Examples of EquityVarianceSwapBackwardsPurePDE

com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
Class to calculate the expected variance (not annualised) of an equity variance swap when a discount curve, affine dividends and a pure local volatility surface is specified. See White (2012), Equity Variance Swap with Dividends, for details of the model.

Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE

    }
    double temp = Math.sqrt(2 * (Math.log(sum1) - sum2) / t);
    System.out.println("expected: " + temp);


    PureLocalVolatilitySurface plv = VolatilitySurfaceConverter.convertLocalVolSurface(lv2, new EquityDividendsCurvesBundle(spot, discountCurve, AffineDividends.noDividends()));
    EquityVarianceSwapBackwardsPurePDE backCal = new EquityVarianceSwapBackwardsPurePDE();
    res = backCal.expectedVariance(spot, discountCurve, AffineDividends.noDividends(), t, plv);
    System.out.println(Math.sqrt(res[0] / t));


    double vol = lvs.getVolatility(0.0, 25.0);
    System.out.println(vol);
  }

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE


    //test the new backwards local vol method for expected variance
    final YieldAndDiscountCurve yieldCurve = new YieldCurve("test", ConstantDoublesCurve.from(DRIFT));
    final AffineDividends ad = AffineDividends.noDividends();


    final EquityVarianceSwapBackwardsPurePDE backSolver = new EquityVarianceSwapBackwardsPurePDE();
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(ConstantDoublesSurface.from(FLAT_VOL));


    final double[] res2 = backSolver.expectedVariance(SPOT, yieldCurve, ad, EXPIRY, plv);
    final double kVol2 = Math.sqrt(res2[0] / EXPIRY);
    assertEquals(FLAT_VOL, kVol2, 1e-6);
  }

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