OpenGamma-Blog’s gists

OpenGamma-Blog / deriva3.java

Last active December 24, 2015 12:19

	Expression expr = sin(mul(sq('x'), sq('y')));
	Vector1D g_expr = vector(expr, d(expr, 'x'), d(expr, 'x'));
	System.out.println(g_expr.describe());

	Expression:
	[(sin (* (sq x) (sq y)))
	(d (sin (* (sq x) (sq y))) x)
	(d (sin (* (sq x) (sq y))) x)]

	gets turned into:

OpenGamma-Blog / deriva2.java

Last active December 24, 2015 12:19

	import static com.lambder.deriva.Deriva.*;

	public class Formulas {

	public static Expression black(final boolean isCall) {

	// Logistic aproximation of Cumulated Standard Normal Distribution
	// 1/( e^(-0.07056 * x^3 - 1.5976*x) + 1)
	Expression N = div(1.0,
	add(

OpenGamma-Blog / deriva1.clj

Last active December 24, 2015 12:19

OpenGamma-Blog / gist:4943722

Last active December 13, 2015 16:58

MATLAB and OpenGamma 3

	package com.opengamma.externalanalytics.test;

	import java.net.URL;

	import com.mathworks.mps.client.MWClient;
	import com.mathworks.mps.client.MWHttpClient;
	import com.opengamma.externalanalytics.matlab.CustomMatlabModel;

	public class StandAloneRunner {
	public static void main(String[] args) {

OpenGamma-Blog / gist:4943711

Created February 13, 2013 10:34

MATLAB and OpenGamma 1

	function r = MatlabBlackScholes(isCall, Price, Strike, Rate, Time, Volatility, Yield)
	[Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield);

	if isCall
	r = Call;
	else
	r = Put;
	end
	end

OpenGamma-Blog / gist:4943695

Last active December 13, 2015 16:58

MATLAB and OpenGamma 2

	package com.opengamma.externalanalytics.matlab;

	import java.io.IOException;

	import com.mathworks.mps.client.MATLABException;

	public interface CustomMatlabModel {
	public double MatlabBlackScholes(boolean isCall, double Price, double Strike, double Rate, double Time, double Volatility, double Yield) throws IOException, MATLABException;
	}

OpenGamma-Blog / gist:3799535

Created September 28, 2012 12:31

slf4j example 4

	18:14:40.075 [main] INFO c.o.m.n.OGSLATECRawWrapper - Logging started for native SLATEC calls
	18:14:40.080 [main] WARN c.o.m.n.OGSLATECRawWrapper - MESSAGE FROM ROUTINE DERFC IN LIBRARY SLATEC.
	18:14:40.080 [main] WARN c.o.m.n.OGSLATECRawWrapper - POTENTIALLY RECOVERABLE ERROR, PROG CONTINUES, TRACEBACK REQUESTED
	18:14:40.080 [main] WARN c.o.m.n.OGSLATECRawWrapper - X SO BIG ERFC UNDERFLOWS
	18:14:40.080 [main] WARN c.o.m.n.OGSLATECRawWrapper - ERROR NUMBER = 1

OpenGamma-Blog / gist:3799238

Created September 28, 2012 11:14

slf4j example 3

	// global cache
	extern JavaVM JVMCache; // global JVM pointer cache
	static jclass wrappedClass = NULL; // holds the class that wraps the native code
	static jclass slf4jLoggerClass = NULL; // holds the slf4j class
	static jfieldID loggerFieldID = 0; // the ID of the Logger field "log" (this is a static reference set each time by the classloader)
	static jmethodID loggerMethodID = 0; // the ID of the logger method (it's the ID obtained from the slf4j class (interface), the vtable is used to look up the particular method in the object which instantiated from this class)

	// C code for the initialisation (we leave out exception handling for brevity)

	#ifdef __cplusplus

OpenGamma-Blog / gist:3799233

Created September 28, 2012 11:13

slf4j example 2

	public class OGNativeCodeWrapper {

	// initialises the logger by caching the static references to the method IDs etc
	private static native void initialiseLogger();

	private static Logger log;
	static
	{
	try
	{

OpenGamma-Blog / gist:3799224

Created September 28, 2012 11:12

slf4j example 1

	public class OGNativeCodeWrapper {
	private static Logger log;
	static {
	try {
	System.loadLibrary("NativeLibraryWrapper"); // Load the native library wrapper with symbols to logging routines overridden
	} catch (UnsatisfiedLinkError e) {
	System.err.println("Cannot find system library.\n" + e);
	// handle error
	}
	initialiseLogger();

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