Package com.opengamma.analytics.math.integration

Examples of com.opengamma.analytics.math.integration.IntegratorRepeated2D

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        swaption.getUnderlyingSwap(), strike);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-0;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit}, new Double[] {limit, limit});
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }

    return MultipleCurrencyAmount.of(swaption.getCurrency(), dft0 * pv * (swaption.isLong() ? 1.0 : -1.0));
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    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha, tau2, rhobar);
    final double limit = 12.0;
    final double absoluteTolerance = 1.0E-1;
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit }, new Double[] {limit, limit });
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return CurrencyAmount.of(swaption.getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
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    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha, tau2, rhobar);
    final double limit = 12.0;
    final double absoluteTolerance = 1.0E-1;
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit}, new Double[] {limit, limit});
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
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    final SpreadIntegrant integrant = new SpreadIntegrant(discountedCashFlowFixed, alphaFixed, tau2Fixed, discountedCashFlowIbor, alphaIbor, tau2Ibor, alphaTp, tau2Tp, rhobar, strike,
        cmsSpread.isCap());
    final double absoluteTolerance = 1.0E-6; // 1.0E-5;
    final double relativeTolerance = 1.0E-6; // 1.0E-5
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    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 CurrencyAmount.of(cmsSpread.getCurrency(), dftp * pv * cmsSpread.getNotional() * cmsSpread.getPaymentYearFraction());
  }
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    final SpreadIntegrant integrant = new SpreadIntegrant(discountedCashFlowFixed, alphaFixed, tau2Fixed, discountedCashFlowIbor, alphaIbor, tau2Ibor, alphaTp, tau2Tp, rhobar, strike,
        cmsSpread.isCap());
    final double absoluteTolerance = 1.0E-6; // 1.0E-5;
    final double relativeTolerance = 1.0E-6; // 1.0E-5
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    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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        strike);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-0;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit }, new Double[] {limit, limit });
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }

    return CurrencyAmount.of(swaption.getCurrency(), dft0 * pv * (swaption.isLong() ? 1.0 : -1.0));
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Related Classes of com.opengamma.analytics.math.integration.IntegratorRepeated2D

  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborG2ppNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborG2ppNumericalIntegrationMethod
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