Package com.opengamma.analytics.math

Examples of com.opengamma.analytics.math.MathException

35
36
37
38
39
40
41
42
43
44
    final MultivariateRealOptimizer optimizer = new MultiDirectional();
    final MultivariateRealFunction commons = CommonsMathWrapper.wrapMultivariate(f);
    try {
      return new DoubleMatrix1D(CommonsMathWrapper.unwrap(optimizer.optimize(commons, MINIMIZER, initialPoint.getData())));
    } catch (final ConvergenceException e) {
      throw new MathException(e);
    } catch (final FunctionEvaluationException e) {
      throw new MathException(e);
    }
  }
View Full Code Here
84
85
86
87
88
89
90
      x3 = u;
      f1 = f2;
      f2 = f3;
      f3 = fu;
    }
    throw new MathException("Could not bracket a minimum in " + MAX_ITER + " attempts");
  }
View Full Code Here
95
96
97
98
99
100
101
102
103
104
105
          oldValue = xData[i];
          xData[i] += _eps;
          if (!domain.evaluate(x)) {
            xData[i] = oldValue - _twoEps;
            if (!domain.evaluate(x)) {
              throw new MathException("cannot get derivative at point " + x.toString() + " in direction " + i);
            }
            y[0] = function.evaluate(x);
            xData[i] = oldValue;
            y[2] = function.evaluate(x);
            xData[i] = oldValue - _eps;
View Full Code Here
135
136
137
138
139
140
141
142
          resetCount = 0;
        }
      }
    }
    final double value = function.evaluate(x);
    throw new MathException("ConjugateGradient failed to converge after " + _maxIterations + " iterations, with a tolerance of " + _relTol + ". Final value: " + value
        + ". Final position reached was " + x.toString());
  }
View Full Code Here
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
    data.setG0(y * y);
    data.setGrad(grad.evaluate(startPosition));
    data.setInverseHessianEsimate(getInitializedMatrix(startPosition));

    if (!getNextPosition(function, grad, data)) {
      throw new MathException("Cannot work with this starting position. Please choose another point");
    }

    int count = 0;
    int resetCount = 1;

    while (!isConverged(data)) {
      if ((resetCount) % RESET_FREQ == 0) {
        data.setInverseHessianEsimate(getInitializedMatrix(startPosition));
        resetCount = 1;
      } else {
        _hessainUpdater.update(data);
      }
      if (!getNextPosition(function, grad, data)) {
        data.setInverseHessianEsimate(getInitializedMatrix(startPosition));
        resetCount = 1;
        if (!getNextPosition(function, grad, data)) {
          throw new MathException("Failed to converge in backtracking");
        }
      }
      count++;
      resetCount++;
      if (count > _maxSteps) {
        throw new MathException("Failed to converge after " + _maxSteps + " iterations. Final point reached: " + data.getX().toString());
      }
    }
    return data.getX();
  }
View Full Code Here
41
42
43
44
45
46
47
48
49
50
51
    if (data.getLowerBoundIndex(value) == n) {
      return yData[n];
    }
    final double delta = xData[high] - xData[low];
    if (Math.abs(delta) < _eps) {
      throw new MathException("x data points were not distinct");
    }
    final double a = (xData[high] - value) / delta;
    final double b = (value - xData[low]) / delta;
    final double[] y2 = splineData.getSecondDerivatives();
    return a * yData[low] + b * yData[high] + (a * (a * a - 1) * y2[low] + b * (b * b - 1) * y2[high]) * delta * delta / 6.;
View Full Code Here
65
66
67
68
69
70
71
72
73
74
75
    if (data.getLowerBoundIndex(value) == n) {
      return yData[n];
    }
    final double delta = xData[high] - xData[low];
    if (Math.abs(delta) < _eps) {
      throw new MathException("x data points were not distinct");
    }
    final double a = (xData[high] - value) / delta;
    final double b = (value - xData[low]) / delta;
    final double[] y2 = splineData.getSecondDerivatives();
    return (yData[high] - yData[low]) / delta + ((-3. * a * a + 1.) * y2[low] + (3. * b * b - 1.) * y2[high]) * delta / 6.;
View Full Code Here
100
101
102
103
104
105
106
107
108
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * dfPayment * cmsCoupon.getNotional() * cmsCoupon.getPaymentYearFraction();
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return CurrencyAmount.of(cmsCoupon.getCurrency(), pv);
  }
View Full Code Here
359
360
361
362
363
364
365
366
367
368
369
        h = _df2 * cdfd1 * (1 - 1 / _q2) + (1 - _df2 * NORMAL.getPDF(d1) / _sigmaRootT) / _q2;
        error = Math.abs(s - _k - rhs) / _k;
        count++;
      }
      if (count == MAX_INT) {
        throw new MathException("max iterations exceeded");
      }
      s = (_k + rhs - h * s) / (1 - h); //since we've calculated h & rhs, might as well update s

      return s;
    }
View Full Code Here
54
55
56
57
58
59
60
    for (final Double r : roots) {
      if (r > 0) {
        return data.withAlpha(r);
      }
    }
    throw new MathException("Could not find positive real root");
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.math.MathException

  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.ISDACompliantPresentValueCreditDefaultSwap
  • com.opengamma.analytics.financial.interestrate.payments.derivative.DeprecatedCouponCMSTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSHullWhiteNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSHullWhiteNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSHullWhiteNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadG2ppNumericalIntegrationMethod
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.