Examples of ForwardCurve


Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

    final double[] mus = new double[] {-0.1, 0, 0.1 };

    final MultiHorizonMixedLogNormalModelData mlnData = new MultiHorizonMixedLogNormalModelData(weights, sigmas, mus);
    final double spot = 100.;
    final double r = 0.1;
    final ForwardCurve fwdCurve = new ForwardCurve(spot, r);

    final double t = 1.0 / 365.;
    final double rootT = Math.sqrt(t);
    final double fwd = fwdCurve.getForward(t);

    BlackVolatilitySurfaceStrike ivs = MixedLogNormalVolatilitySurface.getImpliedVolatilitySurface(fwdCurve, mlnData);
    LocalVolatilitySurfaceStrike lvs = MixedLogNormalVolatilitySurface.getLocalVolatilitySurface(fwdCurve, mlnData);
    LocalVolatilitySurfaceMoneyness lvsm = LocalVolatilitySurfaceConverter.toMoneynessSurface(lvs, fwdCurve);
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