Examples of HestonModelFitter

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.HestonModelFitter

137
138
139
140
141
142
143
144
145
146
147
          final double[] sigma = sigmaList.toDoubleArray();
          final double[] errors = errorsList.toDoubleArray();
          ArrayUtils.reverse(strikes);
          ArrayUtils.reverse(sigma);
          ArrayUtils.reverse(errors);
          final LeastSquareResultsWithTransform fittedResult = new HestonModelFitter(forward, strikes, t, sigma, errors, HESTON_FUNCTION).solve(HESTON_INITIAL_VALUES);
          final DoubleMatrix1D parameters = fittedResult.getModelParameters();
          fittedOptionExpiryList.add(t);
          futureDelayList.add(0);
          kappaList.add(parameters.getEntry(0));
          thetaList.add(parameters.getEntry(1));
View Full Code Here

Examples of com.opengamma.analytics.financial.model.volatility.smile.fitting.HestonModelFitter

121
122
123
124
125
126
127
128
129
130
131
          final double[] sigma = sigmaList.toDoubleArray();
          final double[] errors = errorsList.toDoubleArray();
          ArrayUtils.reverse(strikes);
          ArrayUtils.reverse(sigma);
          ArrayUtils.reverse(errors);
          final LeastSquareResultsWithTransform fittedResult = new HestonModelFitter(forward, strikes, t, sigma, errors, HESTON_FUNCTION).solve(HESTON_INITIAL_VALUES);
          final DoubleMatrix1D parameters = fittedResult.getModelParameters();
          fittedOptionExpiryList.add(t);
          futureDelayList.add(0);
          kappaList.add(parameters.getEntry(0));
          thetaList.add(parameters.getEntry(1));
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.