Examples of MeshingFunction

Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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      throw new IllegalArgumentException("sd does not give boundaries that contain the strike. Use a minimum value of " + minSD);
    }

    // centre the nodes around the spot
    final double[] fixedPoints = k == 0.0 ? new double[] {s0} : new double[] {s0, k};
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, s0, spaceNodes, beta, fixedPoints);

    MeshingFunction tMesh = new ExponentialMeshing(0, t, timeNodes, lambda);
    final PDEGrid1D[] grid;
    final double[] theta;

    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double dt = tMesh.evaluate(1) - tMesh.evaluate(0);
      final double tBurn = tBurnNodes * dt * dt;
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0, tBurn, tBurnNodes, 0.0);
      tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, lambda);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
      grid[1] = new PDEGrid1D(tMesh, xMesh);
      theta = new double[] {_burninTheta, _mainRunTheta};
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    //TODO the grid involves some magic numbers that should be possible to alter externally by expert users
    final double xL = 0.0;
    final double xH = 6;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, _nSpaceSteps + 1, 0.001); //0.05
    final MeshingFunction[] timeMeshes = new MeshingFunction[nDivsBeforeExpiry + 1];
    final PDEGrid1D[] grids = new PDEGrid1D[nDivsBeforeExpiry + 1];
    if (nDivsBeforeExpiry == 0) {
      timeMeshes[0] = new ExponentialMeshing(0, expiry, _nTimeSteps, 5.0);
    } else {
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final double yMax = -yMin;

    final BoundaryCondition lower = new NeumannBoundaryCondition(getLowerBoundaryCondition(divs, expiry), yMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yMax, false);

    final MeshingFunction timeMesh = new ExponentialMeshing(0, expiry, _nTimeSteps, LAMBDA_T);
    final MeshingFunction spaceMesh = new ExponentialMeshing(yMin, yMax, _nSpaceSteps, LAMBDA_X);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, logPayoff, lower, upper, grid);
    final PDEResults1D res = _solver.solve(db);
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final Function1D<Double, Double> initalCond = getCorrectionInitialCondition(ad, curves, index, correctForDividends);

    final BoundaryCondition lower = new NeumannBoundaryCondition(getCorrectionLowerBoundaryCondition(ad, curves, index, correctForDividends, index), yMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, yMax, false);

    final MeshingFunction timeMesh = new ExponentialMeshing(0, tau, _nTimeSteps, LAMBDA_T);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(yMin, yMax, 0.0, _nSpaceSteps, LAMBDA_X);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initalCond, lower, upper, grid);
    final PDEResults1D res = _solver.solve(db);
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final int tNodes = 100;
    final int nu = 5;
    final int xNodes = nu * tNodes;
    final double sMin = S0 / 5.0;
    final double sMax = 5 * S0;
    final MeshingFunction xMesh = new ExponentialMeshing(sMin, sMax, xNodes, 0.0, new double[] {S0 });
    final MeshingFunction tMesh = new ExponentialMeshing(0, T, tNodes, 0.0);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);

    final BoundaryCondition lower = new NeumannBoundaryCondition(0.0, sMin, true);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, sMax, true);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> data = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(coef, payoff, lower, upper, grid);
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final int tNodes = 50;
    final int xNodes = 100;
    final BoundaryCondition lower = new DirichletBoundaryCondition(0.0, 0.0);
    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, 10 * FORWARD_CURVE.getForward(T));
    final MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0.0, upper.getLevel(), SPOT, xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

    final ConvectionDiffusionPDE1DFullCoefficients pde1 = PDE_PROVIDER.getFokkerPlank(ConstantDoublesCurve.from(RATE), localVol);
    final ConvectionDiffusionPDE1DStandardCoefficients pde2 = PDE_PROVIDER.getFokkerPlankInStandardCoefficients(ConstantDoublesCurve.from(RATE), localVol);
    final Function1D<Double, Double> initalCondition = INITAL_CONDITION_PROVIDER.getLogNormalDensity(SPOT, 0.01, 0.2);
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    } else {
      lower = new DirichletBoundaryCondition(0.0, minMoneyness);
      upper = new NeumannBoundaryCondition(1.0, maxMoneyness, false);
    }

    final MeshingFunction timeMesh = new ExponentialMeshing(0.0, maxT, nTimeSteps, timeMeshLambda);

    final MeshingFunction spaceMesh = new HyperbolicMeshing(minMoneyness, maxMoneyness, centreMoneyness, nStrikeSteps, strikeMeshBunching);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> intCond = (new InitialConditionsProvider()).getForwardCallPut(isCall);
    final PDEFullResults1D res = (PDEFullResults1D) solver.solve(new PDE1DDataBundle<>(pde, intCond, lower, upper, grid));
    return res;
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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      lower = new DirichletBoundaryCondition(strike, 0.0);
      upper = new NeumannBoundaryCondition(0.0, maxFwd, false);
    }

    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new DoubleExponentialMeshing(0, expiry, expiry / 2, nTimeNodes, timeMeshLambda, -timeMeshLambda);
    //keep the grid the same regardless of spot (useful for finite-difference)
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0.0, maxFwd, fwdNodeCentre, nFwdNodes, spotMeshBunching);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);
    return res;
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final ForwardCurve fwdCurve = new ForwardCurve(1.0);
    final double xL = 0.0;
    final double xH = 4;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, 40, 0.05);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, 2.0, 30, 0.2);
    final PDEGrid1D pdeGrid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> initialCond = INITIAL_COND_PROVIDER.getForwardCallPut(true);
    final double[] xa = new double[] {0, 0 };
    final double[] xb = new double[] {2.0, xH };
    final int[] nKnots = new int[] {3, 10 };
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final ForwardCurve fwdCurve = new ForwardCurve(1.0);
    final double xL = 0.0;
    final double xH = 6;
    final BoundaryCondition lower = new DirichletBoundaryCondition(1.0, xL);
    final BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(xL, xH, 1.0, 40, 0.05);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, 2.0, 30, 0.2);
    final PDEGrid1D pdeGrid = new PDEGrid1D(timeMesh, spaceMesh);
    final Function1D<Double, Double> initialCond = INITIAL_COND_PROVIDER.getForwardCallPut(true);

    final Function1D<DoubleMatrix1D, DoubleMatrix1D> volFunc = new Function1D<DoubleMatrix1D, DoubleMatrix1D>() {
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