Examples of BracketRoot

com.opengamma.analytics.math.rootfinding.BracketRoot
Class that brackets single root of a function. For a 1-D function ( {@link com.opengamma.analytics.math.function.Function1D}) $f(x)$, initial values for the interval, $x_1$ and $x_2$, are supplied.
A root is assumed to be bracketed if $f(x_1)f(x_2) < 0$. If this condition is not satisfied, then either $|f(x_1)| < |f(x_2)|$, in which case the lower value $x_1$ is shifted in the negative $x$ direction, or the upper value $x_2$ is shifted in the positive $x$ direction. The amount by which to shift is the difference between the two $x$ values multiplied by a constant ratio (1.6). If a root is not bracketed after 50 attempts, an exception is thrown.

Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

      change = sign * Math.min(maxChange, Math.abs(change));
      if (change > 0 && change > sigma) {
        change = sigma;
      }
      if (count++ > MAX_ITERATIONS) {
        final BracketRoot bracketer = new BracketRoot();
        final BisectionSingleRootFinder rootFinder = new BisectionSingleRootFinder(EPS);
        final Function1D<Double, Double> func = new Function1D<Double, Double>() {
          @SuppressWarnings({"synthetic-access" })
          @Override
          public Double evaluate(final Double volatility) {
            final NormalFunctionData myData = new NormalFunctionData(data.getForward(), data.getNumeraire(), volatility);
            return NORMAL_PRICE_FUNCTION.getPriceFunction(option).evaluate(myData) - optionPrice;
          }
        };
        final double[] range = bracketer.getBracketedPoints(func, 0.0, 10.0);
        return rootFinder.getRoot(func, range[0], range[1]);
      }
    }
    return sigma;
  }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

  public void calibrate(final YieldCurveBundle curves) {
    computeCalibrationPrice(curves);
    getCalibrationObjective().setCurves(curves);
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(getCalibrationObjective().getFunctionValueAccuracy(), getCalibrationObjective().getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      getCalibrationObjective().setInstrument(instrument);
      getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
      final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(), getCalibrationObjective().getMinimumParameter(), getCalibrationObjective().getMaximumParameter());
      rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((SwaptionPhysicalG2ppCalibrationObjective) getCalibrationObjective()).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }

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Examples of com.opengamma.analytics.math.rootfinding.BracketRoot

  }


  @SuppressWarnings("unused")
  private Function1D<Double, Double> getStrikeForDeltaFunction(final double forward, final double expiry, final boolean isCall,
      final Function1D<Double, Double> volFunc) {
    final BracketRoot bracketer = new BracketRoot();
    final BisectionSingleRootFinder rootFinder = new BisectionSingleRootFinder(1e-8);


    return new Function1D<Double, Double>() {


      @Override
      public Double evaluate(final Double delta) {


        final Function1D<Double, Double> deltaFunc = new Function1D<Double, Double>() {


          @Override
          public Double evaluate(final Double strike) {
            final double vol = volFunc.evaluate(strike);
            final double deltaTry = BlackFormulaRepository.delta(forward, strike, expiry, vol, isCall);
            return deltaTry - delta;
          }
        };


        final double[] brackets = bracketer.getBracketedPoints(deltaFunc, 0.5, 1.5, 0, 5);
        return rootFinder.getRoot(deltaFunc, brackets[0], brackets[1]);
      }
    };
  }

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