List of calibrate() Examples

Examples of calibrate()

Examples of com.googlecode.javacv.ColorCalibrator.calibrate()

                for (int j = 0; j < projectorDevices.length; j++) {
                    System.arraycopy(proCamColorCalibrators[i][j].getCameraColors(), 0,
                            colors, totalColorCount*j, totalColorCount);
                }
                ColorCalibrator calibrator = new ColorCalibrator(cameraDevices[i]);
                calibrator.calibrate(referenceColors, colors);
            }
        }


    }

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveLeastSquareCalibrationEngine.calibrate()

    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LMM_PARAM_INIT.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, NB_STRIKE);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(SWAPTION_AMORTIZED, MONEYNESS);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SABR);
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[][] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final CurrencyAmount[][] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[][] pvDiff = new double[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[] pvDiffTot = new double[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    //TODO: Create a way to chose the calibration type.
    final InstrumentDerivative[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    return CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount());
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, METHOD_SWAPTION_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), hwBundle);
    return pvMC.getAmount();

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    // Calibration instruments
    final InstrumentDerivative[] calibrationBasket = annuity.calibrationBasket(RatchetIborCalibrationType.FORWARD_COUPON, curves);
    //TODO: set a way to chose the calibration type.
    calibrationEngine.addInstrument(calibrationBasket, METHOD_CAP_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), hwBundle);
    return pvMC.getAmount();

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
    final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvHw[loopexp] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getHwBundle());

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

      final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(HwParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
    // Performance note: calibration: 31-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 410 ms for 100 calibration with 5 swaptions.

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), METHOD_CAP_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[CAP.getNumberOfPayments()];
    final CurrencyAmount[] pvHw = new CurrencyAmount[CAP.getNumberOfPayments()];
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      pvSabr[loopexp] = METHOD_CAP_SABR.presentValue(CAP.getNthPayment(loopexp), SABR_BUNDLE);
      pvHw[loopexp] = METHOD_CAP_HW.presentValue(CAP.getNthPayment(loopexp), objective.getHwBundle());

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, METHOD_SABR);
    calibrationEngine.calibrate(sabrBundle);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, CURVES);
    final CurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmmBundle);
    final double pvAmortizedPrevious = 3058997.117;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(), 1.0E-2);
    // Method

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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

      alphaVegaTotalComputed += pvss.getAlpha().getMap().get(expiryMaturity);
    }
    final double shiftAlpha = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftAlpha = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double alphaVegaTotalExpected = (pvAmortizedShiftAlpha.getAmount() - pvAmortized.getAmount()) / shiftAlpha;
    assertEquals("Alpha sensitivity value", alphaVegaTotalExpected, alphaVegaTotalComputed, 1.0E+2);


    double rhoVegaTotalComputed = 0.0;

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