Package com.opengamma.analytics.math.integration

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

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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 CurrencyAmount.of(cms.getCurrency(), pv);
  }
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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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    final double strike = 0; //CMS swap is equivalent to CMS cap with strike 0 (when rates are always positive).
    final double strikePart = integrant.k(strike) * integrant.bs(strike, forward);
    final double absoluteTolerance = 1E+2;
    final double relativeTolerance = 1.0;
    final int nbIteration = 15;
    final RungeKuttaIntegrator1D integratorOG = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, nbIteration);
    final double integrationInterval = 1.00;
    double integralPart;
    try {
      integralPart = integratorOG.integrate(integrant, strike, strike + integrationInterval);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    final double priceCMS = factor * (strikePart + integralPart) * CMS_COUPON_RECEIVER.getNotional() * CMS_COUPON_RECEIVER.getPaymentYearFraction();
    assertEquals(8854.551, priceCMS, 1E-2);
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    final MultipleCurrencyAmount priceStandard = capStandard.accept(PVSCC, SABR_MULTICURVES);
    final double forward = MULTICURVES.getForwardRate(CAP_LONG.getIndex(), CAP_LONG.getFixingPeriodStartTime(), CAP_LONG.getFixingPeriodEndTime(), CAP_LONG.getFixingAccrualFactor());
    final double beta = (1.0 + CAP_LONG.getFixingAccrualFactor() * forward) * MULTICURVES.getDiscountFactor(EUR, CAP_LONG.getFixingPeriodEndTime())
        / MULTICURVES.getDiscountFactor(EUR, CAP_LONG.getFixingPeriodStartTime());
    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard.getAmount(EUR);
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(METHOD_SABREXTRA_STD, capStandard, SABR_MULTICURVES);
    double integralPart;
    try {
      integralPart = integrator.integrate(integrant, STRIKE, STRIKE + 2.0);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    integralPart *= 2.0 * CAP_LONG.getFixingAccrualFactor();
    final MultipleCurrencyAmount price = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_MULTICURVES);
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    final double priceStandard = capStandard.accept(PVC, SABR_BUNDLE);
    final double beta = CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodStartTime())
        / CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodEndTime()) * CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodEndTime())
        / CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodStartTime());
    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(METHOD_SABREXTRA_STD, capStandard, SABR_BUNDLE);
    double integralPart;
    try {
      integralPart = integrator.integrate(integrant, STRIKE, STRIKE + 2.0);
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    integralPart *= 2.0 * CAP_LONG.getFixingAccrualFactor();
    final CurrencyAmount price = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_BUNDLE);
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