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

Examples of com.opengamma.analytics.financial.model.volatility.SmileAndBucketedSensitivities

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        volatilitySensitivity[looptime][loopvol] = volatilitySensitivityVol[looptime] * volatilityAtTimeSensitivity[loopvol];
      }
      volatilityT[loopvol] = _timeInterpolator.interpolate(interpData, time);
    }
    final SmileDeltaParameters smile = new SmileDeltaParameters(time, _volatilityTerm[0].getDelta(), volatilityT);
    return new SmileAndBucketedSensitivities(smile, volatilitySensitivity);
  }
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    final double[] strikes = smile.getStrike(forward);
    final Interpolator1DDataBundle volatilityInterpolation = _strikeInterpolator.getDataBundle(strikes, smile.getVolatility());
    final double volatility = _strikeInterpolator.interpolate(volatilityInterpolation, strike);
    // Backward sweep
    final double[] smileVolatilityBar = _strikeInterpolator.getNodeSensitivitiesForValue(volatilityInterpolation, strike);
    final SmileAndBucketedSensitivities smileAndSensitivities = getSmileAndSensitivitiesForTime(time, smileVolatilityBar);
    return new VolatilityAndBucketedSensitivities(volatility, smileAndSensitivities.getBucketedSensitivities());
  }
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Related Classes of com.opengamma.analytics.financial.model.volatility.SmileAndBucketedSensitivities

  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParameters
  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation
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