@Test
public void testRungeKutta() {
final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D();
final double lower = -1;
final double upper = 2;
assertEquals(
F1.evaluate(upper) - F1.evaluate(lower), integrator.integrate(DF1, lower, upper), EPS);
}
@Test
public void testGaussJacobi() {
final double upper = 12;
final double lower = -1;
final Integrator1D<Double, Double> integrator = new GaussJacobiQuadratureIntegrator1D(7);
assertEquals(
F1.evaluate(upper) - F1.evaluate(lower), integrator.integrate(DF1, lower, upper), EPS);
}
@Test
public void testGaussLegendre() {
double upper = 2;
double lower = -6;
final Integrator1D<Double, Double> integrator = new GaussLegendreQuadratureIntegrator1D(6);
assertEquals(
F1.evaluate(upper) - F1.evaluate(lower), integrator.integrate(DF1, lower, upper), EPS);
lower = -0.56;
upper = 1.4;
assertEquals(
F1.evaluate(upper) - F1.evaluate(lower), integrator.integrate(DF1, lower, upper), EPS);
}
@Test
public void testMixed() {
final DoubleMatrix2D jacobian = MIXED.evaluate(XNM);
assertEquals(N + M, jacobian.getNumberOfRows());
assertEquals(N + M, jacobian.getNumberOfColumns());
for (int i = 0; i < N; i++) {
for (int j = 0; j < N + M; j++) {
if (i == j) {
assertTrue(jacobian.getEntry(i, j) > 0.0);
} else if (i == (j + 1)) {
assertTrue(jacobian.getEntry(i, j) < 0.0);
} else {
assertEquals(0.0, jacobian.getEntry(i, j), 0.0);
}
}
}
for (int i = N; i < N + M; i++) {
for (int j = 0; j < N + M; j++) {
if (i == j) {
assertEquals(Math.exp(XNM.getEntry(i) * (i - N)), jacobian.getEntry(i, i), 1e-8);
} else {
assertEquals(0.0, jacobian.getEntry(i, j), 0.0);
}
}
}
}
/** {@inheritDoc} */
@Override
public Double integrate(
final Function1D<Double, Double> function, final Double lower, final Double upper) {
Validate.notNull(function);
Validate.notNull(lower);
Validate.notNull(upper);
final Function1D<Double, Double> integral = getIntegralFunction(function, lower, upper);
final GaussianQuadratureData quadrature = _generator.generate(_n);
final double[] abscissas = quadrature.getAbscissas();
final int n = abscissas.length;
final double[] weights = quadrature.getWeights();
double sum = 0;
for (int i = 0; i < n; i++) {
sum += integral.evaluate(abscissas[i]) * weights[i];
}
return sum;
}
@Test
public void test() {
double x;
final double eps = 1e-5;
for (int i = 0; i < 100; i++) {
x = RANDOM.nextDouble();
assertEquals(x, F.evaluate(T.getCDF(x)), eps);
}
}
@Override
public DoubleMatrix2D getInitializedMatrix(
final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianFunction, final DoubleMatrix1D x) {
Validate.notNull(jacobianFunction);
Validate.notNull(x);
final DoubleMatrix2D estimate = jacobianFunction.evaluate(x);
final DecompositionResult decompositionResult = _decomposition.evaluate(estimate);
return decompositionResult.solve(
DoubleMatrixUtils.getIdentityMatrix2D(x.getNumberOfElements()));
}
@Test
public void test() {
DoubleMatrix2D m1 = ESTIMATE.getInitializedMatrix(J, X);
DoubleMatrix2D m2 = J.evaluate(X);
for (int i = 0; i < 2; i++) {
for (int j = 0; j < 2; j++) {
assertEquals(m1.getEntry(i, j), m2.getEntry(i, j), 1e-9);
}
}
}
@Test
public void testCashOnly() {
final DoubleMatrix2D jacobian = CASH_ONLY.evaluate(XM);
assertEquals(M, jacobian.getNumberOfRows());
assertEquals(M, jacobian.getNumberOfColumns());
for (int i = 0; i < M; i++) {
for (int j = 0; j < M; j++) {
if (i == j) {
assertEquals(Math.exp(XM.getEntry(i) * i), jacobian.getEntry(i, i), 1e-8);
} else {
assertEquals(0.0, jacobian.getEntry(i, j), 0);
}
}
}
}
/**
* @param x The array of data, not null, must contain at least three data points
* @return The sample skewness
*/
@Override
public Double evaluate(final double[] x) {
Validate.notNull(x, "x");
Validate.isTrue(x.length >= 3, "Need at least three points to calculate sample skewness");
double sum = 0;
double variance = 0;
final double mean = MEAN.evaluate(x);
for (final Double d : x) {
final double diff = d - mean;
variance += diff * diff;
sum += diff * diff * diff;
}
final int n = x.length;
variance /= n - 1;
return Math.sqrt(n - 1.) * sum / (Math.pow(variance, 1.5) * Math.sqrt(n) * (n - 2));
}
@Test
public void testFRAOnly() {
final DoubleMatrix2D jacobian = FRA_ONLY.evaluate(XN);
assertEquals(N, jacobian.getNumberOfRows());
assertEquals(N, jacobian.getNumberOfColumns());
for (int i = 0; i < N; i++) {
for (int j = 0; j < N; j++) {
if (i == j) {
assertTrue(jacobian.getEntry(i, j) > 0.0);
} else if (i == (j + 1)) {
assertTrue(jacobian.getEntry(i, j) < 0.0);
} else {
assertEquals(0.0, jacobian.getEntry(i, j), 0.0);
}
}
}
}
@Override
public LeastSquareResultsWithTransform getFitResult(
final EuropeanVanillaOption[] options,
final BlackFunctionData[] data,
final double[] errors,
final double[] initialFitParameters,
final BitSet fixed) {
testData(options, data, errors, initialFitParameters, fixed, N_PARAMETERS);
final int n = options.length;
final double forward = data[0].getForward();
final double maturity = options[0].getTimeToExpiry();
for (int i = 1; i < n; i++) {
Validate.isTrue(
CompareUtils.closeEquals(options[i].getTimeToExpiry(), maturity),
"All options must have the same maturity "
+ maturity
+ "; have one with maturity "
+ options[i].getTimeToExpiry());
}
final UncoupledParameterTransforms transforms =
new UncoupledParameterTransforms(
new DoubleMatrix1D(initialFitParameters), TRANSFORMS, fixed);
final Function1D<DoubleMatrix1D, Double> function =
new Function1D<DoubleMatrix1D, Double>() {
@SuppressWarnings("synthetic-access")
@Override
public Double evaluate(final DoubleMatrix1D fp) {
final DoubleMatrix1D mp = transforms.inverseTransform(fp);
final double alpha = mp.getEntry(0);
final double beta = mp.getEntry(1);
final double nu = mp.getEntry(2);
final double rho = mp.getEntry(3);
double chiSqr = 0;
final SABRFormulaData sabrFormulaData = new SABRFormulaData(alpha, beta, rho, nu);
for (int i = 0; i < n; i++) {
chiSqr +=
FunctionUtils.square(
(data[i].getBlackVolatility()
- _formula
.getVolatilityFunction(options[i], forward)
.evaluate(sabrFormulaData))
/ errors[i]);
}
return chiSqr;
}
};
final ScalarMinimizer lineMinimizer = new BrentMinimizer1D();
final ConjugateDirectionVectorMinimizer minimzer =
new ConjugateDirectionVectorMinimizer(lineMinimizer, 1e-6, 10000);
final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
final DoubleMatrix1D minPos = minimzer.minimize(function, fp);
final double chiSquare = function.evaluate(minPos);
final DoubleMatrix1D res = transforms.inverseTransform(minPos);
return new LeastSquareResultsWithTransform(
new LeastSquareResults(
chiSquare, res, new DoubleMatrix2D(new double[N_PARAMETERS][N_PARAMETERS])),
transforms);
// return new LeastSquareResults(chiSquare, res, new DoubleMatrix2D(new
// double[N_PARAMETERS][N_PARAMETERS]));
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNegative() {
F.evaluate(-4.);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNull() {
F.evaluate((Double) null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testWrongNumberOfElements() {
CASH_ONLY.evaluate(XN);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullVector() {
CASH_ONLY.evaluate((DoubleMatrix1D) null);
}
