private double logContactPriceFromPureSpot(final LocalVolatilitySurfaceMoneyness lv) {
final double fT = DIV_CURVES.getF(EXPIRY);
final double dT = DIV_CURVES.getD(EXPIRY);
final double dStar = dT / (fT - dT);
final ConvectionDiffusionPDE1DCoefficients pde =
PDE_PROVIDER.getLogBackwardsLocalVol(EXPIRY, lv);
final double theta = 0.5;
final double yL = -0.5;
final double yH = 0.5;
final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);
final BoundaryCondition lower =
new NeumannBoundaryCondition(1 / (1 + dStar * Math.exp(-yL)), yL, true);
final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, yH, false);
final MeshingFunction timeMesh = new ExponentialMeshing(0.0, EXPIRY, 100, 0.0);
final MeshingFunction spaceMesh = new ExponentialMeshing(yL, yH, 101, 0.0);
final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db =
new PDE1DDataBundle<>(pde, PURE_LOG_PAY_OFF, lower, upper, grid);
final PDEResults1D res = solver.solve(db);
final int n = res.getNumberSpaceNodes();
final double val = res.getFunctionValue(n / 2);
return val;
}
