Package com.opengamma.analytics.math.linearalgebra

Examples of com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionResult

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      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        cov2[loopjump][loopjump2] = cov[loopjump + nbZero][loopjump2 + nbZero];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr2 = cd.evaluate(new DoubleMatrix2D(cov2));
    final double[][] covCD2 = cdr2.getL().toArray();
    final double[][] covCD = new double[nbJump][nbJump];
    for (int loopjump = 0; loopjump < nbJump - nbZero; loopjump++) {
      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        covCD[loopjump + nbZero][loopjump2 + nbZero] = covCD2[loopjump][loopjump2];
      }
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      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        cov2[loopjump][loopjump2] = cov[loopjump + nbZero][loopjump2 + nbZero];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr2 = cd.evaluate(new DoubleMatrix2D(cov2));
    final double[][] covCD2 = cdr2.getL().toArray();
    final double[][] covCD = new double[nbJump][nbJump];
    for (int loopjump = 0; loopjump < nbJump - nbZero; loopjump++) {
      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        covCD[loopjump + nbZero][loopjump2 + nbZero] = covCD2[loopjump][loopjump2];
      }
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      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        cov2[loopjump][loopjump2] = cov[loopjump + nbZero][loopjump2 + nbZero];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr2 = cd.evaluate(new DoubleMatrix2D(cov2));
    final double[][] covCD2 = cdr2.getL().toArray();
    final double[][] covCD = new double[nbJump][nbJump];
    for (int loopjump = 0; loopjump < nbJump - nbZero; loopjump++) {
      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        covCD[loopjump + nbZero][loopjump2 + nbZero] = covCD2[loopjump][loopjump2];
      }
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      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        cov2[loopjump][loopjump2] = cov[loopjump + nbZero][loopjump2 + nbZero];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr2 = cd.evaluate(new DoubleMatrix2D(cov2));
    final double[][] covCD2 = cdr2.getL().toArray();
    final double[][] covCD = new double[nbJump][nbJump];
    for (int loopjump = 0; loopjump < nbJump - nbZero; loopjump++) {
      for (int loopjump2 = 0; loopjump2 < nbJump - nbZero; loopjump2++) {
        covCD[loopjump + nbZero][loopjump2 + nbZero] = covCD2[loopjump][loopjump2];
      }
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        tau2[loopjump][loopcf] = alpha[0][loopjump][loopcf] * alpha[0][loopjump][loopcf] + alpha[1][loopjump][loopcf] * alpha[1][loopjump][loopcf] + 2 * rhog2pp * gamma[loopjump][0][1]
            * h[0][loopjump][loopcf] * h[1][loopjump][loopcf];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr = cd.evaluate(new DoubleMatrix2D(cov));
    final double[][] covCD = cdr.getL().getData();
    final int nbBlock = (int) Math.round(Math.ceil(getNbPath() / ((double) BLOCK_SIZE)));
    final int[] nbPath2 = new int[nbBlock];
    for (int i = 0; i < nbBlock - 1; i++) {
      nbPath2[i] = BLOCK_SIZE;
    }
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        tau2[loopjump][loopcf] = alpha[0][loopjump][loopcf] * alpha[0][loopjump][loopcf] + alpha[1][loopjump][loopcf] * alpha[1][loopjump][loopcf] + 2 * rhog2pp * gamma[loopjump][0][1]
            * h[0][loopjump][loopcf] * h[1][loopjump][loopcf];
      }
    }
    final CholeskyDecompositionCommons cd = new CholeskyDecompositionCommons();
    final CholeskyDecompositionResult cdr = cd.evaluate(new DoubleMatrix2D(cov));
    final double[][] covCD = cdr.getL().getData();
    final int nbBlock = (int) Math.round(Math.ceil(getNbPath() / ((double) BLOCK_SIZE)));
    final int[] nbPath2 = new int[nbBlock];
    for (int i = 0; i < nbBlock - 1; i++) {
      nbPath2[i] = BLOCK_SIZE;
    }
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