Package com.opengamma.analytics.math.integration

Examples of com.opengamma.analytics.math.integration.IntegratorRepeated2D.integrate()

99
100
101
102
103
104
105
106
107
108
109
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit}, new Double[] {limit, limit});
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }

    return MultipleCurrencyAmount.of(swaption.getCurrency(), dft0 * pv * (swaption.isLong() ? 1.0 : -1.0));
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit }, new Double[] {limit, limit });
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return CurrencyAmount.of(swaption.getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
View Full Code Here
74
75
76
77
78
79
80
81
82
83
84
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit}, new Double[] {limit, limit});
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv * (swaption.isLong() ? 1.0 : -1.0));
  }
View Full Code Here
137
138
139
140
141
142
143
144
145
146
147
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar))
          * integrator2D.integrate(integrant, new Double[] {-INTEGRATION_LIMIT, -INTEGRATION_LIMIT }, new Double[] {INTEGRATION_LIMIT, INTEGRATION_LIMIT });
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return CurrencyAmount.of(cmsSpread.getCurrency(), dftp * pv * cmsSpread.getNotional() * cmsSpread.getPaymentYearFraction());
  }
View Full Code Here
157
158
159
160
161
162
163
164
165
166
167
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar))
          * integrator2D.integrate(integrant, new Double[] {-INTEGRATION_LIMIT, -INTEGRATION_LIMIT}, new Double[] {INTEGRATION_LIMIT, INTEGRATION_LIMIT});
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return MultipleCurrencyAmount.of(cmsSpread.getCurrency(), dftp * pv * cmsSpread.getNotional() * cmsSpread.getPaymentYearFraction());
  }
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator1D = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    final IntegratorRepeated2D integrator2D = new IntegratorRepeated2D(integrator1D);
    double pv = 0.0;
    try {
      pv = 1.0 / (2.0 * Math.PI * Math.sqrt(1 - rhobar * rhobar)) * integrator2D.integrate(integrant, new Double[] {-limit, -limit }, new Double[] {limit, limit });
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }

    return CurrencyAmount.of(swaption.getCurrency(), dft0 * pv * (swaption.isLong() ? 1.0 : -1.0));
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.