Examples of BracketRoot

com.opengamma.analytics.math.rootfinding.BracketRoot
Class that brackets single root of a function. For a 1-D function ( {@link com.opengamma.analytics.math.function.Function1D}) $f(x)$, initial values for the interval, $x_1$ and $x_2$, are supplied.
A root is assumed to be bracketed if $f(x_1)f(x_2) < 0$. If this condition is not satisfied, then either $|f(x_1)| < |f(x_2)|$, in which case the lower value $x_1$ is shifted in the negative $x$ direction, or the upper value $x_2$ is shifted in the positive $x$ direction. The amount by which to shift is the difference between the two $x$ values multiplied by a constant ratio (1.6). If a root is not bracketed after 50 attempts, an exception is thrown.

Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    final int nbInt = ctd.size();
    final double[] kappa = new double[nbInt - 1];
    //    double price = 0.0;
    if (nbInt != 1) {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
    }


    // === Backward Sweep ===

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

  public void calibrate(final DATA_TYPE data) {
    computeCalibrationPrice(data);
    _calibrationObjective.setMulticurves(data.getMulticurveProvider());
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((SuccessiveRootFinderG2ppCalibrationObjective) _calibrationObjective).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

  public void calibrate(final DATA_TYPE data) {
    _calibrationObjective.setInflation(data.getInflationProvider());
    final int nbInstruments = getBasket().size();
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = (SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      objective.setExpiryIndex(_instrumentExpiryIndex.get(loopins + 1));
      objective.setStrikeIndex(_instrumentStrikeIndex.get(loopins + 1));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
    }
  }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    if (Math.abs(_priceK[0]) < eps && Math.abs(_priceK[1]) < eps && Math.abs(_priceK[2]) < eps) {
      // Implementation note: If value and its derivatives is too small, then parameters are such that the extrapolated price is "very small".
      return new double[] {-100.0, 0, 0};
    }
    final CFunction toSolveC = new CFunction(_priceK, _cutOffStrike, _mu);
    final BracketRoot bracketer = new BracketRoot();
    double accuracy = 1.0E-5;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
    final double[] range = bracketer.getBracketedPoints(toSolveC, -1.0, 1.0);
    param[2] = rootFinder.getRoot(toSolveC, range[0], range[1]);
    param[1] = -2 * param[2] / _cutOffStrike - (_priceK[1] / _priceK[0] * _cutOffStrike + _mu) * _cutOffStrike;
    param[0] = Math.log(_priceK[0] / Math.pow(_cutOffStrike, -_mu)) - param[1] / _cutOffStrike - param[2] / (_cutOffStrike * _cutOffStrike);
    return param;
  }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

        price += cfaAdjusted[ctd.get(0)][loopcf];
      }
      price -= e[ctd.get(0)];
    } else {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
      // From -infinity to first cross.
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        price += cfaAdjusted[ctd.get(0)][loopcf] * NORMAL.getCDF(kappa[0] + alpha[ctd.get(0)][loopcf]);

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    final int nbInt = ctd.size();
    final double[] kappa = new double[nbInt - 1];
    //    double price = 0.0;
    if (nbInt != 1) {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
    }


    // === Backward Sweep ===

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

  public void calibrate(final YieldCurveBundle curves) {
    computeCalibrationPrice(curves);
    getCalibrationObjective().setCurves(curves);
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(getCalibrationObjective().getFunctionValueAccuracy(), getCalibrationObjective().getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      getCalibrationObjective().setInstrument(instrument);
      getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
      final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(), getCalibrationObjective().getMinimumParameter(), getCalibrationObjective().getMaximumParameter());
      rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((CapFloorHullWhiteCalibrationObjective) getCalibrationObjective()).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    return sigma;


  }


  private static double[] bracketRoot(final double optionPrice, final Function1D<Double, double[]> pavFunc, final double sigma, final double change) {
    final BracketRoot bracketer = new BracketRoot();
    final Function1D<Double, Double> func = new Function1D<Double, Double>() {
      @Override
      public Double evaluate(final Double volatility) {
        return pavFunc.evaluate(volatility)[0] / optionPrice - 1.0;
      }
    };
    return bracketer.getBracketedPoints(func, sigma - Math.abs(change), sigma + Math.abs(change), 0, Double.POSITIVE_INFINITY);
  }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    //    res[1] = forward * rootT * NORMAL.getPDF(d1);
    //    return res;
  }


  private static double[] bracketRoot(final double forwardPrice, final double forward, final double strike, final double expiry, final boolean isCall, final double sigma, final double change) {
    final BracketRoot bracketer = new BracketRoot();
    final Function1D<Double, Double> func = new Function1D<Double, Double>() {
      @Override
      public Double evaluate(final Double volatility) {
        return price(forward, strike, expiry, volatility, isCall) / forwardPrice - 1.0;
      }
    };
    return bracketer.getBracketedPoints(func, sigma - Math.abs(change), sigma + Math.abs(change), 0, Double.POSITIVE_INFINITY);
  }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

    };
    return rootFinder.getRoot(func, lowerSigma, upperSigma);
  }


  private static double solveByBisection(final SimpleOptionData[] data, final double price, final double sigma, final double change) {
    final BracketRoot bracketer = new BracketRoot();
    final BisectionSingleRootFinder rootFinder = new BisectionSingleRootFinder(EPS);
    final int n = data.length;
    final Function1D<Double, Double> func = new Function1D<Double, Double>() {


      @Override
      public Double evaluate(final Double volatility) {
        double sum = 0.0;
        for (int i = 0; i < n; i++) {
          sum += price(data[i], volatility);
        }
        return sum - price;
      }
    };
    final double[] range = bracketer.getBracketedPoints(func, sigma - Math.abs(change), sigma + Math.abs(change), 0.0, Double.POSITIVE_INFINITY);
    return rootFinder.getRoot(func, range[0], range[1]);
  }

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