Package com.opengamma.analytics.math.integration

Examples of com.opengamma.analytics.math.integration.RungeKuttaIntegrator1D

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    // Integration
    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, nbFixedPaymentYear, swaption.getStrike(), swaption.isCall());
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    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) * (swaption.isLong() ? 1.0 : -1.0) * notional * dfIbor[0];
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    // Integration
    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, nbFixedPaymentYear, swaption.getStrike(), swaption.isCall());
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    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) * (swaption.isLong() ? 1.0 : -1.0) * notional * dfIbor[0];
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    @SuppressWarnings("synthetic-access")
    final double strikePart = integrant.k(strike) * integrant.bs(strike);
    final double absoluteTolerance = 1.0E-2;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double pv = nominal * annuityPhysical * (strikePart + integralPart) * (swaption.isLong() ? 1.0 : -1.0);
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    // Integration
    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlow, alpha);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-2;
    final double relativeTolerance = 1.0E-6;
    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) * (swaption.isLong() ? 1.0 : -1.0);
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    @SuppressWarnings("synthetic-access")
    final double strikePart = integrant.k(strike) * integrant.bs(strike);
    final double absoluteTolerance = 1.0E-2;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double pv = nominal * annuityPhysical * (strikePart + integralPart) * (swaption.isLong() ? 1.0 : -1.0);
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    final SwaptionIntegrant integrant = new SwaptionIntegrant(discountedCashFlowFixed, alphaFixed, tau2Fixed, discountedCashFlowIbor, alphaIbor, tau2Ibor, rhobar,
        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) {
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    new FourierOptionModel(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullExponent2() {
    new FourierOptionModel(null, new RungeKuttaIntegrator1D());
  }
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    new FourierOptionModel(null, -0.4, 1e-7, false);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullExponent4() {
    new FourierOptionModel(null, new RungeKuttaIntegrator1D(), -0.4, 1e-6, false);
  }
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    new FourierOptionModel(null, false);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullExponent6() {
    new FourierOptionModel(null, new RungeKuttaIntegrator1D(), false);
  }
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    new FourierOptionModel(GAUSSIAN, 0, 1e-8, false);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testBadAlpha2() {
    new FourierOptionModel(GAUSSIAN, new RungeKuttaIntegrator1D(), -1, 1e-8, false);
  }
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