Package com.opengamma.analytics.math.rootfinding

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

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  @Override
  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));
      }
    }
  }
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  @Override
  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]);
    }
  }
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  public void calibrate(final DATA_TYPE data) {
    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]);
    }
  }
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  @Override
  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));
      }
    }
  }
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        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]);
  }
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        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]);
  }
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      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]);
      }
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    //    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 ===
    final double priceBar = 1.0;
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      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]);
      }
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    //    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 ===
    final double priceBar = 1.0;
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