Examples of PDEGrid1D

Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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  public void degenerateTest() {
    int tNodes = 20;
    int xNodes = 100;
    MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    MeshingFunction spaceMesh = new HyperbolicMeshing(-0.0 * FORWARD.getForward(T), 6.0 * FORWARD.getForward(T), FORWARD.getSpot(), xNodes, 0.01);
    PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);

    double l12 = 0.3;
    double l21 = 2.0;
    double pi1 = l21 / (l12 + l21);

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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(PDE, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

    final int n = res.getNumberSpaceNodes();
    //    for (int i = 0; i < n; i++) {
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    final MeshingFunction spaceMesh = new HyperbolicMeshing(fL, fH, (fL + fH) / 2, 101, 0.4);

    // ZZConvectionDiffusionPDEDataBundle pde_data = PDE_DATA_PROVIDER.getBackwardsLocalVolLogPayoff(EXPIRY, lvm);
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_DATA_PROVIDER.getLogBackwardsLocalVol(EXPIRY, lvm);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

    final int n = res.getNumberSpaceNodes();
    final double[] values = new double[n];
    for (int i = 0; i < n; i++) {
      //      System.out.println(res.getSpaceValue(i) + "\t" + res.getFunctionValue(i));
      values[i] = res.getFunctionValue(i);
    }

    final Interpolator1DDataBundle idb = INTERPOLATOR.getDataBundle(grid.getSpaceNodes(), values);
    final double elogS = INTERPOLATOR.interpolate(idb, Math.log(ft));
    final double kVol = Math.sqrt(-2 * (elogS - Math.log(ft)) / EXPIRY);
    //  System.out.println("expected:" + expected + " actual:" + kVol);
    assertEquals(expected, kVol, 1e-3); //TODO Improve on 10bps error - local surface is (by construction) very smooth. NOTE: this has got worse since we improved the T -> 0
    //behaviour of the mixed log-normal local volatility surface
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    final double[] spaceGrid = new double[xNodes];
    for (int i = 0; i < xNodes; i++) {
      spaceGrid[i] = spaceMesh.evaluate(i);
    }
    final PDEGrid1D grid = new PDEGrid1D(timeGrid, spaceGrid);

    final PDEResults1D[] res = solver.solve(DATA1, DATA2, grid, LOWER, UPPER, LOWER, UPPER, null);
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
    final PDEFullResults1D res2 = (PDEFullResults1D) res[1];
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Examples of com.opengamma.analytics.financial.model.finitedifference.PDEGrid1D

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    BUCKETED_GREEKS.put(BucketedGreekResultCollection.BUCKETED_VEGA, BUCKETED_VEGA);
  }

  @Test
  public void testGrid() {
    final PDEGrid1D grid = cycleObject(PDEGrid1D.class, GRID);
    assertEquals(grid.getNumSpaceNodes(), GRID.getNumSpaceNodes());
    assertEquals(grid.getNumTimeNodes(), GRID.getNumTimeNodes());
    assertArrayEquals(grid.getTimeNodes(), GRID.getTimeNodes(), 1e-9);
    assertArrayEquals(grid.getSpaceNodes(), GRID.getSpaceNodes(), 1e-9);
  }
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