Package com.opengamma.analytics.math.minimization

Examples of com.opengamma.analytics.math.minimization.UncoupledParameterTransforms.transform()

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        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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        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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        final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, maturity, true);
        return _formula.getVolatilityFunction(option, forward).evaluate(sabrFormulaData);
      }
    };

    final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
    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 double[] mp = transforms.inverseTransform(lsRes.getFitParameters()).toArray();
    if (recoverATMVol) {
      final double beta = mp[1];
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