Package org.jquantlib.math.solvers1D

Examples of org.jquantlib.math.solvers1D.NewtonSafe.solve()

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        final BlackImpliedStdDevHelper f = new BlackImpliedStdDevHelper(optionType, strike, forward, blackPrice / discount);
        final NewtonSafe solver = new NewtonSafe();
        solver.setMaxEvaluations(maxIterations);
        final double minSdtDev = 0.0, maxstddev = 3.0;
        final double stddev = solver.solve(f, accuracy, guess, minSdtDev, maxstddev);

        if (stddev >= 0.0) return stddev;
        throw new ArithmeticException("a negative value was calculated"); // TODO: add more logging
    }
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        final BlackImpliedStdDevHelper f = new BlackImpliedStdDevHelper(optionType, strike, forward, blackPrice / discount);
        final NewtonSafe solver = new NewtonSafe();
        solver.setMaxEvaluations(maxIterations);
        final double minSdtDev = 0.0, maxstddev = 3.0;
        final double stddev = solver.solve(f, accuracy, guess, minSdtDev, maxstddev);

        if (stddev >= 0.0) return stddev;
        throw new ArithmeticException("a negative value was calculated"); // TODO: add more logging
    }
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      }
    };

    final NewtonSafe newtonsafe = new NewtonSafe();

    double root = newtonsafe.solve(f, accuracy, guess, xMin, xMax);

    // assertEquals(1.0, root, accuracy);
    if (Math.abs(1.0-root)> accuracy) {
      fail("expected: 1.0" + " but root is: " + root);
    }
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    // assertEquals(100, newtonsafe.getMaxEvaluations());
    if(newtonsafe.getMaxEvaluations() != 100){
      fail("expected: 100" + " but was: " + newtonsafe.getMaxEvaluations());
    }

    root = newtonsafe.solve(f, accuracy, 0.01, 0.1);

    // assertEquals(1.0, root, accuracy);
    if (Math.abs(1.0-root)> accuracy) {
      fail("expected: 1.0" + " but root is: " + root);
    }
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