Examples of com.opengamma.analytics.financial.provider.sensitivity.issuer.ParameterSensitivityIssuerMatrixCalculator

    final GeneratorIssuerProviderDiscount generator = new GeneratorIssuerProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, issuerMap, generatorsMap);
    final IssuerDiscountBuildingData data = new IssuerDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new IssuerDiscountFinderFunction(calculator, data);
    //    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerUnderlyingMatrixCalculator(sensitivityCalculator), data);
    // TODO
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final IssuerProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }

      final InstrumentDerivativeVisitor<IssuerProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorIssuerProviderDiscount generator = new GeneratorIssuerProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, issuerMap, generatorsMap);
    final IssuerDiscountBuildingData data = new IssuerDiscountBuildingData(instruments, generator);
    //    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveDiscountFinderJacobian(new
    //        ParameterSensitivityMulticurveUnderlyingMatrixCalculator(sensitivityCalculator), data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerMatrixCalculator(sensitivityCalculator), data); // TODO
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
    int startCurve = 0;

Examples of com.opengamma.analytics.financial.provider.sensitivity.issuer.ParameterSensitivityIssuerMatrixCalculator

Related Classes of com.opengamma.analytics.financial.provider.sensitivity.issuer.ParameterSensitivityIssuerMatrixCalculator