Package com.opengamma.analytics.math.function

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

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  @Override
  public Pair<DoubleFunction1D, DoubleFunction1D>[] getPolynomialsAndFirstDerivative(final int n) {
    Validate.isTrue(n >= 0);
    @SuppressWarnings("unchecked")
    final Pair<DoubleFunction1D, DoubleFunction1D>[] polynomials = new Pair[n + 1];
    DoubleFunction1D p, dp;
    for (int i = 0; i <= n; i++) {
      if (i == 0) {
        polynomials[i] = Pair.of(getOne(), getZero());
      } else if (i == 1) {
        polynomials[i] = Pair.of(getX(), getOne());
      } else {
        p = (polynomials[i - 1].getFirst().multiply(getX()).multiply(2 * i - 1).subtract(polynomials[i - 2].getFirst().multiply(i - 1))).multiply(1. / i);
        dp = p.derivative();
        polynomials[i] = Pair.of(p, dp);
      }
    }
    return polynomials;
  }
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  public Pair<DoubleFunction1D, DoubleFunction1D>[] getPolynomialsAndFirstDerivative(final int n, final double alpha, final double beta) {
    Validate.isTrue(n >= 0);
    @SuppressWarnings("unchecked")
    final Pair<DoubleFunction1D, DoubleFunction1D>[] polynomials = new Pair[n + 1];
    DoubleFunction1D p, dp, p1, p2;
    for (int i = 0; i <= n; i++) {
      if (i == 0) {
        polynomials[i] = Pair.of(getOne(), getZero());
      } else if (i == 1) {
        final double a1 = (alpha + beta + 2) / 2;
        polynomials[i] = Pair.of((DoubleFunction1D) new RealPolynomialFunction1D(new double[] {(alpha - beta) / 2, a1}), (DoubleFunction1D) new RealPolynomialFunction1D(new double[] {a1}));
      } else {
        final int j = i - 1;
        p1 = polynomials[j].getFirst();
        p2 = polynomials[j - 1].getFirst();
        final DoubleFunction1D temp1 = p1.multiply(getB(alpha, beta, j));
        final DoubleFunction1D temp2 = p1.multiply(getX()).multiply(getC(alpha, beta, j));
        final DoubleFunction1D temp3 = p2.multiply(getD(alpha, beta, j));
        p = (temp1.add(temp2).add(temp3)).divide(getA(alpha, beta, j));
        dp = p.derivative();
        polynomials[i] = Pair.of(p, dp);
      }
    }
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  public Pair<DoubleFunction1D, DoubleFunction1D>[] getPolynomialsAndFirstDerivative(final int n, final double alpha) {
    Validate.isTrue(n >= 0);
    @SuppressWarnings("unchecked")
    final Pair<DoubleFunction1D, DoubleFunction1D>[] polynomials = new Pair[n + 1];
    DoubleFunction1D p, dp, p1, p2;
    for (int i = 0; i <= n; i++) {
      if (i == 0) {
        polynomials[i] = Pair.of(getOne(), getZero());
      } else if (i == 1) {
        polynomials[i] = Pair.of(F1, DF1);
      } else {
        p1 = polynomials[i - 1].getFirst();
        p2 = polynomials[i - 2].getFirst();
        p = (p1.multiply(2. * i + alpha - 1).subtract(p1.multiply(getX())).subtract(p2.multiply((i - 1. + alpha))).divide(i));
        dp = (p.multiply(i).subtract(p1.multiply(i + alpha))).divide(getX());
        polynomials[i] = Pair.of(p, dp);
      }
    }
    return polynomials;
  }
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  @Override
  public Pair<DoubleFunction1D, DoubleFunction1D>[] getPolynomialsAndFirstDerivative(final int n) {
    Validate.isTrue(n >= 0);
    @SuppressWarnings("unchecked")
    final Pair<DoubleFunction1D, DoubleFunction1D>[] polynomials = new Pair[n + 1];
    DoubleFunction1D p, dp, p1, p2;
    final double divisor = Math.sqrt(2 * n);
    final double sqrt2 = Math.sqrt(2);
    final DoubleFunction1D x = getX();
    for (int i = 0; i <= n; i++) {
      if (i == 0) {
        polynomials[i] = Pair.of((DoubleFunction1D) F0, getZero());
      } else if (i == 1) {
        polynomials[i] = Pair.of(polynomials[0].getFirst().multiply(sqrt2).multiply(x), (DoubleFunction1D) DF1);
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  }

  @Test
  public void getter() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation }); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    assertEquals("CMS spread binormal method: correlation function getter", correlationFunction, method.getCorrelation());
  }
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  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValue() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation }); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE).getAmount();
    final double discountFactorPayment = CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(PAYMENT_TIME);
    final CouponCMSSABRReplicationMethod methodCms = CouponCMSSABRReplicationMethod.getInstance();
    final CapFloorCMSSABRReplicationMethod methodCmsCap = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
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    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double[] correlation = new double[] {-0.50, 0.00, 0.50, 0.75, 0.80, 0.85, 0.90, 0.95, 0.99 };
    final int nbCor = correlation.length;
    final double[] impliedCorrelation = new double[nbCor];
    for (int loopcor = 0; loopcor < nbCor; loopcor++) {
      final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation[loopcor] }); // Constant function
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
      final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, sabrBundle).getAmount();
      impliedCorrelation[loopcor] = method.impliedCorrelation(CMS_CAP_SPREAD, sabrBundle, cmsSpreadPrice);
      assertEquals("CMS spread cap/floor: implied correlation", correlation[loopcor], impliedCorrelation[loopcor], 1.0E-10);
    }
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  }

  @Test
  public void getter() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation}); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    assertEquals("CMS spread binormal method: correlation function getter", correlationFunction, method.getCorrelation());
  }
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  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValue() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation}); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES).getAmount(EUR);
    final double discountFactorPayment = MULTICURVES.getDiscountFactor(EUR, PAYMENT_TIME);
    final CouponCMSSABRReplicationMethod methodCms = CouponCMSSABRReplicationMethod.getInstance();
    final CapFloorCMSSABRReplicationMethod methodCmsCap = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
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  public void impliedCorrelation() {
    final double[] correlation = new double[] {-0.50, 0.00, 0.50, 0.75, 0.80, 0.85, 0.90, 0.95, 0.99};
    final int nbCor = correlation.length;
    final double[] impliedCorrelation = new double[nbCor];
    for (int loopcor = 0; loopcor < nbCor; loopcor++) {
      final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation[loopcor]}); // Constant function
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
      final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES).getAmount(EUR);
      impliedCorrelation[loopcor] = method.impliedCorrelation(CMS_CAP_SPREAD, SABR_MULTICURVES, cmsSpreadPrice);
      assertEquals("CMS spread cap/floor: implied correlation", correlation[loopcor], impliedCorrelation[loopcor], 1.0E-10);
    }
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  • com.opengamma.analytics.math.integration.GaussJacobiWeightAndAbscissaFunction
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