Package com.opengamma.analytics.math.matrix

Examples of com.opengamma.analytics.math.matrix.DoubleMatrix2D

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          dfdPhi[loopp1][loopp2] += 2 * dPvCaldPhi[loopcal][loopp1] * dPvCaldPhi[loopcal][loopp2];
        }
      }
    }

    final DoubleMatrix2D dfdThetaMat = new DoubleMatrix2D(dfdTheta);
    final DoubleMatrix2D dfdPhiMat = new DoubleMatrix2D(dfdPhi);
    final DoubleMatrix2D dfdPhiInvMat = ALGEBRA.getInverse(dfdPhiMat);
    final DoubleMatrix2D dPhidThetaMat = (DoubleMatrix2D) ALGEBRA.scale(ALGEBRA.multiply(dfdPhiInvMat, dfdThetaMat), -1.0);
    final DoubleMatrix1D dPvdPhiMat = new DoubleMatrix1D(dPvdPhi);
    final DoubleMatrix2D dPvdThetaMat = ALGEBRA.getTranspose(ALGEBRA.multiply(ALGEBRA.getTranspose(dPhidThetaMat), dPvdPhiMat));
    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
 
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        }
        alpha[i][j] = sum;
        alpha[j][i] = sum;
      }
    }
    return new DoubleMatrix2D(alpha);
  }
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      b[i] = sum;

    }

    final DoubleMatrix1D mb = new DoubleMatrix1D(b);
    DoubleMatrix2D ma = getAMatrix(f, invSigmaSqr);

    if (lambda > 0.0) {
      final DoubleMatrix2D d = getDiffMatrix(m, differenceOrder);
      ma = (DoubleMatrix2D) _algebra.add(ma, _algebra.scale(d, lambda));
    }

    final DecompositionResult decmp = _decomposition.evaluate(ma);
    final DoubleMatrix1D w = decmp.solve(mb);
    final DoubleMatrix2D covar = decmp.solve(DoubleMatrixUtils.getIdentityMatrix2D(m));

    double chiSq = 0;
    for (i = 0; i < n; i++) {
      double temp = 0;
      for (k = 0; k < m; k++) {
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      b[i] = sum;

    }

    final DoubleMatrix1D mb = new DoubleMatrix1D(b);
    DoubleMatrix2D ma = getAMatrix(f, invSigmaSqr);

    for (i = 0; i < dim; i++) {
      if (lambda[i] > 0.0) {
        final DoubleMatrix2D d = getDiffMatrix(sizes, differenceOrder[i], i);
        ma = (DoubleMatrix2D) _algebra.add(ma, _algebra.scale(d, lambda[i]));
      }
    }

    final DecompositionResult decmp = _decomposition.evaluate(ma);
    final DoubleMatrix1D w = decmp.solve(mb);
    final DoubleMatrix2D covar = decmp.solve(DoubleMatrixUtils.getIdentityMatrix2D(m));

    double chiSq = 0;
    for (i = 0; i < n; i++) {
      double temp = 0;
      for (k = 0; k < m; k++) {
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        a[i][j] = sum;
        a[j][i] = sum;
      }
    }

    return new DoubleMatrix2D(a);
  }
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    final double[][] data = new double[m][m];
    if (m == 0) {
      for (int i = 0; i < m; i++) {
        data[i][i] = 1.0;
      }
      return new DoubleMatrix2D(data);
    }

    final int[] coeff = new int[k + 1];

    int sign = 1;
    for (int i = k; i >= 0; i--) {
      coeff[i] = (int) (sign * binomialCoefficient(k, i));
      sign *= -1;
    }

    for (int i = k; i < m; i++) {
      for (int j = 0; j < k + 1; j++) {
        data[i][j + i - k] = coeff[j];
      }
    }
    final DoubleMatrix2D d = new DoubleMatrix2D(data);

    final DoubleMatrix2D dt = _algebra.getTranspose(d);
    return (DoubleMatrix2D) _algebra.multiply(dt, d);
  }
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  }

  private DoubleMatrix2D getDiffMatrix(final int[] size, final int k, final int indices) {
    final int dim = size.length;

    final DoubleMatrix2D d = getDiffMatrix(size[indices], k);

    int preProduct = 1;
    int postProduct = 1;
    for (int j = indices + 1; j < dim; j++) {
      preProduct *= size[j];
    }
    for (int j = 0; j < indices; j++) {
      postProduct *= size[j];
    }
    DoubleMatrix2D temp = d;
    if (preProduct != 1) {
      temp = (DoubleMatrix2D) _algebra.kroneckerProduct(DoubleMatrixUtils.getIdentityMatrix2D(preProduct), temp);
    }
    if (postProduct != 1) {
      temp = (DoubleMatrix2D) _algebra.kroneckerProduct(temp, DoubleMatrixUtils.getIdentityMatrix2D(postProduct));
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    }
    return _inverseJacobianModelPararms;
  }

  private void setModelParameterSensitivityToData() {
    DoubleMatrix2D invJac = _transform.inverseJacobian(getFitParameters());
    _inverseJacobianModelPararms = (DoubleMatrix2D) MA.multiply(invJac, getFittingParameterSensitivityToData());
  }
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          dfdPhi[loopp1][loopp2] += 2 * dPvCaldPhi[loopcal][loopp1] * dPvCaldPhi[loopcal][loopp2];
        }
      }
    }

    final DoubleMatrix2D dfdThetaMat = new DoubleMatrix2D(dfdTheta);
    final DoubleMatrix2D dfdPhiMat = new DoubleMatrix2D(dfdPhi);
    final DoubleMatrix2D dPhidThetaMat = (DoubleMatrix2D) ALGEBRA.scale(ALGEBRA.multiply(ALGEBRA.getInverse(dfdPhiMat), dfdThetaMat), -1.0);
    final DoubleMatrix1D dPvdPhiMat = new DoubleMatrix1D(dPvdPhi);
    final DoubleMatrix2D dPvdThetaMat = ALGEBRA.getTranspose(ALGEBRA.multiply(ALGEBRA.getTranspose(dPhidThetaMat), dPvdPhiMat));
    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
 
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          dfdPhi[loopp1][loopp2] += 2 * dPvCaldPhi[loopcal][loopp1] * dPvCaldPhi[loopcal][loopp2];
        }
      }
    }

    final DoubleMatrix2D dfdThetaMat = new DoubleMatrix2D(dfdTheta);
    final DoubleMatrix2D dfdPhiMat = new DoubleMatrix2D(dfdPhi);
    final DoubleMatrix2D dfdPhiInvMat = ALGEBRA.getInverse(dfdPhiMat);
    final DoubleMatrix2D dPhidThetaMat = (DoubleMatrix2D) ALGEBRA.scale(ALGEBRA.multiply(dfdPhiInvMat, dfdThetaMat), -1.0);
    final DoubleMatrix1D dPvdPhiMat = new DoubleMatrix1D(dPvdPhi);
    final DoubleMatrix2D dPvdThetaMat = ALGEBRA.getTranspose(ALGEBRA.multiply(ALGEBRA.getTranspose(dPhidThetaMat), dPvdPhiMat));
    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
 
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