Examples of org.jquantlib.math.solvers1D.NewtonSafe

org.jquantlib.math.solvers1D.NewtonSafe
Newton Safe 1d solver. @see Book: Press, Teukolsky, Vetterling, and Flannery, "Numerical Recipes in C", 2nd edition, Cambridge University Press @author Dominik Holenstein

            throw new IllegalArgumentException("stddev guess (" + guess + ") must be non-negative");






        final BlackImpliedStdDevHelper f = new BlackImpliedStdDevHelper(optionType, strike, forward, blackPrice / discount);
        final NewtonSafe solver = new NewtonSafe();
        solver.setMaxEvaluations(maxIterations);
        final double minSdtDev = 0.0, maxstddev = 3.0;
        final double stddev = solver.solve(f, accuracy, guess, minSdtDev, maxstddev);


        if (stddev >= 0.0) return stddev;
        throw new ArithmeticException("a negative value was calculated"); // TODO: add more logging
    }

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            throw new IllegalArgumentException("stddev guess (" + guess + ") must be non-negative");






        final BlackImpliedStdDevHelper f = new BlackImpliedStdDevHelper(optionType, strike, forward, blackPrice / discount);
        final NewtonSafe solver = new NewtonSafe();
        solver.setMaxEvaluations(maxIterations);
        final double minSdtDev = 0.0, maxstddev = 3.0;
        final double stddev = solver.solve(f, accuracy, guess, minSdtDev, maxstddev);


        if (stddev >= 0.0) return stddev;
        throw new ArithmeticException("a negative value was calculated"); // TODO: add more logging
    }

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      public double derivative (final double x) {
        return 2*x;
      }
    };


    final NewtonSafe newtonsafe = new NewtonSafe();


    double root = newtonsafe.solve(f, accuracy, guess, xMin, xMax);


    // assertEquals(1.0, root, accuracy);
    if (Math.abs(1.0-root)> accuracy) {
      fail("expected: 1.0" + " but root is: " + root);
    }


    // assertEquals(100, newtonsafe.getMaxEvaluations());
    if(newtonsafe.getMaxEvaluations() != 100){
      fail("expected: 100" + " but was: " + newtonsafe.getMaxEvaluations());
    }


    root = newtonsafe.solve(f, accuracy, 0.01, 0.1);


    // assertEquals(1.0, root, accuracy);
    if (Math.abs(1.0-root)> accuracy) {
      fail("expected: 1.0" + " but root is: " + root);
    }


    //assertEquals(10, newtonsafe.getNumEvaluations());
    if(newtonsafe.getNumEvaluations() != 10){
      fail("expected: 10" + " but was: " + newtonsafe.getNumEvaluations());
    }
  }

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Related Classes of org.jquantlib.math.solvers1D.NewtonSafe

org.jquantlib.pricingengines.BlackFormula

org.jquantlib.testsuite.math.solvers1D.NewtonSafeTest

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