Examples of RidderSingleRootFinder

com.opengamma.analytics.math.rootfinding.RidderSingleRootFinder
ns.apache.org/math/api-2.1/org/apache/commons/math/analysis/solvers/RiddersSolver.html">Commons Math library implementation of Ridder's method.

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

  @Override
  public void calibrate(final DATA_TYPE data) {
    computeCalibrationPrice(data);
    _calibrationObjective.setMulticurves(data.getMulticurveProvider());
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
      if (loopins < nbInstruments - 1) {
        ((SuccessiveRootFinderG2ppCalibrationObjective) _calibrationObjective).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }
  }

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

  @Override
  public void calibrate(final DATA_TYPE data) {
    _calibrationObjective.setInflation(data.getInflationProvider());
    final int nbInstruments = getBasket().size();
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = (SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      objective.setExpiryIndex(_instrumentExpiryIndex.get(loopins + 1));
      objective.setStrikeIndex(_instrumentStrikeIndex.get(loopins + 1));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
    }
  }

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

      return new double[] {-100.0, 0, 0};
    }
    final CFunction toSolveC = new CFunction(_priceK, _cutOffStrike, _mu);
    final BracketRoot bracketer = new BracketRoot();
    double accuracy = 1.0E-5;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
    final double[] range = bracketer.getBracketedPoints(toSolveC, -1.0, 1.0);
    param[2] = rootFinder.getRoot(toSolveC, range[0], range[1]);
    param[1] = -2 * param[2] / _cutOffStrike - (_priceK[1] / _priceK[0] * _cutOffStrike + _mu) * _cutOffStrike;
    param[0] = Math.log(_priceK[0] / Math.pow(_cutOffStrike, -_mu)) - param[1] / _cutOffStrike - param[2] / (_cutOffStrike * _cutOffStrike);
    return param;
  }

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

      price -= e[ctd.get(0)];
    } else {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
      // From -infinity to first cross.
      for (int loopcf = 0; loopcf < cfaAdjusted[ctd.get(0)].length; loopcf++) {
        price += cfaAdjusted[ctd.get(0)][loopcf] * NORMAL.getCDF(kappa[0] + alpha[ctd.get(0)][loopcf]);
      }

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

    //    double price = 0.0;
    if (nbInt != 1) {
      // The intersections
      final BracketRoot bracketer = new BracketRoot();
      final double accuracy = 1.0E-8;
      final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(accuracy);
      for (int loopint = 1; loopint < nbInt; loopint++) {
        final BondDifference cross = new BondDifference(cfaAdjusted[ctd.get(loopint - 1)], alpha[ctd.get(loopint - 1)], e[ctd.get(loopint - 1)], cfaAdjusted[ctd.get(loopint)],
            alpha[ctd.get(loopint)], e[ctd.get(loopint)]);
        final double[] range = bracketer.getBracketedPoints(cross, refx.get(loopint - 1) - 0.01, refx.get(loopint - 1) + 0.01);
        kappa[loopint - 1] = rootFinder.getRoot(cross, range[0], range[1]);
      }
    }


    // === Backward Sweep ===
    final double priceBar = 1.0;

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

  @Override
  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) {
        ((CapFloorHullWhiteCalibrationObjective) getCalibrationObjective()).setNextCalibrationTime(_calibrationTimes.get(loopins));
      }
    }
  }

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

  @Override
  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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