Examples of LeastSquareResults

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

62
63
64
65
66
67
68
69
70
    MODEL.getParameterizedFunction().evaluate(3., new DoubleMatrix1D(new double[] {1, 2, 3 }));
  }

  @Test
  public void testKnownParameters() {
    final LeastSquareResults result = NLLS.solve(T, Y, MODEL.getParameterizedFunction(), new DoubleMatrix1D(new double[] {2, -1, 1, 4 }));
    final DoubleMatrix1D fitted = result.getFitParameters();
    assertArrayEquals(fitted.getData(), new double[] {BETA0, BETA1, BETA2, LAMBDA }, 1e-6);
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

69
70
71
72
73
74
75
76
77
78
79
80
    assertArrayEquals(fitted.getData(), new double[] {BETA0, BETA1, BETA2, LAMBDA }, 1e-6);
  }

  @Test
  public void testFit() {
    final LeastSquareResults result = NLLS.solve(TREASURY_T, TREASURY_19740102_Y, TREASURY_E, MODEL.getParameterizedFunction(), new DoubleMatrix1D(new double[] {1, 1, 1, 1 }));
    final DoubleMatrix1D fitted = result.getFitParameters();
    assertEquals(fitted.getEntry(0), 6.88649008, 1e-3);
    assertEquals(fitted.getEntry(1), 1.56992400, 1e-3);
    assertEquals(fitted.getEntry(2), -2.58262072, 1e-3);
    assertEquals(fitted.getEntry(3), 1.14781832, 1e-3);
    //    result = NLLS.solve(TREASURY_T, TREASURY_19740830_Y, TREASURY_E, MODEL.getParameterizedFunction(), new DoubleMatrix1D(new double[] {1, 1, 1, 1}));
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

63
64
65
66
67
68
69
70
71
    MODEL.getParameterizedFunction().evaluate(3., new DoubleMatrix1D(new double[] {1, 2, 3}));
  }

  @Test
  public void testKnownParameters() {
    final LeastSquareResults result = NLLS.solve(T, Y, MODEL.getParameterizedFunction(), new DoubleMatrix1D(new double[] {2, 1, 1, 4, 6, 1 }));
    final DoubleMatrix1D fitted = result.getFitParameters();
    assertArrayEquals(fitted.getData(), new double[] {BETA0, BETA1, BETA2, LAMBDA1, BETA3, LAMBDA2}, 1e-4);
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

70
71
72
73
74
75
76
77
78
79
80
81
    assertArrayEquals(fitted.getData(), new double[] {BETA0, BETA1, BETA2, LAMBDA1, BETA3, LAMBDA2}, 1e-4);
  }

  @Test
  public void testFit() {
    final LeastSquareResults result = NLLS.solve(TREASURY_T, TREASURY_20110127_Y, TREASURY_E, MODEL.getParameterizedFunction(), new DoubleMatrix1D(new double[] {2, -1, -1, 2, 2, 9 }));
    final DoubleMatrix1D fitted = result.getFitParameters();
    assertEquals(fitted.getEntry(0), 4.07923660, 1e-2);
    assertEquals(fitted.getEntry(1), -3.74204358, 1e-2);
    assertEquals(fitted.getEntry(2), -6.18790519, 1e-2);
    assertEquals(fitted.getEntry(3), 1.92088325, 1e-2);
    assertEquals(fitted.getEntry(4), 5.43483123, 1e-2);
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

56
57
58
59
60
61
62
63
64
65
66
67
    final double[] capVols = pricer.impliedVols(capPrices);
    final double[] vega = pricer.vega(capVols);
    final double[] start = new double[getnCaplets()];
    Arrays.fill(start, capVols[capVols.length - 1]);

    final LeastSquareResults lsRes = solveForPrice(new DoubleMatrix1D(capPrices), new DoubleMatrix1D(vega), new DoubleMatrix1D(start));

    final double[] mPrices = pricer.priceFromCapletVols(lsRes.getFitParameters().getData());
    final double chiSqr = chiSqr(capPrices, mPrices);
    final VolatilityTermStructure vc = getVolCurve(lsRes.getFitParameters().getData());
    return new CapletStrippingSingleStrikeResult(chiSqr, lsRes.getFitParameters(), vc, new DoubleMatrix1D(mPrices));
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

90
91
92
93
94
95
96
97
98
99
100
101
      sigma = new DoubleMatrix1D(errors);
    }

    final double[] start = new double[getnCaplets()];
    Arrays.fill(start, capVols[capVols.length - 1]);
    final LeastSquareResults lsRes = solveForPrice(new DoubleMatrix1D(capPrices), sigma, new DoubleMatrix1D(start));

    final double[] mPrices = pricer.priceFromCapletVols(lsRes.getFitParameters().getData());
    final double chiSqr = chiSqr(capPrices, mPrices, errors);
    final VolatilityTermStructure vc = getVolCurve(lsRes.getFitParameters().getData());
    return new CapletStrippingSingleStrikeResult(chiSqr, lsRes.getFitParameters(), vc, new DoubleMatrix1D(mPrices));
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
    // for (int i = 0; i < nCaplets; i++) {
    // start[i] = altVC.getVolatility(t[i]);
    // }

    final int n = getnCaps();
    LeastSquareResults lsRes;
    if (solveByPrice) {
      final double[] capPrices = pricer.price(capVols);
      final double[] capVega = pricer.vega(capVols);
      for (int i = 0; i < n; i++) {
        capVega[i] *= errors[i];
      }
      final DoubleMatrix1D sigma = new DoubleMatrix1D(capVega);
      lsRes = solveForPrice(new DoubleMatrix1D(capPrices), sigma, new DoubleMatrix1D(start));
    } else {
      lsRes = solveForVol(new DoubleMatrix1D(capVols), new DoubleMatrix1D(errors), new DoubleMatrix1D(start));
    }

    final double[] mVols = pricer.impliedVols(pricer.priceFromCapletVols(lsRes.getFitParameters().getData()));
    final double chiSqr = chiSqr(capVols, mVols, errors);
    final VolatilityTermStructure vc = getVolCurve(lsRes.getFitParameters().getData());
    return new CapletStrippingSingleStrikeResult(chiSqr, lsRes.getFitParameters(), vc, new DoubleMatrix1D(mVols));
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
    checkPrices(capPrices);
    checkErrors(errors);

    final MultiCapFloorPricer pricer = getPricer();
    final double[] capVols = pricer.impliedVols(capPrices);
    final LeastSquareResults lsRes = solveForPrice(capPrices, capVols, errors, scaleByVega);

    final VolatilityTermStructure volCurve = getVolCurve(lsRes.getFitParameters());
    final double[] mPrices = pricer.price(volCurve);

    // least-squares gives chi2 including the penalty, and is calculated via the price differecne and vega w we just want the fit error
    // TODO maybe the solver should provide this?
    final double chi2 = chiSqr(capPrices, mPrices, errors); // ignore the vega weighting here
    return new CapletStrippingSingleStrikeResult(chi2, lsRes.getFitParameters(), volCurve, new DoubleMatrix1D(mPrices));
  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
    checkVols(capVols);
    checkErrors(errors);

    final MultiCapFloorPricer pricer = getPricer();

    LeastSquareResults lsRes;
    if (solveViaPrice) {
      final double[] capPrices = pricer.price(capVols);
      lsRes = solveForPrice(capPrices, capVols, errors, true);
    } else {
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> modelVolFunc = new Function1D<DoubleMatrix1D, DoubleMatrix1D>() {
        @SuppressWarnings("synthetic-access")
        @Override
        public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
          final double[] modelVols = pricer.impliedVols(_volModel.evaluate(x));
          return new DoubleMatrix1D(modelVols);
        }
      };
      lsRes = NLLSWP.solve(new DoubleMatrix1D(capVols), new DoubleMatrix1D(errors), modelVolFunc, new DoubleMatrix1D(_nWeights, capVols[capVols.length - 1]), _penalty);
    }

    final VolatilityTermStructure volCurve = getVolCurve(lsRes.getFitParameters());
    final double[] mVols = pricer.impliedVols(volCurve);

    // least-squares gives chi2 including the penalty, and is calculated via the price differecne and vega w we just want the fit error
    // TODO maybe the solver should provide this?
    final double chi2 = chiSqr(capVols, mVols, errors);
    return new CapletStrippingSingleStrikeResult(chi2, lsRes.getFitParameters(), volCurve, new DoubleMatrix1D(mVols));

  }
View Full Code Here

Examples of com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults

96
97
98
99
100
101
102
103
104
105
106
107
108
    DoubleMatrix1D sigma = new DoubleMatrix1D(n, 1e-4);
    DoubleMatrix1D start = new DoubleMatrix1D(n - 1, 0.8);
    //  DoubleMatrix1D maxJump = new DoubleMatrix1D(n - 1, Math.PI / 20);

    LeastSquareResults res = SOLVER.solve(new DoubleMatrix1D(w), sigma, func, start/*, maxJump*/);
    assertEquals("chi sqr", 0.0, res.getChiSq(), 1e-9);
    double[] fit = res.getFitParameters().getData();
    double[] expected = trans.inverseTransform(w);
    for (int i = 0; i < n - 1; i++) {
      //put the fit result back in the range 0 - pi/2
      double x = fit[i];
      if (x < 0) {
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.