Package org.jquantlib.math.optimization

Examples of org.jquantlib.math.optimization.BoundaryConstraint$Impl

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        this(process, 0.1, 0.1, 0.1, 0.5);
    }

    public BatesDoubleExpModel(final HestonProcess process, final double lambda, final double nuUp, final double nuDown, final double p) {
        super(process);
        arguments_.set(5, new ConstantParameter(p, new BoundaryConstraint(0.0, 1.0)));
        arguments_.set(6, new ConstantParameter(nuDown, new PositiveConstraint()));
        arguments_.set(7, new ConstantParameter(nuUp, new PositiveConstraint()));
        arguments_.set(8, new ConstantParameter(lambda, new PositiveConstraint()));

        if (System.getProperty("EXPERIMENTAL") == null) {
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            throw new UnsupportedOperationException("Work in progress");
        }

        corrMatrix_ = new Matrix(size, size);
        factors = factors != 0 ? 0 : size;
        arguments_.set(0, new ConstantParameter(rho, new BoundaryConstraint(-1.0, 1.0)));
        arguments_.set(1, new ConstantParameter(beta, new PositiveConstraint()));
        generateArguments();
    }
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