Example usage for org.apache.commons.math.analysis.solvers UnivariateRealSolverFactory newDefaultSolver

Introduction

In this page you can find the example usage for org.apache.commons.math.analysis.solvers UnivariateRealSolverFactory newDefaultSolver.

Prototype

public abstract UnivariateRealSolver newDefaultSolver();

Source Link

Document

Create a new UnivariateRealSolver .

Usage

From source file:ch.algotrader.option.OptionUtil.java

/**
 * Gets the implied volatility of a {@link Option} using a {@link UnivariateRealSolverFactory}.
 *///ww w .  ja v  a  2  s .  com
@SuppressWarnings("deprecation")
public static double getImpliedVolatility(final double underlyingSpot, final double strike,
        final double currentValue, final double years, final double intrest, final double dividend,
        final OptionType type) throws MathException {

    if (years < 0) {
        throw new IllegalArgumentException("years cannot be negative");
    }

    double intrinsicValue = getIntrinsicValue(underlyingSpot, strike, type);
    if (currentValue <= intrinsicValue) {
        throw new IllegalArgumentException(
                "cannot calculate volatility if optionValue is below intrinsic Value");
    }

    UnivariateRealFunction function = volatility -> getOptionPrice(underlyingSpot, strike, volatility, years,
            intrest, dividend, type) - currentValue;

    UnivariateRealSolverFactory factory = UnivariateRealSolverFactory.newInstance();
    UnivariateRealSolver solver = factory.newDefaultSolver();
    solver.setAbsoluteAccuracy(0.0001);

    return solver.solve(function, 0.01, 2.0);
}

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