Examples of RealPolynomialFunction1D

com.opengamma.analytics.math.function.RealPolynomialFunction1D
Class representing a polynomial that has real coefficients and takes a real argument. The function is defined as: $$ \begin{align*} p(x) = a_0 + a_1 x + a_2 x^2 + \ldots + a_{n-1} x^{n-1} \end{align*} $$

Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double[] correlation = new double[] {-0.50, 0.00, 0.50, 0.75, 0.80, 0.85, 0.90, 0.95, 0.99 };
    final int nbCor = correlation.length;
    final double[] impliedCorrelation = new double[nbCor];
    for (int loopcor = 0; loopcor < nbCor; loopcor++) {
      final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation[loopcor] }); // Constant function
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
      final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, sabrBundle).getAmount();
      impliedCorrelation[loopcor] = method.impliedCorrelation(CMS_CAP_SPREAD, sabrBundle, cmsSpreadPrice);
      assertEquals("CMS spread cap/floor: implied correlation", correlation[loopcor], impliedCorrelation[loopcor], 1.0E-10);
    }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

    final double[] xData = data.getKeys();
    final double[] yData = data.getValues();
    if (low == n) {
      return yData[n];
    } else if (low == 0) {
      final RealPolynomialFunction1D quadratic = quadraticData.getQuadratic(0);
      final double x = value - xData[1];
      return quadratic.evaluate(x);
    } else if (high == n) {
      final RealPolynomialFunction1D quadratic = quadraticData.getQuadratic(n - 2);
      final double x = value - xData[n - 1];
      return quadratic.evaluate(x);
    }
    final RealPolynomialFunction1D quadratic1 = quadraticData.getQuadratic(low - 1);
    final RealPolynomialFunction1D quadratic2 = quadraticData.getQuadratic(high - 1);
    final double w = _weightFunction.getWeight((xData[high] - value) / (xData[high] - xData[low]));
    //final double w = (xData[high] - value) / (xData[high] - xData[low]);
    final double res = w * quadratic1.evaluate(value - xData[low]) + (1 - w) * quadratic2.evaluate(value - xData[high]);
    return res;
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

    final int n = data.size() - 1;
    final double[] xData = data.getKeys();
    if (low == n) {
      return 0.;
    } else if (low == 0) {
      final RealPolynomialFunction1D quadraticFirstDerivative = quadraticData.getQuadraticFirstDerivative(0);
      final double x = value - xData[1];
      return quadraticFirstDerivative.evaluate(x);
    } else if (high == n) {
      final RealPolynomialFunction1D quadraticFirstDerivative = quadraticData.getQuadraticFirstDerivative(n - 2);
      final double x = value - xData[n - 1];
      return quadraticFirstDerivative.evaluate(x);
    }
    final RealPolynomialFunction1D quadratic1 = quadraticData.getQuadratic(low - 1);
    final RealPolynomialFunction1D quadratic2 = quadraticData.getQuadratic(high - 1);
    final RealPolynomialFunction1D quadratic1FirstDerivative = quadraticData.getQuadraticFirstDerivative(low - 1);
    final RealPolynomialFunction1D quadratic2FirstDerivative = quadraticData.getQuadraticFirstDerivative(high - 1);
    final double w = _weightFunction.getWeight((xData[high] - value) / (xData[high] - xData[low]));
    final double res = w * quadratic1FirstDerivative.evaluate(value - xData[low]) + (1 - w) * quadratic2FirstDerivative.evaluate(value - xData[high]) +
        (quadratic2.evaluate(value - xData[high]) - quadratic1.evaluate(value - xData[low])) / (xData[high] - xData[low]);
    return res;
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

  }


  @Test
  public void getter() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation}); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    assertEquals("CMS spread binormal method: correlation function getter", correlationFunction, method.getCorrelation());
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValue() {
    final double correlation = 0.80;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation}); // Constant function
    final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
    final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES).getAmount(EUR);
    final double discountFactorPayment = MULTICURVES.getDiscountFactor(EUR, PAYMENT_TIME);
    final CouponCMSSABRReplicationMethod methodCms = CouponCMSSABRReplicationMethod.getInstance();
    final CapFloorCMSSABRReplicationMethod methodCmsCap = CapFloorCMSSABRReplicationMethod.getDefaultInstance();

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

  public void impliedCorrelation() {
    final double[] correlation = new double[] {-0.50, 0.00, 0.50, 0.75, 0.80, 0.85, 0.90, 0.95, 0.99};
    final int nbCor = correlation.length;
    final double[] impliedCorrelation = new double[nbCor];
    for (int loopcor = 0; loopcor < nbCor; loopcor++) {
      final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation[loopcor]}); // Constant function
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(correlationFunction, METHOD_CMS_CAP, METHOD_CMS_COUPON);
      final double cmsSpreadPrice = method.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES).getAmount(EUR);
      impliedCorrelation[loopcor] = method.impliedCorrelation(CMS_CAP_SPREAD, SABR_MULTICURVES, cmsSpreadPrice);
      assertEquals("CMS spread cap/floor: implied correlation", correlation[loopcor], impliedCorrelation[loopcor], 1.0E-10);
    }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

  @Test
  public void testBetaEqualsOne() {
    final double a0 = -ATM_SIGMA;
    final double a1 = 1 + (2 - 3 * RHO * RHO) * KSI * KSI * T / 24;
    final double a2 = RHO * KSI * T / 4;
    final Double[] roots = QUADRATIC_ROOT_FINDER.getRoots(new RealPolynomialFunction1D(new double[] {a0, a1, a2}));
    assertEquals(FUNCTION.calibrate(OPTION, DATA).getAlpha(), roots[1], 1e-9);
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

  }


  @Test
  public void correlationGetter() {
    final double correlation = 0.50;
    final DoubleFunction1D correlationFunction = new RealPolynomialFunction1D(new double[] {correlation}); // Constant function
    final SABRInterestRateCorrelationParameters sabrCorrelation = new SABRInterestRateCorrelationParameters(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, DAYCOUNT, correlationFunction);
    assertEquals("SABR with correlation: get correlation", correlationFunction, sabrCorrelation.getCorrelation());
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

    final double f1 = Math.pow(F, 1 - beta);
    final double a0 = -ATM_SIGMA * f1;
    final double a1 = 1;
    final double a2 = 0;
    final double a3 = (1 - beta) * (1 - beta) * T / 24 / f1 / f1;
    final Double[] roots = CUBIC_ROOT_FINDER.getRoots(new RealPolynomialFunction1D(new double[] {a0, a1, a2, a3}));
    assertEquals(roots[0], FUNCTION.calibrate(OPTION, data).getAlpha(), 1e-9);
  }

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Examples of com.opengamma.analytics.math.function.RealPolynomialFunction1D

    final double a0 = r[0] * r[1] * r[2] * r[3];
    final double a1 = r[0] * r[1] * r[2] + r[0] * r[1] * r[3] + r[0] * r[2] * r[3] + r[1] * r[2] * r[3];
    final double a2 = r[0] * r[1] + r[0] * r[2] + r[0] * r[3] + r[1] * r[2] + r[1] * r[3] + r[2] * r[3];
    final double a3 = r[0] + r[1] + r[2] + r[3];
    final double a4 = 1;
    final RealPolynomialFunction1D f = new RealPolynomialFunction1D(new double[] {a0, a1, a2, a3, a4});
    final Double[] roots = FINDER.getRoots(f);
    Arrays.sort(roots);
    final double[] expected = new double[r.length];
    for (int i = 0; i < r.length; i++) {
      expected[i] = -r[i];

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