Module net.finmath.lib
Package net.finmath.marketdata2.calibration

Interface ParameterTransformation

public interface ParameterTransformation
Interface for parameter transformation. A parameter transformation can be used to implement constrains. Example: The solver/optimizer assumes that its parameters are unbounded, i.e. admissible values are searched in the range of Double.NEGATIVE_INFINITY to Double.POSITIVE_INFINITY. If you like to constrain the first parameter to be > 0, then you might use the parameter transformation where getParameter is just Math:exp and getSolverParameter is Math:log.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getParameter

      RandomVariable[] getParameter(RandomVariable[] solverParameter)
      Return the original parameter for the given (unbounded) solver parameter.
      Parameters:
      solverParameter - The given solver parameter (unbounded).
      Returns:
      The (possibly bounded) parameter.

    • getSolverParameter

      RandomVariable[] getSolverParameter(RandomVariable[] parameter)
      Return the (unbounded) solver parameter for the given original parameter.
      Parameters:
      parameter - The parameter.
      Returns:
      The corresponding unbounded solver parameter.