/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.smile.fitting;
import java.util.BitSet;
import com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.minimization.DoubleRangeLimitTransform;
import com.opengamma.analytics.math.minimization.NonLinearParameterTransforms;
import com.opengamma.analytics.math.minimization.NullTransform;
import com.opengamma.analytics.math.minimization.ParameterLimitsTransform;
import com.opengamma.analytics.math.minimization.ParameterLimitsTransform.LimitType;
import com.opengamma.analytics.math.minimization.SingleRangeLimitTransform;
import com.opengamma.analytics.math.minimization.UncoupledParameterTransforms;
/**
*
*/
public class SVIModelFitter extends SmileModelFitter<SVIFormulaData> {
private static final ParameterLimitsTransform[] DEFAULT_TRANSFORMS;
static {
DEFAULT_TRANSFORMS = new ParameterLimitsTransform[5];
DEFAULT_TRANSFORMS[0] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //a
DEFAULT_TRANSFORMS[1] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //b
DEFAULT_TRANSFORMS[2] = new DoubleRangeLimitTransform(-1.0, 1.0); //rho
DEFAULT_TRANSFORMS[3] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //nu
DEFAULT_TRANSFORMS[4] = new NullTransform(); //m
}
public SVIModelFitter(final double forward, final double[] strikes, final double timeToExpiry, final double[] impliedVols, final double[] error,
final VolatilityFunctionProvider<SVIFormulaData> model) {
super(forward, strikes, timeToExpiry, impliedVols, error, model);
}
@Override
protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
final BitSet fixed = new BitSet(5);
return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
}
@Override
protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start, final BitSet fixed) {
return new UncoupledParameterTransforms(start, DEFAULT_TRANSFORMS, fixed);
}
@Override
protected SVIFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
return new SVIFormulaData(modelParameters.getData());
}
@Override
protected DoubleMatrix1D getMaximumStep() {
return null;
}
}