Package com.opengamma.analytics.math.integration

Examples of com.opengamma.analytics.math.integration.RungeKuttaIntegrator1D.integrate()

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    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactorTp * integrator.integrate(integrant, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactorTp * integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double priceCMS = (strikePart + integralPart) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final double[] n = integrantDelta.nnp(forward);
    final double strikePartPrice = discountFactor * integrantDelta.k(strike) * n[0] * bs[0];
    double integralPartPrice;
    try {
      if (cmsCapFloor.isCap()) {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, strike, strike + getIntegrationInterval());
      } else {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
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    double integralPartPrice;
    try {
      if (cmsCapFloor.isCap()) {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, strike, strike + getIntegrationInterval());
      } else {
        integralPartPrice = discountFactor * integrator.integrate(integrantPrice, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double price = (strikePartPrice + integralPartPrice) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    // Delta
    final double strikePart = discountFactor * integrantDelta.k(strike) * (n[1] * bs[0] + n[0] * bs[1]);
    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactor * integrator.integrate(integrantDelta, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactor * integrator.integrate(integrantDelta, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
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    double integralPart;
    try {
      if (cmsCapFloor.isCap()) {
        integralPart = discountFactor * integrator.integrate(integrantDelta, strike, strike + getIntegrationInterval());
      } else {
        integralPart = discountFactor * integrator.integrate(integrantDelta, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double deltaS0 = (strikePart + integralPart) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final double[] totalSensi = new double[4];
    for (int loopparameter = 0; loopparameter < 4; loopparameter++) {
      integrantVega.setParameterIndex(loopparameter);
      try {
        if (cmsCapFloor.isCap()) {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, 0.0, strike);
        }
      } catch (final Exception e) {
        throw new RuntimeException(e);
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      integrantVega.setParameterIndex(loopparameter);
      try {
        if (cmsCapFloor.isCap()) {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactorTp * integrator.integrate(integrantVega, 0.0, strike);
        }
      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);
 
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    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(_baseMethod, capStandard, sabrData);
    double integralPart;
    try {
      if (cap.isCap()) {
        integralPart = integrator.integrate(integrant, cap.getStrike(), cap.getStrike() + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, cap.getStrike());
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
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