// reverse
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: protected void assertReverseRoundTrip(final ParameterLimitsTransform transform, final double fitParam)
protected internal virtual void assertReverseRoundTrip(ParameterLimitsTransform transform, double fitParam)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double mp = transform.inverseTransform(fitParam);
double mp = transform.inverseTransform(fitParam);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double fp = transform.transform(mp);
double fp = transform.transform(mp);
assertEquals(fitParam, fp, 1e-8);
}
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: protected void assertGradientRoundTrip(final ParameterLimitsTransform transform, final double modelParam)
protected internal virtual void assertGradientRoundTrip(ParameterLimitsTransform transform, double modelParam)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double g = transform.transformGradient(modelParam);
double g = transform.transformGradient(modelParam);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double fp = transform.transform(modelParam);
double fp = transform.transform(modelParam);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double gInv = transform.inverseTransformGradient(fp);
double gInv = transform.inverseTransformGradient(fp);
assertEquals(g, 1.0 / gInv, 1e-8);
}
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: protected void assertGradient(final ParameterLimitsTransform transform, final double modelParam)
protected internal virtual void assertGradient(ParameterLimitsTransform transform, double modelParam)
{
const double eps = 1e-5;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double g = transform.transformGradient(modelParam);
double g = transform.transformGradient(modelParam);
double fdg;
try
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double down = transform.transform(modelParam - eps);
double down = transform.transform(modelParam - eps);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double up = transform.transform(modelParam + eps);
double up = transform.transform(modelParam + eps);
fdg = (up - down) / 2 / eps;
}
//JAVA TO C# CONVERTER WARNING: 'final' catch parameters are not available in C#:
//ORIGINAL LINE: catch (final IllegalArgumentException e)
catch (legalArgumentException)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double fp = transform.transform(modelParam);
double fp = transform.transform(modelParam);
try
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double up = transform.transform(modelParam + eps);
double up = transform.transform(modelParam + eps);
fdg = (up - fp) / eps;
}
//JAVA TO C# CONVERTER WARNING: 'final' catch parameters are not available in C#:
//ORIGINAL LINE: catch (final IllegalArgumentException e2)
catch (legalArgumentException)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double down = transform.transform(modelParam - eps);
double down = transform.transform(modelParam - eps);
fdg = (fp - down) / eps;
}
}
assertEquals(g, fdg, 1e-6);
}
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: protected void assertInverseGradient(final ParameterLimitsTransform transform, final double fitParam)
protected internal virtual void assertInverseGradient(ParameterLimitsTransform transform, double fitParam)
{
const double eps = 1e-5;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double g = transform.inverseTransformGradient(fitParam);
double g = transform.inverseTransformGradient(fitParam);
double fdg;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double down = transform.inverseTransform(fitParam - eps);
double down = transform.inverseTransform(fitParam - eps);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double up = transform.inverseTransform(fitParam + eps);
double up = transform.inverseTransform(fitParam + eps);
fdg = (up - down) / 2 / eps;
assertEquals(g, fdg, 1e-6);
}
public virtual void test_createFullTransform()
{
SabrIborCapletFloorletVolatilityCalibrationDefinition fixedBeta = SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_365F, BETA_RHO, ALPHA_KNOTS, BETA_RHO_KNOTS, NU_KNOTS, DOUBLE_QUADRATIC, FLAT, LINEAR, HAGAN);
SabrIborCapletFloorletVolatilityCalibrationDefinition fixedRho = SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(NAME, USD_LIBOR_3M, ACT_365F, BETA_RHO, ALPHA_KNOTS, BETA_RHO_KNOTS, NU_KNOTS, DOUBLE_QUADRATIC, FLAT, LINEAR, HAGAN);
ParameterLimitsTransform[] transf = new ParameterLimitsTransform[]
{
new SingleRangeLimitTransform(0.0, ParameterLimitsTransform_LimitType.GREATER_THAN),
new DoubleRangeLimitTransform(0.0, 1.0),
new DoubleRangeLimitTransform(-0.99, 0.99),
new DoubleRangeLimitTransform(0.001d, 2.50d)
};
ParameterLimitsTransform[] computedFixedBeta = fixedBeta.createFullTransform(transf);
ParameterLimitsTransform[] computedFixedRho = fixedRho.createFullTransform(transf);
ParameterLimitsTransform[] expectedFixedBeta = new ParameterLimitsTransform[] { transf[0], transf[0], transf[0], transf[0], transf[0], transf[0], transf[2], transf[2], transf[2], transf[3], transf[3], transf[3], transf[3], transf[3], transf[3] };
ParameterLimitsTransform[] expectedFixedRho = new ParameterLimitsTransform[] { transf[0], transf[0], transf[0], transf[0], transf[0], transf[0], transf[1], transf[1], transf[1], transf[3], transf[3], transf[3], transf[3], transf[3], transf[3] };
assertEquals(computedFixedBeta, expectedFixedBeta);
assertEquals(computedFixedRho, expectedFixedRho);
}
