Examples of SmileDeltaTermStructureParametersStrikeInterpolation

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

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    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_FLAT, STRANGLE_FLAT);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    final double[] atmFlat = new double[ATM.length];
    Arrays.fill(atmFlat, volatility);
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, atmFlat, RISK_REVERSAL_FLAT, STRANGLE_FLAT);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_2, STRANGLE_2);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_2, STRANGLE_2, interpolator);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_1, ATM, RISK_REVERSAL_1, STRANGLE_1, interpolator);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      atmShift[loopexp] += shift;
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, atmShift, RISK_REVERSAL_2, STRANGLE_2);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    final double[] timeToExpiry = new double[NB_EXP];
    for (int loopexp = 0; loopexp < NB_EXP; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(referenceDate, EXPIRY_PERIOD[loopexp], BUSINESS_DAY, CALENDAR, true);
      timeToExpiry[loopexp] = TimeCalculator.getTimeBetween(referenceDate, expiryDate[loopexp]);
    }
    return new SmileDeltaTermStructureParametersStrikeInterpolation(timeToExpiry, DELTA_2, ATM, RISK_REVERSAL_FLAT, STRANGLE_FLAT);
  }
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final ObjectsPair<Currency, Currency> currencyPair = Pair.of(ccy1, ccy2);
    BlackForexTermStructureParameters termStructure;
    if (volatilitySurfaceObject instanceof SmileDeltaTermStructureParametersStrikeInterpolation) {
      final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
      termStructure = smiles.toTermStructureOnlyData(interpolator);
    } else {
      termStructure = (BlackForexTermStructureParameters) volatilitySurfaceObject;
    }
    final YieldCurveWithBlackForexTermStructureBundle flatData = new YieldCurveWithBlackForexTermStructureBundle(curvesWithFX, termStructure, currencyPair);
    return getResult(fxOption, flatData, target, desiredValues, inputs, spec, executionContext);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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    }
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final Pair<Currency, Currency> currencyPair = Pair.of(ccy1, ccy2);
    if (volatilitySurfaceObject instanceof SmileDeltaTermStructureParametersStrikeInterpolation) {
      final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
      final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, currencyPair);
      return smileBundle;
    }
    final BlackForexTermStructureParameters termStructure = (BlackForexTermStructureParameters) volatilitySurfaceObject;
    final YieldCurveWithBlackForexTermStructureBundle flatData = new YieldCurveWithBlackForexTermStructureBundle(curvesWithFX, termStructure, currencyPair);
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Examples of com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation

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      for (int i = 0; i < n; i++) {
        smiles[i] = new SmileDeltaParameters(t[i], delta[i], volatility[i]);
      }
      final Interpolator1D strikeInterpolator = deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(STRIKE_INTERPOLATOR_NAME));
      final Interpolator1D timeInterpolator = deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(TIME_INTERPOLATOR_NAME));
      return new SmileDeltaTermStructureParametersStrikeInterpolation(smiles, strikeInterpolator, timeInterpolator);
    }
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