Package com.opengamma.analytics.math.integration

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

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    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * (swaption.isLong() ? 1.0 : -1.0) * notional * dfIbor[0];
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * (swaption.isLong() ? 1.0 : -1.0) * notional * dfIbor[0];
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
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    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double pv = nominal * annuityPhysical * (strikePart + integralPart) * (swaption.isLong() ? 1.0 : -1.0);
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    final double absoluteTolerance = 1.0E-2;
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * (swaption.isLong() ? 1.0 : -1.0);
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return MultipleCurrencyAmount.of(swaption.getCurrency(), pv);
  }
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    final double relativeTolerance = 1.0E-5;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
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    double integralPart;
    try {
      if (swaption.isCall()) {
        integralPart = integrator.integrate(integrant, strike, strike + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, strike);
      }
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    final double pv = nominal * annuityPhysical * (strikePart + integralPart) * (swaption.isLong() ? 1.0 : -1.0);
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    final double absoluteTolerance = 1.0E-2;
    final double relativeTolerance = 1.0E-6;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * (swaption.isLong() ? 1.0 : -1.0);
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    return CurrencyAmount.of(swaption.getCurrency(), pv);
  }
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        return u.getReal();
      }
    };

    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D();
    final double integral = integrator.integrate(f, 0.0, 1000.0) / Math.PI;

    final double price = DF * FORWARD * integral;
    double impVol = 0;
    try {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(FORWARD, T, true);
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    final double relativeTolerance = 1E-10;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, getNbIteration());
    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);
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