Package com.opengamma.analytics.math

Examples of com.opengamma.analytics.math.MathException

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    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar))
          * integrator2D.integrate(integrant, new Double[] {-INTEGRATION_LIMIT, -INTEGRATION_LIMIT}, new Double[] {INTEGRATION_LIMIT, INTEGRATION_LIMIT});
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return MultipleCurrencyAmount.of(cmsSpread.getCurrency(), dftp * pv * cmsSpread.getNotional() * cmsSpread.getPaymentYearFraction());
  }
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    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 * cms.getNotional() * cms.getPaymentYearFraction();
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return CurrencyAmount.of(cms.getCurrency(), pv);
  }
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        return INTEGRATOR.integrate(CommonsMathWrapper.wrapUnivariate(f), lower, upper);
      }
      s_logger.info("Upper bound was less than lower bound; swapping bounds and negating result");
      return -INTEGRATOR.integrate(CommonsMathWrapper.wrapUnivariate(f), upper, lower);
    } catch (final FunctionEvaluationException e) {
      throw new MathException(e);
    } catch (final org.apache.commons.math.ConvergenceException e) {
      throw new MathException(e);
    }
  }
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        return _integrator.integrate(CommonsMathWrapper.wrapUnivariate(f), lower, upper);
      }
      s_logger.info("Upper bound was less than lower bound; swapping bounds and negating result");
      return -_integrator.integrate(CommonsMathWrapper.wrapUnivariate(f), upper, lower);
    } catch (final FunctionEvaluationException e) {
      throw new MathException(e);
    } catch (final org.apache.commons.math.ConvergenceException e) {
      throw new MathException(e);
    }
  }
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        return _integrator.integrate(CommonsMathWrapper.wrapUnivariate(f), lower, upper);
      }
      s_logger.info("Upper bound was less than lower bound; swapping bounds and negating result");
      return -_integrator.integrate(CommonsMathWrapper.wrapUnivariate(f), upper, lower);
    } catch (final FunctionEvaluationException e) {
      throw new MathException(e);
    } catch (final org.apache.commons.math.ConvergenceException e) {
      throw new MathException(e);
    }
  }
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      return 0.0; // on accrual start date
    }

    index = -(index + 1); // binary search notation
    if (index == 0) {
      throw new MathException("Error in calculateAccruedInterest - check logic"); // this should never be hit
    }

    return _accuralDayCount.getDayCountFraction(premiumLegSchedule.getAccStartDate(index - 1), stepinDate);
  }
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    final double integrationInterval = 1.00;
    double integralPart;
    try {
      integralPart = integratorOG.integrate(integrant, strike, strike + integrationInterval);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    final double priceCMS = factor * (strikePart + integralPart) * CMS_COUPON_RECEIVER.getNotional() * CMS_COUPON_RECEIVER.getPaymentYearFraction();
    assertEquals(8854.551, priceCMS, 1E-2);
    // Price not verified yet: from previous run.
    final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
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    final InArrearsIntegrant integrant = new InArrearsIntegrant(METHOD_SABREXTRA_STD, capStandard, SABR_MULTICURVES);
    double integralPart;
    try {
      integralPart = integrator.integrate(integrant, STRIKE, STRIKE + 2.0);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    integralPart *= 2.0 * CAP_LONG.getFixingAccrualFactor();
    final MultipleCurrencyAmount price = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_MULTICURVES);
    final double priceExpected = (strikePart + integralPart) / beta;
    assertEquals("Cap/floor IA - SABR pricing", priceExpected, price.getAmount(EUR), TOLERANCE_PV);
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    final RealMatrix temp = CommonsMathWrapper.wrap(x);
    CholeskyDecomposition cholesky;
    try {
      cholesky = new CholeskyDecompositionImpl(temp);
    } catch (Exception e) {
      throw new MathException(e.toString());
    }
    return new CholeskyDecompositionCommonsResult(cholesky);
  }
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    final int cols = x.getNumberOfColumns();
    for (int i = 0; i < rows; i++) {
      for (int j = 0; j < cols; j++) {
        final double temp = x.getEntry(i, j);
        if (Double.isNaN(temp)) {
          throw new MathException("Matrix contains a NaN");
        }
        if (Double.isInfinite(temp)) {
          throw new MathException("Matrix contains an infinite");
        }
      }
    }
  }
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