Examples of SABRBerestyckiVolatilityFunction


Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRBerestyckiVolatilityFunction

    final SABRInterestRateParameters sabrParameterHaganAlt = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrHaganAltBundle = new SABRInterestRateDataBundle(sabrParameterHaganAlt, curves);
    final double priceHaganAlt = CMS_COUPON_RECEIVER.accept(PVC, sabrHaganAltBundle);
    assertEquals(priceHagan, priceHaganAlt, 40.0);
    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
    final SABRInterestRateDataBundle sabrBerestyckiBundle = new SABRInterestRateDataBundle(sabrParameterBerestycki, curves);
    final double priceBerestycki = CMS_COUPON_RECEIVER.accept(PVC, sabrBerestyckiBundle);
    assertEquals(priceHagan, priceBerestycki, 5);
    final SABRInterestRateParameters sabrParameterPaulot = TestsDataSetsSABR.createSABR1(new SABRPaulotVolatilityFunction());
    final SABRInterestRateDataBundle sabrPaulotBundle = new SABRInterestRateDataBundle(sabrParameterPaulot, curves);
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Examples of com.opengamma.analytics.financial.model.volatility.smile.function.SABRBerestyckiVolatilityFunction

    final SABRInterestRateParameters sabrParameterHaganAlt = TestsDataSetsSABR.createSABR1(new SABRHaganAlternativeVolatilityFunction());
    final SABRInterestRateDataBundle sabrHaganAltBundle = new SABRInterestRateDataBundle(sabrParameterHaganAlt, curves);
    final double priceHaganAlt = SWAPTION_LONG_PAYER.accept(PVC, sabrHaganAltBundle);
    assertEquals(priceHagan, priceHaganAlt, 5E+2);
    // SABR Berestycki volatility function
    final SABRInterestRateParameters sabrParameterBerestycki = TestsDataSetsSABR.createSABR1(new SABRBerestyckiVolatilityFunction());
    final SABRInterestRateDataBundle sabrBerestyckiBundle = new SABRInterestRateDataBundle(sabrParameterBerestycki, curves);
    final double priceBerestycki = SWAPTION_LONG_PAYER.accept(PVC, sabrBerestyckiBundle);
    assertEquals(priceHagan, priceBerestycki, 5E+2);
    // SABR Johnson volatility function
    final SABRInterestRateParameters sabrParameterJohnson = TestsDataSetsSABR.createSABR1(new SABRJohnsonVolatilityFunction());
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