Package com.opengamma.analytics.math.function

Examples of com.opengamma.analytics.math.function.DoubleFunction1D

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    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    return PresentValueNodeSensitivityCalculator.using(new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu));
  }

  private static DoubleFunction1D getCorrelationFunction() {
    return new DoubleFunction1D() {

      @Override
      public Double evaluate(final Double x) {
        return 0.8;
      }
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    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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  protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(final ValueRequirement desiredValue) {
    return NSC;
  }

  private static DoubleFunction1D getCorrelationFunction() {
    return new DoubleFunction1D() {

      @Override
      public Double evaluate(final Double x) {
        return 0.8;
      }
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    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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        .with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
        .with(InstrumentTypeProperties.PROPERTY_CUBE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_CUBE).get();
  }

  private static DoubleFunction1D getCorrelationFunction() {
    return new DoubleFunction1D() {

      @Override
      public Double evaluate(final Double x) {
        return 0.8;
      }
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    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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        .with(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE, cutoff)
        .with(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER, mu).get();
  }

  private static DoubleFunction1D getCorrelationFunction() {
    return new DoubleFunction1D() {

      @Override
      public Double evaluate(final Double x) {
        return 0.8;
      }
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  }

  public Double getRoot(final Function1D<Double, Double> function, final Double x) {
    Validate.notNull(function, "function");
    Validate.notNull(x, "x");
    final DoubleFunction1D f = DoubleFunction1D.from(function);
    return getRoot(f, f.derivative(), x);
  }
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    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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Related Classes of com.opengamma.analytics.math.function.DoubleFunction1D

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  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethodTest
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParametersTest
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  • com.opengamma.analytics.math.function.special.OrthonormalHermitePolynomialFunction
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  • com.opengamma.analytics.math.integration.GaussJacobiWeightAndAbscissaFunction
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