Package com.opengamma.analytics.math.integration

Examples of com.opengamma.analytics.math.integration.RungeKuttaIntegrator1D.integrate()

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      integrantVega.setParameterIndex(loopparameter);
      try {
        if (cmsCapFloor.isCap()) {
          integralPart[loopparameter] = discountFactor * integrator.integrate(integrantVega, strike, strike + getIntegrationInterval());
        } else {
          integralPart[loopparameter] = discountFactor * integrator.integrate(integrantVega, 0.0, strike);
        }
      } catch (final Exception e) {
        throw new RuntimeException(e);
      }
      totalSensi[loopparameter] = (strikePartPrice[loopparameter] + integralPart[loopparameter]) * cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction();
 
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    final double[] kpkpp = integrant.kpkpp(strike);
    double firstPart;
    double thirdPart;
    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * (bsA[3] + bsA[2] * volA[2]);
 
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    if (cmsCapFloor.isCap()) {
      firstPart = -kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * (bsA[3] + bsA[2] * volA[2]);

    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }
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    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, _nbIteration);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(_baseMethod, capStandard, sabr);
    double integralPart;
    try {
      if (cap.isCap()) {
        integralPart = integrator.integrate(integrant, cap.getStrike(), cap.getStrike() + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, cap.getStrike());
      }
    } catch (final Exception e) {
      throw new MathException(e);
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    double integralPart;
    try {
      if (cap.isCap()) {
        integralPart = integrator.integrate(integrant, cap.getStrike(), cap.getStrike() + _integrationInterval);
      } else {
        integralPart = integrator.integrate(integrant, 0.0, cap.getStrike());
      }
    } catch (final Exception e) {
      throw new MathException(e);
    }
    integralPart *= 2.0 * cap.getFixingAccrualFactor();
 
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    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * dfPayment * cms.getNotional() * cms.getPaymentYearFraction();
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return MultipleCurrencyAmount.of(cms.getCurrency(), pv);
  }
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    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, NB_INTEGRATION);
    double pv = 0.0;
    try {
      pv = 1.0 / Math.sqrt(2.0 * Math.PI) * integrator.integrate(integrant, -limit, limit) * dfPayment * cms.getNotional() * cms.getPaymentYearFraction();
    } catch (final Exception e) {
      throw new MathException(e);
    }
    return CurrencyAmount.of(cms.getCurrency(), pv);
  }
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    final int nbIteration = 15;
    final RungeKuttaIntegrator1D integratorOG = new RungeKuttaIntegrator1D(absoluteTolerance, relativeTolerance, nbIteration);
    final double integrationInterval = 1.00;
    double integralPart;
    try {
      integralPart = integratorOG.integrate(integrant, strike, strike + integrationInterval);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    final double priceCMS = factor * (strikePart + integralPart) * CMS_COUPON_RECEIVER.getNotional() * CMS_COUPON_RECEIVER.getPaymentYearFraction();
    assertEquals(8854.551, priceCMS, 1E-2);
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    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard.getAmount(EUR);
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(METHOD_SABREXTRA_STD, capStandard, SABR_MULTICURVES);
    double integralPart;
    try {
      integralPart = integrator.integrate(integrant, STRIKE, STRIKE + 2.0);
    } catch (final Exception e) {
      throw new MathException(e);
    }
    integralPart *= 2.0 * CAP_LONG.getFixingAccrualFactor();
    final MultipleCurrencyAmount price = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_MULTICURVES);
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    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);
    final InArrearsIntegrant integrant = new InArrearsIntegrant(METHOD_SABREXTRA_STD, capStandard, SABR_BUNDLE);
    double integralPart;
    try {
      integralPart = integrator.integrate(integrant, STRIKE, STRIKE + 2.0);
    } catch (final Exception e) {
      throw new RuntimeException(e);
    }
    integralPart *= 2.0 * CAP_LONG.getFixingAccrualFactor();
    final CurrencyAmount price = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_BUNDLE);
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