continue; LocalDate exerciseDate = expirationDate(bda, calibrationDate, expiries.get(loopexpiry)); LocalDate effectiveDate = convention.calculateSpotDateFromTradeDate(exerciseDate, refData); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate);
ArgChecker.isTrue(nbStrikes == prices.size(), "size of strikes must be the same as size of prices"); LocalDate calibrationDate = calibrationDateTime.toLocalDate(); LocalDate exerciseDate = expirationDate(bda, calibrationDate, periodToExpiry); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate); DoubleArray errors = DoubleArray.filled(nbStrikes, 1e-4);
ArgChecker.isTrue(nbStrikes == normalVolatilities.size(), "size of strikes must be the same as size of prices"); LocalDate calibrationDate = calibrationDateTime.toLocalDate(); LocalDate exerciseDate = expirationDate(bda, calibrationDate, periodToExpiry); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate); DoubleArray errors = DoubleArray.filled(nbStrikes, 1e-4);
ArgChecker.isTrue(nbStrikes == blackVolatilitiesInput.size(), "size of strikes must be the same as size of volatilities"); LocalDate calibrationDate = calibrationDateTime.toLocalDate(); LocalDate exerciseDate = expirationDate(bda, calibrationDate, periodToExpiry); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate); DoubleArray errors = DoubleArray.filled(nbStrikes, 1e-4);
for (int looptenor = 0; looptenor < nbTenors; looptenor++) { double timeTenor = tenors.get(looptenor).getPeriod().getYears() + tenors.get(looptenor).getPeriod().getMonths() / 12; LocalDate exerciseDate = expirationDate(bda, calibrationDate, expiries.get(loopexpiry)); LocalDate effectiveDate = convention.calculateSpotDateFromTradeDate(exerciseDate, refData); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate);
LocalDate exerciseDate = expirationDate(bda, calibrationDate, periodToExpiry); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate); Pair<DoubleArray, DoubleArray> volAndDerivatives = blackVolatilitiesShiftedFromNormalVolatilities(
LocalDate exerciseDate = expirationDate(bda, calibrationDate, periodToExpiry); double timeToExpiry = dayCount.relativeYearFraction(calibrationDate, exerciseDate); Pair<DoubleArray, DoubleArray> volAndDerivatives = blackVolatilitiesShiftedFromBlackVolatilitiesShifted(