public virtual GaussianQuadratureData generate(int n)
{
ArgChecker.isTrue(n > 0);
double[] x = new double[n];
double[] w = new double[n];
bool odd = n % 2 != 0;
int m = (n + 1) / 2 - (odd ? 1 : 0);
Pair <DoubleFunction1D, DoubleFunction1D>[] polynomials = HERMITE.getPolynomialsAndFirstDerivative(n);
Pair <DoubleFunction1D, DoubleFunction1D> pair = polynomials[n];
DoubleFunction1D function = pair.First;
DoubleFunction1D derivative = pair.Second;
double root = 0;
for (int i = 0; i < m; i++)
{
root = getInitialRootGuess(root, i, n, x);
root = ROOT_FINDER.getRoot(function, derivative, root).Value;
double dp = derivative.applyAsDouble(root);
x[i] = -root;
x[n - 1 - i] = root;
w[i] = 2.0 / (dp * dp);
w[n - 1 - i] = w[i];
}
if (odd)
{
double dp = derivative.applyAsDouble(0.0);
w[m] = 2.0 / dp / dp;
}
return(new GaussianQuadratureData(x, w));
}
/// <summary>
/// {@inheritDoc}
/// </summary>
public virtual GaussianQuadratureData generate(int n)
{
ArgChecker.isTrue(n > 0, "n > 0");
Pair <DoubleFunction1D, DoubleFunction1D>[] polynomials = JACOBI.getPolynomialsAndFirstDerivative(n, _alpha, _beta);
Pair <DoubleFunction1D, DoubleFunction1D> pair = polynomials[n];
DoubleFunction1D previous = polynomials[n - 1].First;
DoubleFunction1D function = pair.First;
DoubleFunction1D derivative = pair.Second;
double[] x = new double[n];
double[] w = new double[n];
double root = 0;
for (int i = 0; i < n; i++)
{
double d = 2 * n + _c;
root = getInitialRootGuess(root, i, n, x);
root = ROOT_FINDER.getRoot(function, derivative, root).Value;
x[i] = root;
w[i] = GAMMA_FUNCTION.applyAsDouble(_alpha + n) * GAMMA_FUNCTION.applyAsDouble(_beta + n) / CombinatoricsUtils.factorialDouble(n) / GAMMA_FUNCTION.applyAsDouble(n + _c + 1) * d * Math.Pow(2, _c) / (derivative.applyAsDouble(root) * previous.applyAsDouble(root));
}
return(new GaussianQuadratureData(x, w));
}
/// <summary>
/// {@inheritDoc}
/// </summary>
public virtual GaussianQuadratureData generate(int n)
{
ArgChecker.isTrue(n > 0);
int mid = (n + 1) / 2;
double[] x = new double[n];
double[] w = new double[n];
Pair <DoubleFunction1D, DoubleFunction1D>[] polynomials = LEGENDRE.getPolynomialsAndFirstDerivative(n);
Pair <DoubleFunction1D, DoubleFunction1D> pair = polynomials[n];
DoubleFunction1D function = pair.First;
DoubleFunction1D derivative = pair.Second;
for (int i = 0; i < mid; i++)
{
double root = ROOT_FINDER.getRoot(function, derivative, getInitialRootGuess(i, n)).Value;
x[i] = -root;
x[n - i - 1] = root;
double dp = derivative.applyAsDouble(root);
w[i] = 2 / ((1 - root * root) * dp * dp);
w[n - i - 1] = w[i];
}
return(new GaussianQuadratureData(x, w));
}
//-------------------------------------------------------------------------
private InterpolatedNodalCurve fitSwap(int curveIndex, BasicFixedLeg swap, InterpolatedNodalCurve curve, double swapRate)
{
int nPayments = swap.NumPayments;
int nNodes = curve.ParameterCount;
double t1 = curveIndex == 0 ? 0.0 : curve.XValues.get(curveIndex - 1);
double t2 = curveIndex == nNodes - 1 ? double.PositiveInfinity : curve.XValues.get(curveIndex + 1);
double temp = 0;
double temp2 = 0;
int i1 = 0;
int i2 = nPayments;
double[] paymentAmounts = new double[nPayments];
for (int i = 0; i < nPayments; i++)
{
double t = swap.getPaymentTime(i);
paymentAmounts[i] = swap.getPaymentAmounts(i, swapRate);
if (t <= t1)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 += paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i1++;
}
else if (t >= t2)
{
double df = Math.Exp(-curve.yValue(t) * t);
temp += paymentAmounts[i] * df;
temp2 -= paymentAmounts[i] * t *df *curve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
i2--;
}
}
double cachedValues = temp;
double cachedSense = temp2;
int index1 = i1;
int index2 = i2;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> func = new java.util.function.Function<double, double>()
System.Func <double, double> func = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = 1.0 - cachedValues; // Floating leg at par
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum -= paymentAmounts[i] * Math.Exp(-tempCurve.yValue(t) * t);
}
return(sum);
};
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: java.util.function.Function<double, double> grad = new java.util.function.Function<double, double>()
System.Func <double, double> grad = (double?x) =>
{
InterpolatedNodalCurve tempCurve = curve.withParameter(curveIndex, x);
double sum = cachedSense;
for (int i = index1; i < index2; i++)
{
double t = swap.getPaymentTime(i);
sum += swap.getPaymentAmounts(i, swapRate) * t * Math.Exp(-tempCurve.yValue(t) * t) * tempCurve.yValueParameterSensitivity(t).Sensitivity.get(curveIndex);
}
return(sum);
};
double guess = curve.getParameter(curveIndex);
if (guess == 0.0 && func(guess) == 0.0)
{
return(curve);
}
double[] bracket = guess > 0d ? BRACKETER.getBracketedPoints(func, 0.8 * guess, 1.25 * guess, double.NegativeInfinity, double.PositiveInfinity) : BRACKETER.getBracketedPoints(func, 1.25 * guess, 0.8 * guess, double.NegativeInfinity, double.PositiveInfinity);
double r = rootFinder.getRoot(func, grad, bracket[0], bracket[1]).Value;
return(curve.withParameter(curveIndex, r));
}
