Package com.opengamma.analytics.math.surface

Examples of com.opengamma.analytics.math.surface.InterpolatedDoublesSurface

72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
   * @param sabrFunction The SABR function.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift,
        0.05 + shift, 0.05 + shift, 0.05 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
View Full Code Here
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
  /**
   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by the shift with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
        -0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
View Full Code Here
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
  /**
   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
        0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
View Full Code Here
156
157
158
159
160
161
162
163
164
165
166
167
        rhoVector[vect] = fittedResult.getModelParameters().getEntry(2);
        nuVector[vect] = fittedResult.getModelParameters().getEntry(3);
        vect++;
      }
    }
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(expiryTimeVector, maturityTimeVector, alphaVector, INTERPOLATOR, "SABR alpha surface");
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(expiryTimeVector, maturityTimeVector, betaVector, INTERPOLATOR, "SABR beta surface");
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(expiryTimeVector, maturityTimeVector, nuVector, INTERPOLATOR, "SABR nu surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(expiryTimeVector, maturityTimeVector, rhoVector, INTERPOLATOR, "SABR rho surface");
    final SABRInterestRateParameters sabrParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, USD6MLIBOR3M.getFixedLegDayCount(), SABR_FUNCTION);
    return Pair.of(sabrParameters, inverseJacobianMap);
  }
View Full Code Here
94
95
96
97
98
99
100
101
   * Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
View Full Code Here
104
105
106
107
108
109
110
111
   * Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionBRLShift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, BRLCDI);
  }
View Full Code Here
117
118
119
120
121
122
123
124
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
View Full Code Here
75
76
77
78
79
80
81
82
   * Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
View Full Code Here
88
89
90
91
92
93
94
95
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
View Full Code Here
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
   * Beta is 0.5.  Alpha 0.05 at 1Y and 0.06 at 10Y. Rho 0.50 at 1Y and 0.30 at 10Y. Nu -0.25 at 1Y and 0.00 at 10Y.
   * @param sabrFunction The SABR function.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
        new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
            0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5,
        0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
        -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
        0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.math.surface.InterpolatedDoublesSurface

  • com.opengamma.analytics.financial.equity.EquityDerivativeSensitivityCalculator
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapRatesSensitivityTest
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapStaticReplicationTest
  • com.opengamma.analytics.financial.interestrate.BlackSensitivityFromSABRSensitivityCalculatorTest
  • com.opengamma.analytics.financial.interestrate.BlackSwaptionSensitivityNodeCalculator
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginBlackSurfaceMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginNormalSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.derivative.DeprecatedSwaptionPhysicalFixedIborTest
  • com.opengamma.analytics.financial.interestrate.TestsDataSetsBlack
    • Copyright © 2018 www.massapicom. All rights reserved.
    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.