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

Package com.opengamma.analytics.math.function

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

com.opengamma.analytics.math.function.DoubleFunction1D
Parent class for a family of functions that take real arguments and return real values. The functionality of {@link Function1D} is extended; this class allows arithmetic operations on functions and defines a derivative function.

        .with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
        .with(ValuePropertyNames.CALCULATION_METHOD, SABR_NO_EXTRAPOLATION).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(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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