Package com.opengamma.analytics.math.integration

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

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    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrParameter, forward);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrParameter, forward);
    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-2;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    // Price
    final double[] bs = integrantDelta.bsbsp(strike);
    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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    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor / integrantVega.h(forward) * integrantVega.g(forward);
    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 factor2 = factor * integrantVega.k(strike) * integrantVega.bs(strike);
    final double[] strikePartPrice = new double[4];
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cmsCapFloor.getFixingTime(), maturity, strike, forward);
    strikePartPrice[0] = factor2 * volatilityAdjoint[3];
    strikePartPrice[1] = factor2 * volatilityAdjoint[4];
    strikePartPrice[2] = factor2 * volatilityAdjoint[5];
    strikePartPrice[3] = factor2 * volatilityAdjoint[6];
    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] = discountFactor * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactor * 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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    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);

    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());

    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final Function1D<SABRFormulaData, double[]> sabrFunctionAdjoint = sabrParameter.getSabrFunction().getVolatilityAdjointFunction(option, forward);
    final double[] volA = sabrFunctionAdjoint.evaluate(sabrPoint);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volA[0]);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] bsA = blackFunction.getPriceAdjoint(option, dataBlack);

    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * (bsA[3] + bsA[2] * volA[2]);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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    final double strike = cmsCapFloor.getStrike();
    final double strikePart = discountFactor * integrant.g(forward) / integrant.h(forward) * integrant.k(strike) * integrant.bs(strike);
    final double absoluteTolerance = 0.1 / (discountFactor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    // Implementation note: Each sub-integral has less than 0.1 currency unit error.
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    // TODO: replace the integrator by an integrator that does not used the limits (open end). Recorded as [PLAT-1679].
    // TODO: replace the integrator by an integrator that accept infinite interval (for the upper limit of cap).
    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactor * integrator.integrate(integrant, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactor * integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new MathException(e);
    }
    final double priceCMS = (strikePart + integralPart) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrParameter, forward);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor / integrantDelta.h(forward) * integrantDelta.g(forward);
    final double absoluteTolerance = 1.0E+1 / (factor * Math.abs(cmsCapFloor.getNotional()) * cmsCapFloor.getPaymentYearFraction());
    final double relativeTolerance = 1.0E-2;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    // Price
    final double[] bs = integrantDelta.bsbsp(strike);
    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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    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor / integrantVega.h(forward) * integrantVega.g(forward);
    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 factor2 = factor * integrantVega.k(strike) * integrantVega.bs(strike);
    final double[] strikePartPrice = new double[4];
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(cmsCapFloor.getFixingTime(), maturity, strike, forward);
    strikePartPrice[0] = factor2 * volatilityAdjoint[3];
    strikePartPrice[1] = factor2 * volatilityAdjoint[4];
    strikePartPrice[2] = factor2 * volatilityAdjoint[5];
    strikePartPrice[3] = factor2 * volatilityAdjoint[6];
    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] = discountFactor * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactor * 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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    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrParameter, forward);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);

    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());

    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
    final Function1D<SABRFormulaData, double[]> sabrFunctionAdjoint = sabrParameter.getSabrFunction().getVolatilityAdjointFunction(option, forward);
    final double[] volA = sabrFunctionAdjoint.evaluate(sabrPoint);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volA[0]);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] bsA = blackFunction.getPriceAdjoint(option, dataBlack);

    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * (bsA[3] + bsA[2] * volA[2]);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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    final double beta = (1.0 + cap.getFixingAccrualFactor() * forward) * multicurves.getDiscountFactor(ccy, cap.getFixingPeriodEndTime())
        / multicurves.getDiscountFactor(ccy, cap.getFixingPeriodStartTime());
    final double strikePart = (1.0 + cap.getFixingAccrualFactor() * cap.getStrike()) * _baseMethod.presentValue(capStandard, sabr).getAmount(ccy);
    final double absoluteTolerance = 1.0;
    final double relativeTolerance = 1E-10;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(_baseMethod, capStandard, sabr);
    double integralPart;
    try {
      if (cap.isCap()) {
        integralPart = integrator.integrate(integrant, cap.getStrike(), cap.getStrike() + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, cap.getStrike());
      }
    } catch (final Exception e) {
      throw new MathException(e);
    }
    integralPart *= 2.0 * cap.getFixingAccrualFactor();
 
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    // Integration
    final CMSIntegrant integrant = new CMSIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, alphaPayment, cms.getStrike(), (cms.isCap() ? 1.0 : -1.0));
    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) * dfPayment * cms.getNotional() * cms.getPaymentYearFraction();
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return MultipleCurrencyAmount.of(cms.getCurrency(), pv);
  }
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    // Integration
    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});
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