Example usage for java.lang Math exp

Introduction

In this page you can find the example usage for java.lang Math exp.

Prototype

@HotSpotIntrinsicCandidate
public static double exp(double a) 

Source Link

Document

Returns Euler's number e raised to the power of a double value.

Usage

From source file:com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorInterestRateModel.java

@Override
public Function1D<HullWhiteOneFactorDataBundle, Double> getDiscountBondFunction(final ZonedDateTime time,
        final ZonedDateTime maturity) {
    Validate.notNull(time);//from  w  ww.  j a v a2 s.co  m
    Validate.notNull(maturity);
    return new Function1D<HullWhiteOneFactorDataBundle, Double>() {

        @Override
        public Double evaluate(final HullWhiteOneFactorDataBundle data) {
            Validate.notNull(data);
            final double t = DateUtils.getDifferenceInYears(data.getDate(), time);
            final double s = DateUtils.getDifferenceInYears(data.getDate(), maturity);
            final double rT = data.getShortRate(t);
            final double rs = data.getShortRate(s);
            final double pT = Math.exp(-rT * t);
            final double ps = Math.exp(-rs * s);
            final Double sigma = data.getShortRateVolatility(t);
            final double dt = s - t;
            final double speed = data.getReversionSpeed();
            final double b = (1 - Math.exp(-speed * dt)) / speed;
            final double upT = t + _delta;
            final double downT = t - _delta;
            final double dlnPdt = (-data.getShortRate(upT) * upT + data.getShortRate(downT) * downT)
                    / (2 * _delta);
            final double lnA = Math.log(ps / pT) - b * dlnPdt
                    - sigma * sigma * Math.pow(Math.exp(-speed * s) - Math.exp(-speed * t), 2)
                            * (Math.exp(2 * speed * t) - 1) / (4 * speed * speed * speed);
            return Math.exp(lnA - b * rT);
        }

    };
}

---

From source file:com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFuturePresentValueCalculatorDeprecated.java

@Override
public CurrencyAmount visitSimpleFuture(final SimpleFuture future,
        final SimpleFutureDataBundleDeprecated data) {
    final double t = future.getExpiry();
    return CurrencyAmount.of(future.getCurrency(), future.getUnitAmount() * data.getSpotValue()
            * Math.exp(t * (data.getFundingCurve().getInterestRate(t) - data.getCostOfCarry())));
}

---

From source file:com.opengamma.analytics.financial.model.interestrate.HullWhiteTwoFactorInterestRateModel.java

@Override
public Function1D<HullWhiteTwoFactorDataBundle, Double> getDiscountBondFunction(final ZonedDateTime time,
        final ZonedDateTime maturity) {
    Validate.notNull(time, "time");
    Validate.notNull(maturity, "maturity");
    return new Function1D<HullWhiteTwoFactorDataBundle, Double>() {

        @Override/*from w ww .j av a 2  s.  co m*/
        public Double evaluate(final HullWhiteTwoFactorDataBundle data) {
            Validate.notNull(data, "data");
            final double t1 = 0;
            final double t2 = DateUtils.getDifferenceInYears(data.getDate(), time);
            final double t3 = DateUtils.getDifferenceInYears(data.getDate(), maturity);
            final double r2 = data.getShortRate(t2);
            final double r3 = data.getShortRate(t3);
            final double p2 = Math.exp(-r2 * t2);
            final double p3 = Math.exp(-r3 * t3);
            final double alpha = data.getFirstSpeed();
            final double beta = data.getSecondSpeed();
            final double sigma1 = data.getShortRateVolatility(t1);
            final double sigma2 = data.getSecondVolatility(t1);
            final double rho = data.getCorrelation();
            final double eta = getEta(t1, t2, t3, alpha, beta, sigma1, sigma2, rho);
            final double b = getB(t3 - t2, alpha);
            final double c = getC(t3 - t2, alpha, beta);
            final double u = data.getMeanReversionLevel();
            final double f = data.getForwardRate(t1);
            final double lnA = Math.log(p3 / p2) + b * f - eta;
            return Math.exp(lnA - r2 * b - u * c);
        }

    };
}

---

From source file:com.opengamma.analytics.financial.model.interestrate.HoLeeInterestRateModel.java

@Override
public Function1D<StandardDiscountBondModelDataBundle, Double> getDiscountBondFunction(final ZonedDateTime time,
        final ZonedDateTime maturity) {
    Validate.notNull(time);//w w  w.  j  a va 2 s  . c om
    Validate.notNull(maturity);
    return new Function1D<StandardDiscountBondModelDataBundle, Double>() {

        @Override
        public Double evaluate(final StandardDiscountBondModelDataBundle data) {
            Validate.notNull(data);
            final double t = DateUtils.getDifferenceInYears(data.getDate(), time);
            final double s = DateUtils.getDifferenceInYears(data.getDate(), maturity);
            final double b = s - t;
            final double sigma = data.getShortRateVolatility(t);
            final double rT = data.getShortRate(t);
            final double rS = data.getShortRate(s);
            final double pT = Math.exp(-rT * t);
            final double pS = Math.exp(-rS * s);
            final double dlnPdt = -rT;
            final double lnA = Math.log(pS / pT) - b * dlnPdt - 0.5 * sigma * sigma * b * b;
            return Math.exp(lnA - b * rT);
        }
    };
}

---

From source file:com.cloudera.hts.utils.math.MyFunc2.java

public double value(double t, double... parameters) {
    return parameters[0] * Math.pow(t, parameters[1]) * Math.exp(-parameters[2] * t);
}

---

From source file:edu.illinois.cs.cogcomp.utils.Utils.java

/**
 * This reads a file in the ngram-format
 * http://www.speech.sri.com/projects/srilm/manpages/ngram-format.5.html
 *
 * and populates the languagemodel datastructure.
 *
 * @param fname/*  w  ww  .  ja  va 2  s .  c o  m*/
 * @return
 * @throws FileNotFoundException
 */
public static HashMap<String, Double> readSRILM(String fname) throws FileNotFoundException {
    List<String> lines = LineIO.read(fname);

    HashMap<String, Double> out = new HashMap<>();

    for (String line : lines) {

        if (line.trim().length() == 0 || line.startsWith("\\") || line.contains("ngram")) {
            // do nothing.
        } else {
            String[] sline = line.trim().split("\t");
            // important because of the log probabilities
            Double v = Math.exp(Double.parseDouble(sline[0]));
            String ngram = sline[1];

            String[] chars = ngram.split(" ");

            out.put(StringUtils.join(chars, ""), v);
        }
    }

    return out;
}

---

From source file:edu.gsgp.utils.Utils.java

public static double sigmoid(double x) {
    return 1 / (1 + Math.exp(-x));
}

---

From source file:com.opengamma.analytics.financial.interestrate.market.MarketDiscountingTimeDecorated.java

@Override
public double getDiscountingFactor(Currency ccy, Double time) {
    if ((ccy == _ccy) && (_time == time)) {
        double rate = -Math.log(super.getDiscountingFactor(ccy, time)) / time;
        return Math.exp(-(rate + _shift) * time);
    }//from   w w w. j a  v a  2 s. c om
    return super.getDiscountingFactor(ccy, time);
}

---

From source file:com.opengamma.analytics.financial.model.stochastic.BlackScholesArithmeticBrownianMotionProcess.java

@Override
public Function1D<Double, Double> getPathGeneratingFunction(final T t, final U u, final int steps) {
    Validate.notNull(t);//from   w  w  w .  j  a va  2s. c o  m
    Validate.notNull(u);
    if (steps < 1) {
        throw new IllegalArgumentException("Number of steps must be greater than zero");
    }
    final double k = t.getStrike();
    final double m = t.getTimeToExpiry(u.getDate());
    final double sigma = u.getVolatility(m, k);
    final double b = u.getCostOfCarry();
    final double dt = m / steps;
    final double sigmaSq = sigma * sigma;
    final double nu = dt * (b - 0.5 * sigmaSq);
    final double sigmaDt = sigma * Math.sqrt(dt);
    return new Function1D<Double, Double>() {

        @Override
        public Double evaluate(final Double e) {
            return Math.exp(nu + sigmaDt * e);
        }
    };
}

---

From source file:com.opengamma.analytics.financial.model.volatility.surface.SABRBlackEquivalentVolatilitySurfaceModel.java

@Override
public VolatilitySurface getSurface(final OptionDefinition option, final SABRDataBundle data) {
    Validate.notNull(option, "option definition");
    Validate.notNull(data);/*w w  w  . j a va2  s .co m*/
    final double k = option.getStrike();
    final double t = option.getTimeToExpiry(data.getDate());
    final double alpha = data.getAlpha();
    final double beta = data.getBeta();
    final double rho = data.getRho();
    final double ksi = data.getVolOfVol();
    final double b = data.getCostOfCarry();
    final double f = data.getSpot() * Math.exp(b * t);
    return new VolatilitySurface(ConstantDoublesSurface
            .from(SABR_FUNCTION.getVolatilityFunction(new EuropeanVanillaOption(k, t, true), f)
                    .evaluate(new SABRFormulaData(alpha, beta, rho, ksi))));
}

---

• «
• 1
• 2
• 3
• 4
• 5
• 6
• 7
• 8
• 9
• 10
• 11
• 12
• 13
• 14
• 15
• 16
• 17
• 18
• 19
• 20
• 21
• 22
• 23
• 24
• 25
• 26
• 27
• 28
• 29
• 30
• 31
• 32
• 33
• 34
• 35
• 36
• 37
• 38
• 39
• 40
• 41
• 42
• 43
• 44
• 45
• 46
• 47
• 48
• 49
• 50
• »