Examples of com.opengamma.analytics.math.surface.InterpolatedSurfaceAdditiveShiftFunction.evaluate()


    final InterpolatedDoublesSurface blackSurf = (InterpolatedDoublesSurface) surface;
    final InterpolatedSurfaceAdditiveShiftFunction volShifter = new InterpolatedSurfaceAdditiveShiftFunction();


    // shift UP
    final InterpolatedDoublesSurface bumpedVolUp = volShifter.evaluate(blackSurf, maturity, strike, shift);
    StaticReplicationDataBundle bumpedMarket = new StaticReplicationDataBundle(market.getVolatilitySurface().withSurface(bumpedVolUp), market.getDiscountCurve(),
        market.getForwardCurve());
    final double pvUp = derivative.accept(_pricer, bumpedMarket);


    // shift DOWN

    StaticReplicationDataBundle bumpedMarket = new StaticReplicationDataBundle(market.getVolatilitySurface().withSurface(bumpedVolUp), market.getDiscountCurve(),
        market.getForwardCurve());
    final double pvUp = derivative.accept(_pricer, bumpedMarket);


    // shift DOWN
    final InterpolatedDoublesSurface bumpedVolDown = volShifter.evaluate(blackSurf, maturity, strike, -shift);
    bumpedMarket = new StaticReplicationDataBundle(market.getVolatilitySurface().withSurface(bumpedVolDown), market.getDiscountCurve(), market.getForwardCurve());
    final double pvDown = derivative.accept(_pricer, bumpedMarket);


    // Centered-difference result
    return (pvUp - pvDown) / (2.0 * shift);

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