Package org.jquantlib.math.optimization

Examples of org.jquantlib.math.optimization.PositiveConstraint

55
56
57
58
59
60
61
62
63
64
        if (System.getProperty("EXPERIMENTAL") == null) {
            throw new UnsupportedOperationException("Work in progress");
        }

        this.fixingTimes_ = fixingTimes;
        arguments_.set(0, new ConstantParameter(a, new PositiveConstraint()));
        arguments_.set(1, new ConstantParameter(b, new PositiveConstraint()));
        arguments_.set(2, new ConstantParameter(c, new PositiveConstraint()));
        arguments_.set(3, new ConstantParameter(d, new PositiveConstraint()));
    }
View Full Code Here
35
36
37
38
39
40
41
42
        }

        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();
    }
View Full Code Here
182
183
184
185
186
187
188
189
190
191
192
       
       

        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();

        // now start the bootstrapping.
        /*Size*/ final int iInst = localisation_-1;

       
View Full Code Here
TOP

Related Classes of org.jquantlib.math.optimization.PositiveConstraint

  • org.jquantlib.legacy.libormarkets.LmLinearExponentialCorrelationModel
  • org.jquantlib.legacy.libormarkets.LmLinearExponentialVolatilityModel
  • org.jquantlib.model.equity.BatesDoubleExpModel
  • org.jquantlib.model.equity.BatesDoubleExpModel$BatesDoubleExpDetJumpModel
  • org.jquantlib.model.equity.BatesModel
  • org.jquantlib.model.equity.BatesModel$BatesDetJumpModel
  • org.jquantlib.model.equity.HestonModel
  • org.jquantlib.model.shortrate.onefactormodels.BlackKarasinski
  • org.jquantlib.model.shortrate.onefactormodels.CoxIngersollRoss
  • org.jquantlib.model.shortrate.onefactormodels.Vasicek
    • 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.