Package com.opengamma.analytics.math.matrix

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

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          }
        }
      }
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = swaptionCalibration[loopcal].accept(PVSSSSC, sabrData);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
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      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // Curve sensitivity
    final MultipleCurrencyMulticurveSensitivity[] dLambdadC = new MultipleCurrencyMulticurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      dLambdadC[loopcal1] = new MultipleCurrencyMulticurveSensitivity();
      for (int loopcal2 = 0; loopcal2 <= loopcal1; loopcal2++) {
        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    MultipleCurrencyMulticurveSensitivity pvcsAdjust = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
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  public static void initMatrixDemo(PrintStream out) {
    DoubleMatrix1D matrix_1d = new DoubleMatrix1D(ARRAY_1D);
    out.println(matrix_1d);

    DoubleMatrix2D matrix_2d = new DoubleMatrix2D(ARRAY_2D);
    out.println(matrix_2d);
  }
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  // @export "matrixAlgebraDemo"
  public static void matrixAlgebraDemo(PrintStream out) {
    ColtMatrixAlgebra colt = new ColtMatrixAlgebra();
    DoubleMatrix1D v = new DoubleMatrix1D(ARRAY_1D);
    DoubleMatrix2D m = new DoubleMatrix2D(ARRAY_2D);

    out.println(colt.getTranspose(m));
    out.println(colt.multiply(m, v));
  }
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      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = swaptionCalibration[loopcal].accept(PVSSSSC, sabrData);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
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    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
      final InstrumentDerivative deriv = _data.getInstrument(loopinstrument);
      res[loopinstrument] = _parameterSensitivityCalculator.calculateSensitivity(deriv, _data.getKnownData().getAllNames(), bundle).getData();
    }
    return new DoubleMatrix2D(res);
  }
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  public DoubleMatrix2D[] makeCurveMatrix(final InstrumentDerivative[] instruments, final LinkedHashMap<String, GeneratorYDCurve> curveGenerators, final int startBlock, final int[] nbParameters,
      final Double[] parameters,
      final YieldCurveBundle knownData, final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator) {
    final MultipleYieldCurveFinderGeneratorDataBundle data = new MultipleYieldCurveFinderGeneratorDataBundle(instruments, knownData, curveGenerators);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderGeneratorJacobian(new ParameterUnderlyingSensitivityCalculator(sensitivityCalculator), data);
    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;
    for (int loopmat = 0; loopmat < nbParameters.length; loopmat++) {
      final double[][] matrixCurve = new double[nbParameters[loopmat]][matrixTotal.length];
      for (int loopparam = 0; loopparam < nbParameters[loopmat]; loopparam++) {
        matrixCurve[loopparam] = matrixTotal[startBlock + startCurve + loopparam].clone();
      }
      result[loopmat] = new DoubleMatrix2D(matrixCurve);
      startCurve += nbParameters[loopmat];
    }
    return result;
  }
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    out.format("2x2 identity matrix:%n%s%n%n", Arrays.deepToString(matrix_2));

    final double[][] matrix_4 = identityMatrix(4);
    out.format("4x4 identity matrix:%n%s%n%n", Arrays.deepToString(matrix_4));

    final DoubleMatrix2D m = new DoubleMatrix2D(matrix_4);
    out.format("DoubleMatrix2D:%n%s%n%n", m.toString());
  }
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  }

  // @export "matrixMultiplyDemo"
  public static void matrixMultiplyDemo(final PrintStream out) {
    final double[][] matrix_4 = identityMatrix(4);
    final DoubleMatrix2D m = new DoubleMatrix2D(matrix_4);

    final double[] data_1d = {1.0, 2.0, 3.0, 4.0 };
    final DoubleMatrix1D v = new DoubleMatrix1D(data_1d);

    final ColtMatrixAlgebra colt = new ColtMatrixAlgebra();
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          }
        }
      }
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = METHOD_SWAPTION_SABR.presentValueSABRSensitivity(swaptionCalibration[loopcal], curves);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
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