Package org.jquantlib.math.optimization

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


        final List<Double> yMinExpected_ = new ArrayList<Double>();
        xMinExpected_.add(xMinExpected[xMinExpected.length-1]);
        yMinExpected_.add(xMinExpected[yMinExpected.length-1]);
        costFunctions_.add(new OneDimensionalPolynomDegreeN(coefficients));
        // Set Constraint for optimizers: unconstrained problem
        constraints_.add(new NoConstraint());
        // Set initial guess for optimizer
        final Array initialValue = new Array();
        initialValue.add(-100.0);
        initialValues_.add(initialValue);
        // Set end criteria for optimizer
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        }

        final LevenbergMarquardt solver = new LevenbergMarquardt (ts.accuracy(), ts.accuracy(), ts.accuracy());

        final EndCriteria endCriteria = new EndCriteria (100, 10, 0.00, ts.accuracy(), 0.00);
        final Constraint solverConstraint = (forcePositive ? new PositiveConstraint() : new NoConstraint());
        int i = localisation -1;
        //FIXME, convexmonotone interpolation?
        final int dataAdjust = 1;

        for (; i < nInsts; ++ i) {
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        final ProjectedCostFunction constrainedSABRError = new ProjectedCostFunction(costFunction, inversedTransformatedGuess, parameterAreFixed);

        final Array projectedGuess = new Array(constrainedSABRError.project(inversedTransformatedGuess));

        final NoConstraint constraint = new NoConstraint();
        final Problem problem = new Problem(constrainedSABRError, constraint, projectedGuess);
        itsCoeffs.SABREndCriteria_ = optMethod_.minimize(problem, endCriteria_);
        final Array projectedResult = new Array(problem.currentValue());
        final Array transfResult = new Array(constrainedSABRError.include(projectedResult));
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        this.lambda_ = arguments_.get(3);

        // TODO: code review :: please verify against QL/C++ code :: Seems to be non-sense!

        this.a_ = new ConstantParameter(a, new PositiveConstraint());
        this.b_ = new ConstantParameter(b, new NoConstraint());
        this.sigma_ = new ConstantParameter(sigma, new PositiveConstraint());
        this.lambda_ = new ConstantParameter(lambda, new NoConstraint());
    }
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    //
    // public constructors
    //

    public Parameter() {
        this.constraint = new NoConstraint();

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

    public TermStructureFittingParameter(final Parameter.Impl impl) {
        super(0, impl, new NoConstraint());
    }
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    public TermStructureFittingParameter(final Parameter.Impl impl) {
        super(0, impl, new NoConstraint());
    }

    public TermStructureFittingParameter(final Handle <YieldTermStructure> term) {
        super(0, new NumericalImpl(term), new NoConstraint());
    }
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    //
    // public methods
    //

    public PiecewiseConstantParameter(final /* @Time */ double[] times) {
        super(times.length+1, new Impl(times), new NoConstraint());
    }
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//FIXME: refactor

public class NullParameter extends Parameter {

    public NullParameter() {
        super(0, new Impl(), new NoConstraint());
    }
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*/
public class BatesModel extends HestonModel {

    public BatesModel(final HestonProcess process, final double lambda, final double nu, final double delta) {
        super(process);
        arguments_.set(5, new ConstantParameter(nu, new NoConstraint()));
        arguments_.set(6, new ConstantParameter(delta, new PositiveConstraint()));
        arguments_.set(7, new ConstantParameter(lambda, new PositiveConstraint()));

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