Package net.finmath.marketdata.calibration

Interface ParameterTransformation

  • public interface ParameterTransformation
    Interface for parameter transformation. A parameter transformation can be used to implement constrains. Example: The solver/optimizer assumes that its parameters are unbounded, i.e. admissible values are searched in the range of Double.NEGATIVE_INFINITY to Double.POSITIVE_INFINITY. If you like to constrain the first parameter to be > 0, then you might use the parameter transformation where getParameter is just Math:exp and getSolverParameter is Math:log.
    Version:
    1.0
    Author:
    Christian Fries

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      double[] getParameter​(double[] solverParameter)
      Return the original parameter for the given (unbounded) solver parameter.
      double[] getSolverParameter​(double[] parameter)
      Return the (unbounded) solver parameter for the given original parameter.

    • Method Detail

      • getParameter

        double[] getParameter​(double[] solverParameter)
        Return the original parameter for the given (unbounded) solver parameter.
        Parameters:
        solverParameter - The given solver parameter (unbounded).
        Returns:
        The (possibly bounded) parameter.

      • getSolverParameter

        double[] getSolverParameter​(double[] parameter)
        Return the (unbounded) solver parameter for the given original parameter.
        Parameters:
        parameter - The parameter.
        Returns:
        The corresponding unbounded solver parameter.