/// <summary>
/// Creates an instance.
/// <para>
/// If the size of the domain is very small or very large, consider re-scaling first.
/// If this value is too small, the result will most likely be dominated by noise.
/// Use around 10<sup>-5</sup> times the domain size.
///
/// </para>
/// </summary>
/// <param name="differenceType"> the differencing type to be used in calculating the gradient function </param>
/// <param name="eps"> the step size used to approximate the derivative </param>
public VectorFieldFirstOrderDifferentiator(FiniteDifferenceType differenceType, double eps)
{
ArgChecker.notNull(differenceType, "differenceType");
this.differenceType = differenceType;
this.eps = eps;
this.twoEps = 2 * eps;
}
/// <summary>
/// Creates an instance that approximates the derivative of a scalar function by finite difference.
/// <para>
/// If the size of the domain is very small or very large, consider re-scaling first.
/// If this value is too small, the result will most likely be dominated by noise.
/// Use around 10<sup>-5</sup> times the domain size.
///
/// </para>
/// </summary>
/// <param name="differenceType"> the type, forward, backward or central. In most situations, central is best </param>
/// <param name="eps"> the step size used to approximate the derivative </param>
public ScalarFieldFirstOrderDifferentiator(FiniteDifferenceType differenceType, double eps)
{
ArgChecker.notNull(differenceType, "differenceType");
ArgChecker.isTrue(eps >= MIN_EPS, "eps of {} is too small. Please choose a value > {}, such as 1e-5*size of domain", eps, MIN_EPS);
this.differenceType = differenceType;
this.eps = eps;
this.twoEps = 2 * eps;
}
/// <summary>
/// Creates an instance using the default value of eps (10<sup>-5</sup>).
/// </summary>
/// <param name="differenceType"> the differencing type to be used in calculating the gradient function </param>
public VectorFieldFirstOrderDifferentiator(FiniteDifferenceType differenceType) : this(differenceType, DEFAULT_EPS)
{
}
//-------------------------------------------------------------------------
/// <summary>
/// Create an instance of the finite difference calculator.
/// </summary>
/// <param name="fdType"> the finite difference type </param>
/// <param name="shift"> the shift to be applied to the curves </param>
private CurveGammaCalculator(FiniteDifferenceType fdType, double shift)
{
this.fd = new VectorFieldFirstOrderDifferentiator(fdType, shift);
}
/// <summary>
/// Creates an instance using the default value of eps (10<sup>-5</sup>).
/// </summary>
/// <param name="differenceType"> the differencing type to be used in calculating the gradient function </param>
public ScalarFirstOrderDifferentiator(FiniteDifferenceType differenceType) : this(differenceType, DEFAULT_EPS)
{
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("null") private double fdSensitivity(com.opengamma.strata.pricer.impl.option.EuropeanVanillaOption optionData, double forward, SabrFormulaData sabrData, SabrParameter param, double delta)
private double fdSensitivity(EuropeanVanillaOption optionData, double forward, SabrFormulaData sabrData, SabrParameter param, double delta)
{
System.Func <SabrFormulaData, double> funcC = null;
System.Func <SabrFormulaData, double> funcB = null;
System.Func <SabrFormulaData, double> funcA = null;
SabrFormulaData dataC = null;
SabrFormulaData dataB = sabrData;
SabrFormulaData dataA = null;
System.Func <SabrFormulaData, double> func = getVolatilityFunction(optionData, forward);
FiniteDifferenceType fdType = null;
switch (param)
{
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Strike:
double strike = optionData.Strike;
if (strike >= delta)
{
fdType = FiniteDifferenceType.CENTRAL;
funcA = getVolatilityFunction(withStrike(optionData, strike - delta), forward);
funcC = getVolatilityFunction(withStrike(optionData, strike + delta), forward);
}
else
{
fdType = FiniteDifferenceType.FORWARD;
funcA = func;
funcB = getVolatilityFunction(withStrike(optionData, strike + delta), forward);
funcC = getVolatilityFunction(withStrike(optionData, strike + 2 * delta), forward);
}
dataC = sabrData;
dataB = sabrData;
dataA = sabrData;
break;
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Forward:
if (forward > delta)
{
fdType = FiniteDifferenceType.CENTRAL;
funcA = getVolatilityFunction(optionData, forward - delta);
funcC = getVolatilityFunction(optionData, forward + delta);
}
else
{
fdType = FiniteDifferenceType.FORWARD;
funcA = func;
funcB = getVolatilityFunction(optionData, forward + delta);
funcC = getVolatilityFunction(optionData, forward + 2 * delta);
}
dataC = sabrData;
dataB = sabrData;
dataA = sabrData;
break;
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Alpha:
double a = sabrData.Alpha;
if (a >= delta)
{
fdType = FiniteDifferenceType.CENTRAL;
dataA = sabrData.withAlpha(a - delta);
dataC = sabrData.withAlpha(a + delta);
}
else
{
fdType = FiniteDifferenceType.FORWARD;
dataA = sabrData;
dataB = sabrData.withAlpha(a + delta);
dataC = sabrData.withAlpha(a + 2 * delta);
}
funcC = func;
funcB = func;
funcA = func;
break;
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Beta:
double b = sabrData.Beta;
if (b >= delta)
{
fdType = FiniteDifferenceType.CENTRAL;
dataA = sabrData.withBeta(b - delta);
dataC = sabrData.withBeta(b + delta);
}
else
{
fdType = FiniteDifferenceType.FORWARD;
dataA = sabrData;
dataB = sabrData.withBeta(b + delta);
dataC = sabrData.withBeta(b + 2 * delta);
}
funcC = func;
funcB = func;
funcA = func;
break;
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Nu:
double n = sabrData.Nu;
if (n >= delta)
{
fdType = FiniteDifferenceType.CENTRAL;
dataA = sabrData.withNu(n - delta);
dataC = sabrData.withNu(n + delta);
}
else
{
fdType = FiniteDifferenceType.FORWARD;
dataA = sabrData;
dataB = sabrData.withNu(n + delta);
dataC = sabrData.withNu(n + 2 * delta);
}
funcC = func;
funcB = func;
funcA = func;
break;
case com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProviderTest.SabrParameter.Rho:
double r = sabrData.Rho;
if ((r + 1) < delta)
{
fdType = FiniteDifferenceType.FORWARD;
dataA = sabrData;
dataB = sabrData.withRho(r + delta);
dataC = sabrData.withRho(r + 2 * delta);
}
else if ((1 - r) < delta)
{
fdType = FiniteDifferenceType.BACKWARD;
dataA = sabrData.withRho(r - 2 * delta);
dataB = sabrData.withRho(r - delta);
dataC = sabrData;
}
else
{
fdType = FiniteDifferenceType.CENTRAL;
dataC = sabrData.withRho(r + delta);
dataA = sabrData.withRho(r - delta);
}
funcC = func;
funcB = func;
funcA = func;
break;
default:
throw new MathException("enum not found");
}
if (fdType != null)
{
switch (fdType)
{
case FiniteDifferenceType.FORWARD:
return((-1.5 * funcA(dataA) + 2.0 * funcB(dataB) - 0.5 * funcC(dataC)) / delta);
case FiniteDifferenceType.BACKWARD:
return((0.5 * funcA(dataA) - 2.0 * funcB(dataB) + 1.5 * funcC(dataC)) / delta);
case FiniteDifferenceType.CENTRAL:
return((funcC(dataC) - funcA(dataA)) / 2.0 / delta);
default:
throw new MathException("enum not found");
}
}
throw new MathException("enum not found");
}
