Examples of PureImpliedVolatilitySurface

Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void vegaPureLocalVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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    @SuppressWarnings("unchecked")
    @Override
    public PureImpliedVolatilitySurface buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final Object surface = deserializer.fieldValueToObject(message.getByName(SURFACE_FIELD_NAME));
      return new PureImpliedVolatilitySurface((Surface<Double, Double, Double>) surface);
    }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  }

  @Test
  public void bucketedVegaTest() {
    if (PRINT) {
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void dividendSensitivityWithStickyImpVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));

      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void deltaWithDtickyStikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void deltaWithStickyPureStrikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void gammaStickyStikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void gammaWithStickyPureStrikeTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void vegaImpVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.PureImpliedVolatilitySurface

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  @Test
  public void vegaPureImpVolTest() {
    if (PRINT) {
      //make all the implied volatility scenarios with the spot fixed
      final PureImpliedVolatilitySurface flat = new PureImpliedVolatilitySurface(ConstantDoublesSurface.from(PURE_VOL));
      final SmileSurfaceDataBundle v1 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, flat);
      final SmileSurfaceDataBundle v2 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, flat);
      final SmileSurfaceDataBundle v3 = v2;
      final SmileSurfaceDataBundle v4 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, NULL_DIVIDENDS, PURE_VOL_SURFACE);
      final SmileSurfaceDataBundle v5 = getMarketVols(SPOT, EXPIRIES, STRIKES, DISCOUNT_CURVE, DIVIDENDS, PURE_VOL_SURFACE);
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