Package org.jquantlib.math.optimization

Examples of org.jquantlib.math.optimization.ProjectedCostFunction.project()


        final Array inversedTransformatedGuess = new Array(transformation_.inverse(guess));

        final ProjectedCostFunction constrainedSABRError = new ProjectedCostFunction(costFunction, inversedTransformatedGuess, parameterAreFixed);

        final Array projectedGuess = new Array(constrainedSABRError.project(inversedTransformatedGuess));

        final NoConstraint constraint = new NoConstraint();
        final Problem problem = new Problem(constrainedSABRError, constraint, projectedGuess);
        itsCoeffs.SABREndCriteria_ = optMethod_.minimize(problem, endCriteria_);
        final Array projectedResult = new Array(problem.currentValue());
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        final Array inversedTransformatedGuess = new Array(transformation_.inverse(guess));

        final ProjectedCostFunction constrainedSABRError = new ProjectedCostFunction(costFunction, inversedTransformatedGuess, parameterAreFixed);

        final Array projectedGuess = new Array(constrainedSABRError.project(inversedTransformatedGuess));

        final NoConstraint constraint = new NoConstraint();
        final Problem problem = new Problem(constrainedSABRError, constraint, projectedGuess);
        itsCoeffs.SABREndCriteria_ = optMethod_.minimize(problem, endCriteria_);
        final Array projectedResult = new Array(problem.currentValue());
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