Uses of Class
net.finmath.optimizer.SolverException

Packages that use SolverException

Package	Description
net.finmath.fouriermethod.calibration	Classes related to the calibration of Fourier models.
net.finmath.functions	Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
net.finmath.marketdata.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata2.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.optimizer	This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.model.volatilities	Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.

Uses of SolverException in net.finmath.fouriermethod.calibration

Methods in net.finmath.fouriermethod.calibration that throw SolverException

Modifier and Type	Method	Description
CalibratedModel.OptimizationResult	CalibratedModel.getCalibration()	Solves the calibration problem thus providing a calibrated model.

Uses of SolverException in net.finmath.functions

Methods in net.finmath.functions that throw SolverException

Modifier and Type	Method	Description
static double[]	SABRModel.sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities)
static double[]	SABRModel.sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities, double[] parameterLowerBound, double[] parameterUpperBound)
static double[]	SABRModel.sabrCalibrateParameterForImpliedNormalVols(double underlying, double maturity, double[] givenStrikes, double[] givenVolatilities, double[] parameterInitialValues, double[] parameterSteps, double[] parameterLowerBound, double[] parameterUpperBound)

Uses of SolverException in net.finmath.marketdata.calibration

Methods in net.finmath.marketdata.calibration that throw SolverException

Modifier and Type	Method	Description
AnalyticModel	Solver.getCalibratedModel(Set<ParameterObject> objectsToCalibrate)	Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
CalibratedCurves	CalibratedCurves.getCloneShifted(String symbol, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShifted(Map<String,Double> shifts)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShifted(Pattern symbolRegExp, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShiftedForRegExp(String symbolRegExp, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.

Constructors in net.finmath.marketdata.calibration that throw SolverException

Modifier	Constructor	Description
	CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
	CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double evaluationTime, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.

Uses of SolverException in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that throw SolverException

Modifier and Type	Method	Description
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory)	Create a clone of this volatility surface using a generic calibration of its parameters to given market data.

Uses of SolverException in net.finmath.marketdata2.calibration

Methods in net.finmath.marketdata2.calibration that throw SolverException

Modifier and Type	Method	Description
AnalyticModel	Solver.getCalibratedModel(Set<ParameterObject> objectsToCalibrate)	Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
CalibratedCurves	CalibratedCurves.getCloneShifted(String symbol, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShifted(Map<String,Double> shifts)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShifted(Pattern symbolRegExp, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
CalibratedCurves	CalibratedCurves.getCloneShiftedForRegExp(String symbolRegExp, double shift)	Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.

Constructors in net.finmath.marketdata2.calibration that throw SolverException

Modifier	Constructor	Description
	CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec> calibrationSpecs)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
	CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs, AnalyticModelFromCurvesAndVols calibrationModel, double evaluationTime, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.

Uses of SolverException in net.finmath.optimizer

Methods in net.finmath.optimizer that throw SolverException

Modifier and Type	Method	Description
static void	LevenbergMarquardt.main(String[] args)
static void	StochasticLevenbergMarquardt.main(String[] args)
static void	StochasticPathwiseLevenbergMarquardt.main(String[] args)
protected void	StochasticLevenbergMarquardt.prepareAndSetDerivatives(RandomVariable[] parameters, RandomVariable[] values, RandomVariable[][] derivatives)
protected void	StochasticLevenbergMarquardtAD.prepareAndSetDerivatives(RandomVariable[] parameters, RandomVariable[] values, RandomVariable[][] derivatives)
protected void	StochasticPathwiseLevenbergMarquardt.prepareAndSetDerivatives(RandomVariable[] parameters, RandomVariable[] values, RandomVariable[][] derivatives)
protected void	StochasticPathwiseLevenbergMarquardtAD.prepareAndSetDerivatives(RandomVariable[] parameters, RandomVariable[] values, RandomVariable[][] derivatives)
protected void	StochasticLevenbergMarquardt.prepareAndSetValues(RandomVariable[] parameters, RandomVariable[] values)
protected void	StochasticLevenbergMarquardtAD.prepareAndSetValues(RandomVariable[] parameters, RandomVariable[] values)
protected void	StochasticPathwiseLevenbergMarquardt.prepareAndSetValues(RandomVariable[] parameters, RandomVariable[] values)
protected void	StochasticPathwiseLevenbergMarquardtAD.prepareAndSetValues(RandomVariable[] parameters, RandomVariable[] values)
void	LevenbergMarquardt.run()
void	Optimizer.run()	Runs the optimization.
void	StochasticLevenbergMarquardt.run()
void	StochasticOptimizer.run()	Runs the optimization.
void	StochasticPathwiseLevenbergMarquardt.run()
void	LevenbergMarquardt.setDerivatives(double[] parameters, double[][] derivatives)	The derivative of the objective function.
void	StochasticLevenbergMarquardt.setDerivatives(RandomVariable[] parameters, RandomVariable[][] derivatives)	The derivative of the objective function.
void	StochasticPathwiseLevenbergMarquardt.setDerivatives(RandomVariable[] parameters, RandomVariable[][] derivatives)	The derivative of the objective function.
abstract void	LevenbergMarquardt.setValues(double[] parameters, double[] values)	The objective function.
void	Optimizer.ObjectiveFunction.setValues(double[] parameters, double[] values)
abstract void	StochasticLevenbergMarquardt.setValues(RandomVariable[] parameters, RandomVariable[] values)	The objective function.
void	StochasticOptimizer.ObjectiveFunction.setValues(RandomVariable[] parameters, RandomVariable[] values)
abstract void	StochasticPathwiseLevenbergMarquardt.setValues(RandomVariable[] parameters, RandomVariable[] values)	The objective function.

Uses of SolverException in net.finmath.singleswaprate.calibration

Methods in net.finmath.singleswaprate.calibration that throw SolverException

Modifier and Type	Method	Description
SABRVolatilityCube	SABRShiftedSmileCalibration.build(String name)	Perform the calibrations and build the cube.
VolatilityCube	AbstractCubeCalibration.calibrate(String cubeName)	Run the calibration.
SABRVolatilityCube	SABRCubeCalibration.calibrate(String cubeName, int[] terminations)	Run the calibration.
static SABRVolatilityCube	SABRShiftedSmileCalibration.createSABRVolatilityCube(String name, LocalDate referenceDate, SwaptionDataLattice cashPayerPremiums, SwaptionDataLattice cashReceiverPremiums, SwaptionDataLattice physicalPremiumsATM, AnalyticModel model, double sabrDisplacement, double sabrBeta, double correlationDecay, double iborOisDecorrelation)	Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.

Uses of SolverException in net.finmath.singleswaprate.model.volatilities

Methods in net.finmath.singleswaprate.model.volatilities that throw SolverException

Modifier and Type	Method	Description
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildSABRVolatilityCube(String name, VolatilityCubeModel model, int[] terminations, DataTable initialRhos, DataTable initialBaseVols, DataTable initialVolvols)	Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
SABRVolatilityCube	VolatilityCubeFactory.buildShiftedSmileSABRCube(String name, VolatilityCubeModel model)	Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.