com.opengamma.analytics.financial.model.option.pricing.fourier.GaussianVegaCE.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.option.pricing.fourier.GaussianVegaCE.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.option.pricing.fourier;

import static com.opengamma.analytics.math.ComplexMathUtils.add;
import static com.opengamma.analytics.math.ComplexMathUtils.log;

import org.apache.commons.lang.NotImplementedException;
import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.number.ComplexNumber;

/**
 * @deprecated This only exists for code testing during development 
 */
@Deprecated
public class GaussianVegaCE implements MartingaleCharacteristicExponent {

    private final GaussianCharacteristicExponent _base;
    private final GaussianCharacteristicExponent _div;

    public GaussianVegaCE(final double sigma) {
        _base = new GaussianCharacteristicExponent(-0.5 * sigma * sigma, sigma);
        _div = new GaussianCharacteristicExponent(-sigma, Math.sqrt(2 * sigma));
    }

    @Override
    public Function1D<ComplexNumber, ComplexNumber> getFunction(final double t) {
        Validate.isTrue(t > 0.0, "t > 0");
        final Function1D<ComplexNumber, ComplexNumber> baseFunc = _base.getFunction(t);
        final Function1D<ComplexNumber, ComplexNumber> divFunc = _div.getFunction(t);
        return new Function1D<ComplexNumber, ComplexNumber>() {

            @Override
            public ComplexNumber evaluate(final ComplexNumber u) {
                Validate.notNull(u, "u");
                final ComplexNumber psi = baseFunc.evaluate(u);
                final ComplexNumber temp = divFunc.evaluate(u);
                final ComplexNumber temp2 = log(temp); //don't like taking logs - bad things happen 
                final ComplexNumber res = add(psi, temp2);
                return res;

            }

        };
    }

    @Override
    public ComplexNumber getValue(ComplexNumber u, double t) {
        Function1D<ComplexNumber, ComplexNumber> func = getFunction(t);
        return func.evaluate(u);
    }

    @Override
    public double getLargestAlpha() {
        return _base.getLargestAlpha();
    }

    @Override
    public double getSmallestAlpha() {
        return _base.getSmallestAlpha();
    }

    @Override
    public ComplexNumber[] getCharacteristicExponentAdjoint(ComplexNumber u, double t) {
        throw new NotImplementedException();
    }

    @Override
    public Function1D<ComplexNumber, ComplexNumber[]> getAdjointFunction(double t) {
        throw new NotImplementedException();
    }

}