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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 13.09.2014
*/
package net.finmath.marketdata2.calibration;
import net.finmath.stochastic.RandomVariable;
/**
* 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 {@link java.lang.Double#NEGATIVE_INFINITY} to {@link java.lang.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.
*
* @author Christian Fries
* @version 1.0
*/
public interface ParameterTransformation {
/**
* Return the original parameter for the given (unbounded) solver parameter.
*
* @param solverParameter The given solver parameter (unbounded).
* @return The (possibly bounded) parameter.
*/
RandomVariable[] getParameter(RandomVariable[] solverParameter);
/**
* Return the (unbounded) solver parameter for the given original parameter.
*
* @param parameter The parameter.
* @return The corresponding unbounded solver parameter.
*/
RandomVariable[] getSolverParameter(RandomVariable[] parameter);
}