Package com.opengamma.analytics.math.rootfinding

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

32
33
34
35
36
37
38
  private final double _tolerance;
  private final BrentSingleRootFinder _brentRootFinder;
 
  public ISDARootFinder() {
    _tolerance = DEFAULT_TOLERANCE;
    _brentRootFinder = new BrentSingleRootFinder(DEFAULT_TOLERANCE);
  }
View Full Code Here
37
38
39
40
41
42
43
    _brentRootFinder = new BrentSingleRootFinder(DEFAULT_TOLERANCE);
  }
 
  public ISDARootFinder(final double tolerance) {
    _tolerance = tolerance;
    _brentRootFinder = new BrentSingleRootFinder(tolerance);
  }
View Full Code Here
44
45
46
47
48
49
50
51
52
  }

  // @export "brentSingleRootFinderDemo"
  public static void brentSingleRootFinderDemo(PrintStream out) {
    RealPolynomialFunction1D f = getFunction();
    BrentSingleRootFinder brent = new BrentSingleRootFinder();
    java.lang.Double root = brent.getRoot(f, -10.0, 10.0);
    out.println(root);
  }
View Full Code Here
52
53
54
55
56
57
58
59
60
61
62
63
64
  }

  // @export "brentSingleRootFinderNotBracketingDemo"
  public static void brentSingleRootFinderNotBracketingDemo(PrintStream out) {
    RealPolynomialFunction1D f = getFunction();
    BrentSingleRootFinder brent = new BrentSingleRootFinder();
    try {
      out.println("Trying to call getRoot with arguments that don't bracket the root...");
      brent.getRoot(f, -1.0, 1.0);
    } catch (java.lang.IllegalArgumentException e) {
      out.println("IllegalArgumentException called");
    }
  }
View Full Code Here
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
    final CubicRealRootFinder cubic = new CubicRealRootFinder();
    final java.lang.Double[] roots = cubic.getRoots(f);
    out.println(Arrays.toString(roots));

    final BrentSingleRootFinder brent = new BrentSingleRootFinder();
    final java.lang.Double root = brent.getRoot(f, -10.0, 10.0);
    out.println(root);

    try {
      out.println("Trying to call getRoot with arguments that don't bracket the root...");
      brent.getRoot(f, -1.0, 1.0);
    } catch (final java.lang.IllegalArgumentException e) {
      out.println("IllegalArgumentException called");
    }
  }
View Full Code Here
154
155
156
157
158
159
160
161
162
   * @param price The CMS spread price.
   * @return The implied correlation.
   */
  public double impliedCorrelation(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData, final double price) {
    final SolveCorrelation function = new SolveCorrelation(cmsSpread, sabrData, price);
    final BrentSingleRootFinder finder = new BrentSingleRootFinder();
    final double correlation = finder.getRoot(function, -0.999, 0.999);
    return correlation;
  }
View Full Code Here
153
154
155
156
157
158
159
160
161
   * @param price The CMS spread price.
   * @return The implied correlation.
   */
  public double impliedCorrelation(final CapFloorCMSSpread cmsSpread, final SABRSwaptionProviderInterface sabrData, final double price) {
    final SolveCorrelation function = new SolveCorrelation(cmsSpread, sabrData, price);
    final BrentSingleRootFinder finder = new BrentSingleRootFinder();
    final double correlation = finder.getRoot(function, -0.999, 0.999);
    return correlation;
  }
View Full Code Here
TOP

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

  • com.opengamma.analytics.example.curveconstruction.CurveConstructionExample
  • com.opengamma.analytics.example.curveconstruction.FunctionExample
  • com.opengamma.analytics.financial.credit.cds.ISDARootFinder
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.math.MathException
    • Copyright © 2018 www.massapicom. All rights reserved.
    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.