Module net.finmath.lib

Package net.finmath.marketdata.calibration

Class Solver

java.lang.Object

net.finmath.marketdata.calibration.Solver

public class Solver
extends Object

Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss. The model and the curve are assumed to be immutable, i.e., the solver will return a calibrate clone, containing clones for every curve which is part of the set of curves to be calibrated. The calibration is performed as a multi-threaded global optimization. I will greatly profit from a multi-core architecture.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactory optimizerFactory)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Method Summary

Modifier and Type	Method	Description
double	getAccuracy()	Returns the accuracy achieved in the last solver run.
AnalyticModel	getCalibratedModel(Set<ParameterObject> objectsToCalibrate)	Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
int	getIterations()	Returns the number of iterations required in the last solver step.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Solver

public Solver(AnalyticModel model,
              Vector<AnalyticProduct> calibrationProducts,
              List<Double> calibrationTargetValues,
              ParameterTransformation parameterTransformation,
              double evaluationTime,
              OptimizerFactory optimizerFactory)

Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Parameters:

model - The model from which a calibrated clone should be created.

calibrationProducts - The objective functions.

calibrationTargetValues - Array of target values for the objective functions.

parameterTransformation - A parameter transformation, if any, otherwise null.

evaluationTime - Evaluation time applied to the calibration products.

optimizerFactory - A factory providing the optimizer (for the given objective function)

Solver

public Solver(AnalyticModel model,
              Vector<AnalyticProduct> calibrationProducts,
              List<Double> calibrationTargetValues,
              ParameterTransformation parameterTransformation,
              double evaluationTime,
              double calibrationAccuracy)

Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Parameters:

model - The model from which a calibrated clone should be created.

calibrationProducts - The objective functions.

calibrationTargetValues - Array of target values for the objective functions.

parameterTransformation - A parameter transformation, if any, otherwise null.

evaluationTime - Evaluation time applied to the calibration products.

calibrationAccuracy - The error tolerance of the solver.

Solver

public Solver(AnalyticModel model,
              Vector<AnalyticProduct> calibrationProducts,
              List<Double> calibrationTargetValues,
              double evaluationTime,
              double calibrationAccuracy)

Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Parameters:

model - The model from which a calibrated clone should be created.

calibrationProducts - The objective functions.

calibrationTargetValues - Array of target values for the objective functions.

evaluationTime - Evaluation time applied to the calibration products.

calibrationAccuracy - The error tolerance of the solver.

Solver

public Solver(AnalyticModel model,
              Vector<AnalyticProduct> calibrationProducts,
              double evaluationTime,
              double calibrationAccuracy)

Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Parameters:

model - The model from which a calibrated clone should be created.

calibrationProducts - The objective functions.

evaluationTime - Evaluation time applied to the calibration products.

calibrationAccuracy - The error tolerance of the solver.

Solver

public Solver(AnalyticModel model,
              Vector<AnalyticProduct> calibrationProducts)

Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Parameters:

model - The model from which a calibrated clone should be created.

calibrationProducts - The objective functions.

Method Detail

getCalibratedModel

public AnalyticModel getCalibratedModel(Set<ParameterObject> objectsToCalibrate)
                                 throws SolverException

Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.

Parameters:

objectsToCalibrate - The set of parameterized objects to calibrate.

Returns:

A reference to a calibrated clone of the given model.

Throws:

SolverException - Thrown if the underlying optimizer does not find a solution.

getIterations

public int getIterations()

Returns the number of iterations required in the last solver step.

Returns:

The number of iterations required.

getAccuracy

public double getAccuracy()

Returns the accuracy achieved in the last solver run.

Returns:

The accuracy achieved in the last solver run.