com.opengamma.strata.math.impl.minimization

Class SingleRangeLimitTransform

java.lang.Object

com.opengamma.strata.math.impl.minimization.SingleRangeLimitTransform

All Implemented Interfaces:

ParameterLimitsTransform

public class SingleRangeLimitTransform
extends Object
implements ParameterLimitsTransform

If a model parameter $x$ is constrained to be either above or below some level $a$ (i.e. $x > a$ or $x < a$), the function to transform it to an unconstrained variable $y$ is given by $$ \begin{align*} y = \begin{cases} \ln(e^{x-a} - 1)\quad & x > a\\ a - \ln(e^{a-x} - 1)\quad & x < a \end{cases} \end{align*} $$ with inverse transform $$ \begin{align*} x = \begin{cases} a + \ln(e^y + 1)\quad & x > a\\ a - \ln(e^y + 1)\quad & x < a \end{cases} \end{align*} $$ For large $y > 50$, this becomes $$ \begin{align*} y = \begin{cases} x - a\quad & x > a\\ a - x\quad & x < a \end{cases} \end{align*} $$ with inverse transform $$ \begin{align*} x = \begin{cases} a + y\quad & x > a\\ a - y\quad & x < a \end{cases} \end{align*} $$ so any value of $y$ will give a value of $x$.

Nested Class Summary

Nested classes/interfaces inherited from interface com.opengamma.strata.math.impl.minimization.ParameterLimitsTransform

ParameterLimitsTransform.LimitType

Constructor Summary

Constructors

Constructor and Description
SingleRangeLimitTransform(double a, ParameterLimitsTransform.LimitType limitType) Creates an instance.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
int	hashCode()
double	inverseTransform(double y) A function to transform an unconstrained fitting parameter (y*) to a constrained model parameter (y) - i.e.
double	inverseTransformGradient(double y) The gradient of the function used to transform from a fitting parameter that can take any value, to a model parameter that is only allows to take certain values.
double	transform(double x) A function to transform a constrained model parameter (y) to an unconstrained fitting parameter (y*) - i.e.
double	transformGradient(double x) The gradient of the function used to transform from a model parameter that is only allows to take certain values, to a fitting parameter that can take any value.

Methods inherited from class java.lang.Object

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

Constructor Detail

SingleRangeLimitTransform

public SingleRangeLimitTransform(double a,
                                 ParameterLimitsTransform.LimitType limitType)

Creates an instance.

Parameters:

a - The limit level

limitType - Type of the limit for the parameter

Method Detail

inverseTransform

public double inverseTransform(double y)

A function to transform an unconstrained fitting parameter (y*) to a constrained model parameter (y) - i.e. y = f^-1(y*)

Specified by:

inverseTransform in interface ParameterLimitsTransform

Parameters:

y - Fitting parameter

Returns:

Model parameter

transform

public double transform(double x)

A function to transform a constrained model parameter (y) to an unconstrained fitting parameter (y*) - i.e. y* = f(y)

Specified by:

transform in interface ParameterLimitsTransform

Parameters:

x - Model parameter

Returns:

Fitting parameter

Throws:

IllegalArgumentException - If the value of $x$ is not consistent with the limit (e.g. the limit is $x > a$ and $x$ is less than $a$

inverseTransformGradient

public double inverseTransformGradient(double y)

The gradient of the function used to transform from a fitting parameter that can take any value, to a model parameter that is only allows to take certain values.

Specified by:

inverseTransformGradient in interface ParameterLimitsTransform

Parameters:

y - fitting parameter

Returns:

the gradient

transformGradient

public double transformGradient(double x)

The gradient of the function used to transform from a model parameter that is only allows to take certain values, to a fitting parameter that can take any value.

Specified by:

transformGradient in interface ParameterLimitsTransform

Parameters:

x - Model parameter

Returns:

the gradient

Throws:

IllegalArgumentException - If the value of $x$ is not consistent with the limit (e.g. the limit is $x > a$ and $x$ is less than $a$

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object