greeks[1];

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    // TODO There is no guarantee that F0 and V0 are grid points (it depends on the chosen step sizes), so we should do a surface interpolation (what fun!)
    final double pdfPrice = res[(int) (F0 / deltaX)][(int) (V0 / deltaY)];


    // System.out.print("\n");
    final FFTPricer pricer = new FFTPricer();
    final MartingaleCharacteristicExponent heston = new HestonCharacteristicExponent(KAPPA, THETA, V0, OMEGA, RHO);


    final int n = 51;
    final double alpha = -0.5;
    final double tol = 1e-12;

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Related Classes of com.opengamma.analytics.financial.model.option.pricing.fourier.MartingaleCharacteristicExponent

com.opengamma.analytics.financial.model.finitedifference.HestonPDETestCase

com.opengamma.analytics.financial.model.volatility.smile.function.HestonVolatilityFunction

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