Examples of PureImpliedVolatilitySurface


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

    final double[] expiryNumber = strikesAndValues.getFirst();
    final double[] expiries = getExpiries(expiryNumber, date);
    final double[][] strikes = strikesAndValues.getSecond();
    final double[][] prices = strikesAndValues.getThird();
    final VolatilitySurfaceInterpolator surfaceInterpolator = (VolatilitySurfaceInterpolator) interpolatorObject;
    final PureImpliedVolatilitySurface pureSurface = EquityVolatilityToPureVolatilitySurfaceConverter.getConvertedSurface(spot, curve, dividends, expiries, strikes, prices,
        surfaceInterpolator);
    final FunctionalVolatilitySurfaceData surfaceData = new FunctionalVolatilitySurfaceData(pureSurface, X_LABEL, expiries[0], expiries[expiries.length - 1], 25, Y_LABEL,
        0.25, 1.75, 50, 0, 0.6);
    final ValueProperties properties = getResultProperties(desiredValue);
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.PURE_VOLATILITY_SURFACE, target.toSpecification(), properties), surfaceData));
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