Examples of org.jquantlib.math.distributions.PoissonDistribution.op()

Package org.jquantlib.math.distributions

Class org.jquantlib.math.distributions.PoissonDistribution

Examples of org.jquantlib.math.distributions.PoissonDistribution.op()

org.jquantlib.math.distributions.PoissonDistribution.op()
{@inheritDoc}
PoissonDistribution evaluation
Compute the Poisson Distribution with input {@latex$ \mu} and {@latex$ k}. @param k @return Math.exp(k*Math.log(mu_) - logFactorial - mu_)

            volTS.linkTo(new BlackConstantVol(rateRefDate, volcal, v, voldc));


            baseArguments.validate();
            baseEngine.calculate();


            weight = p.op(i);
            R.value += weight * baseResults.value;
            greeks.delta += weight * baseResults.greeks().delta;
            greeks.gamma += weight * baseResults.greeks().gamma;
            greeks.vega += weight * (Math.sqrt(variance / t) / v) * baseResults.greeks().vega;
            // theta modified

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            // theta modified
            theta_correction = baseResults.greeks().vega * ((i * jumpSquareVol) / (2.0 * v * t * t)) + baseResults.greeks().rho * i
            * muPlusHalfSquareVol / (t * t);
            greeks.theta += weight * (baseResults.greeks().theta + theta_correction + lambda * baseResults.value);
            if (i != 0) {
                greeks.theta -= (p.op(i-1) * lambda * baseResults.value);
            }
            // end theta calculation
            greeks.rho += weight * baseResults.greeks().rho;
            greeks.dividendRho += weight * baseResults.greeks().dividendRho;

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        final PoissonDistribution poissondist = new PoissonDistribution(mu);


        for(int i=0;i<n;i++){
            final int z = i;
            final double expected = testvalues[i];
            final double computed = poissondist.op(z);
            // double tolerance = (z<6 ) ? 1.0e-15: 1.0e-10;
            final double tolerance = 1.0e-15; // try to to get 1.0e-15 accuracy whenever possible


            //assertEquals(expected, computed, tolerance);
            if(computed - expected > tolerance){

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            volTS.linkTo(new BlackConstantVol(rateRefDate, volcal, v, voldc));


            baseArguments.validate();
            baseEngine.calculate();


            weight = p.op(i);
            R.value += weight * baseResults.value;
            greeks.delta += weight * baseResults.greeks().delta;
            greeks.gamma += weight * baseResults.greeks().gamma;
            greeks.vega += weight * (Math.sqrt(variance / t) / v) * baseResults.greeks().vega;
            // theta modified

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            // theta modified
            theta_correction = baseResults.greeks().vega * ((i * jumpSquareVol) / (2.0 * v * t * t)) + baseResults.greeks().rho * i
            * muPlusHalfSquareVol / (t * t);
            greeks.theta += weight * (baseResults.greeks().theta + theta_correction + lambda * baseResults.value);
            if (i != 0) {
                greeks.theta -= (p.op(i-1) * lambda * baseResults.value);
            }
            // end theta calculation
            greeks.rho += weight * baseResults.greeks().rho;
            greeks.dividendRho += weight * baseResults.greeks().dividendRho;

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    }
    // fix this return type and argument type got mixed up
      public static double evaluatePoissonDistribution(double mu, double sigma){
          PoissonDistribution pd = new PoissonDistribution(mu);
          int k = (int) sigma;
          return pd.op(k);
      }
}

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