/**
* 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.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
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.UncoupledParameterTransforms;
/**
*
*/
public class SABRModelFitterConstrained extends SmileModelFitter<SABRFormulaData> {
private static final ParameterLimitsTransform[] DEFAULT_TRANSFORMS;
static {
DEFAULT_TRANSFORMS = new ParameterLimitsTransform[4];
DEFAULT_TRANSFORMS[0] = new NullTransform();
DEFAULT_TRANSFORMS[1] = new NullTransform();
DEFAULT_TRANSFORMS[2] = new NullTransform();
DEFAULT_TRANSFORMS[3] = new NullTransform();
}
public SABRModelFitterConstrained(final double forward, final double[] strikes, final double timeToExpiry, final double[] impliedVols,
final double[] error, final VolatilityFunctionProvider<SABRFormulaData> model) {
super(forward, strikes, timeToExpiry, impliedVols, error, model);
}
@Override
protected SABRFormulaData toSmileModelData(final DoubleMatrix1D modelParameters) {
return new SABRFormulaData(modelParameters.getData());
}
@Override
protected NonLinearParameterTransforms getTransform(final DoubleMatrix1D start) {
final BitSet fixed = new BitSet();
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 Function1D<DoubleMatrix1D, Boolean> getConstraintFunction(final NonLinearParameterTransforms t) {
return new Function1D<DoubleMatrix1D, Boolean>() {
@Override
public Boolean evaluate(final DoubleMatrix1D y) {
final DoubleMatrix1D x = t.inverseTransform(y);
final double alpha = x.getEntry(0);
final double beta = x.getEntry(1);
final double rho = x.getEntry(2);
final double nu = x.getEntry(3);
return (alpha >= 0 && beta >= 0.0 && rho >= -1.0 && rho <= 1.0 && nu >= 0.0);
}
};
}
@Override
protected DoubleMatrix1D getMaximumStep() {
return null;
}
}