Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

Package com.opengamma.analytics.math.rootfinding

Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

com.opengamma.analytics.math.rootfinding.BracketRoot
Class that brackets single root of a function. For a 1-D function ( {@link com.opengamma.analytics.math.function.Function1D}) $f(x)$, initial values for the interval, $x_1$ and $x_2$, are supplied.
A root is assumed to be bracketed if $f(x_1)f(x_2) < 0$. If this condition is not satisfied, then either $|f(x_1)| < |f(x_2)|$, in which case the lower value $x_1$ is shifted in the negative $x$ direction, or the upper value $x_2$ is shifted in the positive $x$ direction. The amount by which to shift is the difference between the two $x$ values multiplied by a constant ratio (1.6). If a root is not bracketed after 50 attempts, an exception is thrown.

    }
    if (beta == 1) {
      return forward * Math.exp(-alpha * z / nu);
    }


    final BracketRoot bracketer = new BracketRoot();
    final BisectionSingleRootFinder rootFinder = new BisectionSingleRootFinder(1e-5);


    final Function1D<Double, Double> func = new Function1D<Double, Double>() {
      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double strike) {
        return getZ(forward, strike, alpha, beta, nu) - z;
      }
    };


    final double k = forward * Math.exp(-alpha * z / nu * Math.pow(forward, beta - 1));
    double l, h;
    if (z > 0) {
      h = k;
      l = h / 2;
    } else {
      l = k;
      h = 2 * l;
    }


    final double[] brackets = bracketer.getBracketedPoints(func, l, h, forward / 20, 20 * forward);
    return rootFinder.getRoot(func, brackets[0], brackets[1]);
  }

View Full Code Here

  public void calibrate(final YieldCurveBundle curves) {
    computeCalibrationPrice(curves);
    getCalibrationObjective().setCurves(curves);
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(getCalibrationObjective().getFunctionValueAccuracy(), getCalibrationObjective().getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      getCalibrationObjective().setInstrument(instrument);
      getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
      final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(), getCalibrationObjective().getMinimumParameter(), getCalibrationObjective().getMaximumParameter());
      rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((SwaptionPhysicalHullWhiteCalibrationObjective) getCalibrationObjective()).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }

View Full Code Here

  public void calibrate(final DATA_TYPE data) {
    _calibrationObjective.setInflation(data.getInflationProvider());
    final int nbInstruments = getBasket().size();
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = (SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      objective.setExpiryIndex(_instrumentExpiryIndex.get(loopins + 1));
      objective.setStrikeIndex(_instrumentStrikeIndex.get(loopins + 1));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
    }
  }

View Full Code Here

    computeCalibrationPrice(data);
    _calibrationObjective.setMulticurves(data.getMulticurveProvider());
    final int nbInstruments = getBasket().size();
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = (SuccessiveRootFinderLMMDDCalibrationObjective) _calibrationObjective;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      objective.setStartIndex(_instrumentIndex.get(loopins));
      objective.setEndIndex(_instrumentIndex.get(loopins + 1) - 1);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, objective.getMinimumParameter(), objective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
    }
  }

View Full Code Here

  public void calibrate(final DATA_TYPE data) {
    computeCalibrationPrice(data);
    _calibrationObjective.setMulticurves(data.getMulticurveProvider());
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((SuccessiveRootFinderHullWhiteCalibrationObjective) _calibrationObjective).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }

View Full Code Here

          error += discountedCashFlow[loopcf] * Math.exp(-0.5 * alpha[loopcf] * alpha[loopcf] - (alpha[loopcf] - alpha[0]) * x);
        }
        return error;
      }
    };
    final BracketRoot bracketer = new BracketRoot();
    double accuracy = 1.0E-8;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
    final double[] range = bracketer.getBracketedPoints(swapValue, -2.0, 2.0);
    return rootFinder.getRoot(swapValue, range[0], range[1]);
  }

View Full Code Here

          value += discountedCashFlow[loopcf] * Math.exp(-0.5 * alpha2[loopcf] - hwH[loopcf] * x);
        }
        return value;
      }
    };
    final BracketRoot bracketer = new BracketRoot();
    double accuracy = 1.0E-8;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
    final double[] range = bracketer.getBracketedPoints(swapValue, -2.0, 2.0);
    return rootFinder.getRoot(swapValue, range[0], range[1]);
  }

View Full Code Here

        price += cfaAdjusted[ctd.get(0)][loopcf];
      }
      price -= e[ctd.get(0)];
    } else {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)],
            cfaAdjusted[ctd.get(loopint)], alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
      // From -infinity to first cross.
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        price += cfaAdjusted[ctd.get(0)][loopcf] * NORMAL.getCDF(kappa[0] + alpha[ctd.get(0)][loopcf]);

View Full Code Here

    final int nbInt = ctd.size();
    final double[] kappa = new double[nbInt - 1];
    //    double price = 0.0;
    if (nbInt != 1) {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)],
            cfaAdjusted[ctd.get(loopint)], alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
    }


    // === Backward Sweep ===

View Full Code Here

        price += cfaAdjusted[ctd.get(0)][loopcf];
      }
      price -= e[ctd.get(0)];
    } else {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
      // From -infinity to first cross.
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        price += cfaAdjusted[ctd.get(0)][loopcf] * NORMAL.getCDF(kappa[0] + alpha[ctd.get(0)][loopcf]);

View Full Code Here

0 1 2

TOP

Related Classes of com.opengamma.analytics.math.rootfinding.BracketRoot

com.opengamma.analytics.financial.interestrate.future.method.BondFutureHullWhiteMethod

com.opengamma.analytics.financial.interestrate.future.provider.BondFutureHullWhiteMethod

com.opengamma.analytics.financial.interestrate.future.provider.BondFuturesSecurityHullWhiteMethod

com.opengamma.analytics.financial.interestrate.payments.method.CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine

com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalG2ppSuccessiveRootFinderCalibrationEngine

com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine

com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModel

com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction

com.opengamma.analytics.financial.model.volatility.BlackFormulaRepository

com.opengamma.analytics.financial.model.volatility.GenericImpliedVolatiltySolver

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.