List of expectedVariance() Examples

Examples of expectedVariance()

com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE.expectedVariance()
Computes the expected variance by solving the backward PDE. @param spot The current level of the stock or index, greater than zero @param discountCurve The risk free interest rate curve, not null @param dividends The dividends structure, not null @param expiry The expiry of the variance swap, greater than zero @param pureLocalVolSurface A pure local volatility surface, not null @return The expected variance with and without adjustments for the dividend payments (the former is usually the case for single stock and the latter for indices)
com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplication.expectedVariance()
Computes the computes the expected variance with and without adjustments for the dividend payments, by computing the price of a log-contract with expiry coinciding with that of the variance swap, and the value of the dividend corrections at all dividend dates, using the method of static replication from pure option prices obtained from the pure implied volatility surface (The pure< implied volatility is a number that put into Black formula (with unit forward) gives the price of puts and calls of the pure stock). @param spot The current level of the stock or index @param discountCurve The risk free interest rate curve @param dividends The dividends structure @param expiry The expiry of the variance swap @param volSurface A pure implied volatility surface - @return The expected variance (not annualised) with and without adjustments for the dividend payments (the former is usually the case for single stock and the latter for indices)

Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE.expectedVariance()

    double temp = Math.sqrt(2 * (Math.log(sum1) - sum2) / t);
    System.out.println("expected: " + temp);


    PureLocalVolatilitySurface plv = VolatilitySurfaceConverter.convertLocalVolSurface(lv2, new EquityDividendsCurvesBundle(spot, discountCurve, AffineDividends.noDividends()));
    EquityVarianceSwapBackwardsPurePDE backCal = new EquityVarianceSwapBackwardsPurePDE();
    res = backCal.expectedVariance(spot, discountCurve, AffineDividends.noDividends(), t, plv);
    System.out.println(Math.sqrt(res[0] / t));


    double vol = lvs.getVolatility(0.0, 25.0);
    System.out.println(vol);
  }

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE.expectedVariance()

    final AffineDividends ad = AffineDividends.noDividends();


    final EquityVarianceSwapBackwardsPurePDE backSolver = new EquityVarianceSwapBackwardsPurePDE();
    final PureLocalVolatilitySurface plv = new PureLocalVolatilitySurface(ConstantDoublesSurface.from(FLAT_VOL));


    final double[] res2 = backSolver.expectedVariance(SPOT, yieldCurve, ad, EXPIRY, plv);
    final double kVol2 = Math.sqrt(res2[0] / EXPIRY);
    assertEquals(FLAT_VOL, kVol2, 1e-6);
  }


  @Test

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplication.expectedVariance()


    System.out.println("lv: " + lvs.getVolatility(2.0, 1.7 * spot));
    System.out.println("lv2: " + lv2.getVolatility(2.0, 1.7 * spot));


    EquityVarianceSwapStaticReplication vsPricer = new EquityVarianceSwapStaticReplication();
    double[] res = vsPricer.expectedVariance(spot, discountCurve, AffineDividends.noDividends(), t, ivs);
    System.out.println(Math.sqrt(res[0] / t));


    double sum1 = 0.0;
    double sum2 = 0.0;
    for (int i = 0; i < 3; i++) {

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