Examples of MeshingFunction

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

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      upper = new DirichletBoundaryCondition(0.0, maxMoneyness);
    } 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> initialCond = (new InitialConditionsProvider()).getForwardCallPut(isCall);
    final PDEFullResults1D res = (PDEFullResults1D) solver.solve(new PDE1DDataBundle<>(pde, initialCond, lower, upper, grid));
    return res;
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final double sMin = Math.min(0.8 * k, s0 / mult);
    final double sMax = Math.max(1.25 * k, s0 * mult);

    // set up a near-uniform mesh that includes spot and strike
    final double[] fixedPoints = k == 0.0 ? new double[] {s0} : new double[] {s0, k};
    final MeshingFunction xMesh = new ExponentialMeshing(sMin, sMax, spaceNodes, 0.0, fixedPoints);

    PDEGrid1D[] grid;
    double[] theta;
    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double tBurn = _burninFrac * t * t / timeNodes;
      if (tBurn >= t) { // very unlikely to hit this
        final int minNodes = (int) Math.ceil(_burninFrac * t);
        final double minFrac = timeNodes / t;
        throw new IllegalArgumentException("burn in period greater than total time. Either increase timeNodes to above " + minNodes + ", or reduce burninFrac to below "
            + minFrac);
      }
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0.0, tBurn, tBurnNodes, 0.0);
      final MeshingFunction tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, 0.0);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
      grid[1] = new PDEGrid1D(tMesh, xMesh);
      theta = new double[] {_burninTheta, _mainRunTheta};
    } else {
      grid = new PDEGrid1D[1];
      final MeshingFunction tMesh = new ExponentialMeshing(0, t, timeNodes, 0.0);
      grid[0] = new PDEGrid1D(tMesh, xMesh);
      theta = new double[] {_mainRunTheta};
    }

    return price(s0, k, r, b, t, sigma, isCall, isAmerican, grid, theta);
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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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      PDEUtilityTools.printSurface("Market local Vols", marketLocalVol.getSurface(), minT, maxT, minK, maxK);
    }

    //get the local vol of basic Markov chain model

    final MeshingFunction timeMesh = new ExponentialMeshing(0, tmaxT, tNodes, 2.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 6.0 * forward.getForward(tmaxT), forward.getForward(0), xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

    final TwoStateMarkovChainWithLocalVolDensity densityCal = new TwoStateMarkovChainWithLocalVolDensity(forward, chainData, new AbsoluteLocalVolatilitySurface(ConstantDoublesSurface.from(1.0)));
    PDEFullResults1D[] denRes = densityCal.solve(grid);

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

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    final int tNodes = 20;
    final int xNodes = 100;

    //TODO remove hard coded grid
    final MeshingFunction timeMesh = new ExponentialMeshing(0, tmaxT, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0, 10.0 * forward.getForward(maxT), forward.getSpot(), xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

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

      @SuppressWarnings("synthetic-access")
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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      } else {
        upper = new DirichletBoundaryCondition(0.0, sMax);
      }
    }

    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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      } else {
        upper = new DirichletBoundaryCondition(0.0, sMax);
      }
    }

    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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      };
      lower = new DirichletBoundaryCondition(lowerValue, sMin);
      upper = new DirichletBoundaryCondition(0.0, sMax);
    }

    final MeshingFunction tMesh = new ExponentialMeshing(0, expiry, _nTNodes, _lambda);
    final MeshingFunction xMesh = new HyperbolicMeshing(sMin, sMax, spot, _nXNodes, _bunching);
    final PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, intCon, lower, upper, grid);

    final PDEResults1D res = SOLVER.solve(pdeData);
    //for now just do linear interpolation on price. TODO replace this with something more robust
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Examples of com.opengamma.analytics.financial.model.finitedifference.MeshingFunction

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    final int tBurnNodes = (int) (USE_BURNIN ? Math.max(2, timeNodes * BURNIN_FRACTION) : 0);
    final double tBurn = USE_BURNIN ? BURNIN_FRACTION * t * t / timeNodes : 0.0;

    // set up a near-uniform mesh that includes spot and strike
    MeshingFunction xMesh = new ExponentialMeshing(sMin, sMax, spaceNodes, 0.0, new double[] {s0, k});
    MeshingFunction tMeshBurn = USE_BURNIN ? new ExponentialMeshing(0.0, tBurn, tBurnNodes, 0.0) : null;
    MeshingFunction tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, 0.0);
    PDEGrid1D gridBurn = USE_BURNIN ? new PDEGrid1D(tMeshBurn, xMesh) : null;
    PDEGrid1D grid = new PDEGrid1D(tMesh, xMesh);
    final int index = Arrays.binarySearch(grid.getSpaceNodes(), s0);
    ArgumentChecker.isTrue(index >= 0, "cannot find spot on grid");

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

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    final double sMin = Math.min(0.8 * k, s0 / mult);
    final double sMax = Math.max(1.25 * k, s0 * mult);

    // set up a near-uniform mesh that includes spot and strike
    final double[] fixedPoints = k == 0.0 ? new double[] {s0} : new double[] {s0, k};
    final MeshingFunction xMesh = new ExponentialMeshing(sMin, sMax, spaceNodes, 0.0, fixedPoints);

    PDEGrid1D[] grid;
    double[] theta;
    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double tBurn = _burninFrac * t * t / timeNodes;
      if (tBurn >= t) { // very unlikely to hit this
        final int minNodes = (int) Math.ceil(_burninFrac * t);
        final double minFrac = timeNodes / t;
        throw new IllegalArgumentException("burn in period greater than total time. Either increase timeNodes to above " + minNodes + ", or reduce burninFrac to below " + minFrac);
      }
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0.0, tBurn, tBurnNodes, 0.0);
      final MeshingFunction tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, 0.0);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
      grid[1] = new PDEGrid1D(tMesh, xMesh);
      theta = new double[] {_burninTheta, _mainRunTheta};
    } else {
      grid = new PDEGrid1D[1];
      final MeshingFunction tMesh = new ExponentialMeshing(0, t, timeNodes, 0.0);
      grid[0] = new PDEGrid1D(tMesh, xMesh);
      theta = new double[] {_mainRunTheta};
    }

    return price(fwd, riskFreeRate, option, localVol, isAmerican, grid, theta);
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