Examples of UncoupledParameterTransforms

Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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  }

  public LeastSquareResultsWithTransform solve(final DoubleMatrix1D start) {
    final LeastSquareResults lsRes = SOLVER.solve(_vols, _errors, getModelValueFunction(), getModelJacobianFunction(), start);
    return new LeastSquareResultsWithTransform(lsRes, new UncoupledParameterTransforms(start, getTransforms(), new BitSet(start.getNumberOfElements())));
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
    final BitSet fixed = new BitSet();
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start, final BitSet fixed) {
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
    final BitSet fixed = new BitSet();
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start, final BitSet fixed) {
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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    final double maturity = options[0].getTimeToExpiry();
    for (int i = 1; i < n; i++) {
      Validate.isTrue(CompareUtils.closeEquals(options[i].getTimeToExpiry(), maturity),
          "All options must have the same maturity " + maturity + "; have one with maturity " + options[i].getTimeToExpiry());
    }
    final UncoupledParameterTransforms transforms = new UncoupledParameterTransforms(new DoubleMatrix1D(initialFitParameters), TRANSFORMS, fixed);
    final Function1D<DoubleMatrix1D, Double> function = new Function1D<DoubleMatrix1D, Double>() {

      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final DoubleMatrix1D fp) {
        final DoubleMatrix1D mp = transforms.inverseTransform(fp);
        final double alpha = mp.getEntry(0);
        final double beta = mp.getEntry(1);
        final double nu = mp.getEntry(2);
        final double rho = mp.getEntry(3);
        double chiSqr = 0;
        final SABRFormulaData sabrFormulaData = new SABRFormulaData(alpha, beta, rho, nu);
        for (int i = 0; i < n; i++) {
          chiSqr += FunctionUtils.square((data[i].getBlackVolatility() - _formula.getVolatilityFunction(options[i], forward).evaluate(sabrFormulaData)) / errors[i]);
        }
        return chiSqr;
      }
    };
    final ScalarMinimizer lineMinimizer = new BrentMinimizer1D();
    final ConjugateDirectionVectorMinimizer minimzer = new ConjugateDirectionVectorMinimizer(lineMinimizer, 1e-6, 10000);
    final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
    final DoubleMatrix1D minPos = minimzer.minimize(function, fp);
    final double chiSquare = function.evaluate(minPos);
    final DoubleMatrix1D res = transforms.inverseTransform(minPos);
    return new LeastSquareResultsWithTransform(new LeastSquareResults(chiSquare, res, new DoubleMatrix2D(new double[N_PARAMETERS][N_PARAMETERS])), transforms);
    // return new LeastSquareResults(chiSquare, res, new DoubleMatrix2D(new double[N_PARAMETERS][N_PARAMETERS]));
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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      strikes[i] = options[i].getStrike();
      blackVols[i] = data[i].getBlackVolatility();
      forwards[i] = data[i].getForward();
    }
    final double forward = data[0].getForward();
    final UncoupledParameterTransforms transforms = new UncoupledParameterTransforms(new DoubleMatrix1D(initialFitParameters), TRANSFORMS, fixed);

    final ParameterizedFunction<Double, DoubleMatrix1D, Double> function = new ParameterizedFunction<Double, DoubleMatrix1D, Double>() {
      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double strike, final DoubleMatrix1D fp) {
        final DoubleMatrix1D mp = transforms.inverseTransform(fp);
        final double a = mp.getEntry(0);
        final double b = mp.getEntry(1);
        final double rho = mp.getEntry(2);
        final double sigma = mp.getEntry(3);
        final double m = mp.getEntry(4);
        final SVIFormulaData newData = new SVIFormulaData(a, b, rho, sigma, m);
        return FORMULA.getVolatilityFunction(new EuropeanVanillaOption(strike, maturity, true), forward).evaluate(newData);
      }
    };

    final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
    final LeastSquareResults lsRes = errors == null ? _solver.solve(new DoubleMatrix1D(strikes), new DoubleMatrix1D(blackVols), function, fp) : _solver.solve(new DoubleMatrix1D(strikes),
        new DoubleMatrix1D(blackVols), new DoubleMatrix1D(errors), function, fp);
    // final DoubleMatrix1D mp = transforms.inverseTransform(lsRes.getFitParameters());
    return new LeastSquareResultsWithTransform(lsRes, transforms);
    // return new LeastSquareResults(lsRes.getChiSq(), mp, new DoubleMatrix2D(new double[N_PARAMETERS][N_PARAMETERS]));
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
    final BitSet fixed = new BitSet();
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start, final BitSet fixed) {
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms

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  }

  @Override
  protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
    final BitSet fixed = new BitSet(5);
    return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
  }
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