Package com.opengamma.analytics.math.integration

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

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    new FourierOptionModel(GAUSSIAN, -0.5, -1e-8, false);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNegativeTolerance2() {
    new FourierOptionModel(GAUSSIAN, new RungeKuttaIntegrator1D(), -0.5, -1e-8, false);
  }
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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) {
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  private static final IntegralLimitCalculator LIMIT_CALCULATOR = new IntegralLimitCalculator();
  private static final BlackPriceFunction BLACK_PRICE_FUNCTION = new BlackPriceFunction();
  private final Integrator1D<Double, Double> _integrator;

  public FourierPricer() {
    this(new RungeKuttaIntegrator1D());
  }
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  private static final IntegralLimitCalculator LIMIT_CALCULATOR = new IntegralLimitCalculator();
  private final Integrator1D<Double, Double> _integrator;

  public FourierModelGreeks() {
    this(new RungeKuttaIntegrator1D());
  }
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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) {
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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 CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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        final ComplexNumber u = callFunction.evaluate(z);
        return u.getReal();
      }
    };

    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D();
    final double integral = integrator.integrate(f, 0.0, 1000.0) / Math.PI;

    final double price = DF * FORWARD * integral;
    double impVol = 0;
    try {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(FORWARD, T, true);
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    final double strike = cmsCapFloor.getStrike();
    final double factor = discountFactorTp / integrant.h(forward) * integrant.g(forward);
    final double strikePart = factor * integrant.k(strike) * integrant.bs(strike);
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    final double relativeTolerance = 1E-10;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactorTp * integrator.integrate(integrant, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactorTp * integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double priceCMS = (strikePart + integralPart) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor / integrantDelta.h(forward) * integrantDelta.g(forward);
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    final double relativeTolerance = 1E-10;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    // Price
    final double[] bs = integrantDelta.bsbsp(strike);
    @SuppressWarnings("synthetic-access")
    final double[] n = integrantDelta.nnp(forward);
    final double strikePartPrice = discountFactor * integrantDelta.k(strike) * n[0] * bs[0];
    double integralPartPrice;
    try {
      if (cmsCapFloor.isCap()) {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, strike, strike + getIntegrationInterval());
      } else {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double price = (strikePartPrice + integralPartPrice) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
    // Delta
    final double strikePart = discountFactor * integrantDelta.k(strike) * (n[1] * bs[0] + n[0] * bs[1]);
    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactor * integrator.integrate(integrantDelta, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactor * integrator.integrate(integrantDelta, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double deltaS0 = (strikePart + integralPart) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    for (int loopvega = 0; loopvega < 4; loopvega++) {
      strikePartPrice[loopvega] *= factor2;
    }
    final double absoluteTolerance = 1.0 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    final double relativeTolerance = 1E-3;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    final double[] integralPart = new double[4];
    final double[] totalSensi = new double[4];
    for (int loopparameter = 0; loopparameter < 4; loopparameter++) {
      integrantVega.setParameterIndex(loopparameter);
      try {
        if (cmsCapFloor.isCap()) {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, 0.0, strike);
        }
      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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