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

com.opengamma.analytics.math.minimization.UncoupledParameterTransforms.inverseTransform()
Transforms from a set of unconstrained fitting parameters to a (possibly larger) set of function parameters (some of which may have constrained range and/or be fixed). @param fittingParameters The fitting parameters @return The function parameters

    final Function1D<DoubleMatrix1D, Double> function = new Function1D<DoubleMatrix1D, Double>() {


      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final DoubleMatrix1D fp) {
        final DoubleMatrix1D mp = transforms.inverseTransform(fp);
        final double alpha = mp.getEntry(0);
        final double beta = mp.getEntry(1);
        final double nu = mp.getEntry(2);
        final double rho = mp.getEntry(3);
        double chiSqr = 0;

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    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]));
  }


  //TODO add method that recovers ATM vol

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    final ParameterizedFunction<Double, DoubleMatrix1D, Double> function = new ParameterizedFunction<Double, DoubleMatrix1D, Double>() {
      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double strike, final DoubleMatrix1D fp) {
        final DoubleMatrix1D mp = transforms.inverseTransform(fp);
        final double a = mp.getEntry(0);
        final double b = mp.getEntry(1);
        final double rho = mp.getEntry(2);
        final double sigma = mp.getEntry(3);
        final double m = mp.getEntry(4);

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    final ParameterizedFunction<Double, DoubleMatrix1D, Double> function = new ParameterizedFunction<Double, DoubleMatrix1D, Double>() {


      @SuppressWarnings("synthetic-access")
      @Override
      public Double evaluate(final Double strike, final DoubleMatrix1D fp) {
        final DoubleMatrix1D mp = transforms.inverseTransform(fp);
        double alpha = mp.getEntry(0);
        final double beta = mp.getEntry(1);
        final double rho = mp.getEntry(2);
        final double nu = mp.getEntry(3);

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    };


    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];
      final double nu = mp[2];
      final double rho = mp[3];
      final EuropeanVanillaOption option = new EuropeanVanillaOption(forward, maturity, true);

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