Package com.opengamma.analytics.math.matrix

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

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    ArgumentChecker.isTrue(numberExpiry >= 0, "number of expiries must be greater than or equal to zero");
    ArgumentChecker.isTrue(numberDelta >= 0, "number of deltas must be greater than or equal to zero");
    _currencyPair = ObjectsPair.of(ccy1, ccy2);
    _expiries = new DoubleMatrix1D(new double[numberExpiry]);
    _delta = new DoubleMatrix1D(new double[numberDelta]);
    _vega = new DoubleMatrix2D(numberExpiry, numberDelta);
  }
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   * @param x1Key
   * @return Value of first derivative with respect to x0 at (x0Key, x1Key)
   */
  public double differentiateX0(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double x0Key, final double x1Key) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[] interpX0Diff = func.differentiate(_method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Key).getData();
    return _method[1].interpolate(x1Values, interpX0Diff, x1Key);
  }
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   * @param x1Keys
   * @return Values of first derivative with respect to x0 at (x0Key_i, x1Keys_j)
   */
  public DoubleMatrix2D differentiateX0(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double[] x0Keys, final double[] x1Keys) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[][] interpX0Diff = OG_ALGEBRA.getTranspose(func.differentiate(_method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Keys)).getData();
    return _method[1].interpolate(x1Values, interpX0Diff, x1Keys);
  }
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   * @param x1Key
   * @return Value of second derivative with respect to x0 at (x0Key, x1Key)
   */
  public double differentiateX0Twice(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double x0Key, final double x1Key) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[] interpX0Diff = func.differentiateTwice(_method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Key).getData();
    return _method[1].interpolate(x1Values, interpX0Diff, x1Key);
  }
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   * @param x1Keys
   * @return Values of second derivative with respect to x0 at (x0Key_i, x1Keys_j)
   */
  public DoubleMatrix2D differentiateX0Twice(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double[] x0Keys, final double[] x1Keys) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[][] interpX0Diff = OG_ALGEBRA.getTranspose(func.differentiateTwice(_method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Keys))
        .getData();
    return _method[1].interpolate(x1Values, interpX0Diff, x1Keys);
  }
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        ArgumentChecker.isFalse(Double.isNaN(coefs[i][j]), "Too large input");
        ArgumentChecker.isFalse(Double.isInfinite(coefs[i][j]), "Too large input");
      }
    }

    return new PiecewisePolynomialResult(new DoubleMatrix1D(xValuesSrt), new DoubleMatrix2D(coefs), 6, 1);
  }
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        intervalsA = getIntervalsA(intervals, slopes, first, bValues);
        intervalsB = getIntervalsB(intervals, slopes, first, aValues);
      }
      final double[] second = secondDerivativeCalculator(initialSecond, intervalsA, intervalsB);

      coefMatrix[i] = new DoubleMatrix2D(_solver.solve(yValuesSrt, intervals, slopes, first, second));
    }

    final int nIntervals = coefMatrix[0].getNumberOfRows();
    final int nCoefs = coefMatrix[0].getNumberOfColumns();
    double[][] resMatrix = new double[dim * nIntervals][nCoefs];

    for (int i = 0; i < nIntervals; ++i) {
      for (int j = 0; j < dim; ++j) {
        resMatrix[dim * i + j] = coefMatrix[j].getRowVector(i).getData();
      }
    }

    for (int i = 0; i < (nIntervals * dim); ++i) {
      for (int j = 0; j < nCoefs; ++j) {
        ArgumentChecker.isFalse(Double.isNaN(resMatrix[i][j]), "Too large input");
        ArgumentChecker.isFalse(Double.isInfinite(resMatrix[i][j]), "Too large input");
      }
    }

    return new PiecewisePolynomialResult(new DoubleMatrix1D(xValuesSrt), new DoubleMatrix2D(resMatrix), nCoefs, dim);
  }
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    }

    final DoubleMatrix2D[] resMatrix = _solver.solveWithSensitivity(yValuesSrt, intervals, slopes, slopesSensitivity, firstWithSensitivity, secondWithSensitivity);

    for (int l = 0; l < nDataPts; ++l) {
      DoubleMatrix2D m = resMatrix[l];
      final int rows = m.getNumberOfRows();
      final int cols = m.getNumberOfColumns();
      for (int i = 0; i < rows; ++i) {
        for (int j = 0; j < cols; ++j) {
          ArgumentChecker.isTrue(Doubles.isFinite(m.getEntry(i, j)), "Matrix contains a NaN or infinite");
        }
      }
    }

    final DoubleMatrix2D coefMatrix = resMatrix[0];
    final DoubleMatrix2D[] coefSenseMatrix = new DoubleMatrix2D[nDataPts - 1];
    System.arraycopy(resMatrix, 1, coefSenseMatrix, 0, nDataPts - 1);
    final int nCoefs = coefMatrix.getNumberOfColumns();

    return new PiecewisePolynomialResultsWithSensitivity(new DoubleMatrix1D(xValues), coefMatrix, nCoefs, 1, coefSenseMatrix);
  }
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    xValuesSrt = Arrays.copyOf(xValues, nDataPts);
    yValuesSrt = Arrays.copyOf(yValues, nDataPts);
    ParallelArrayBinarySort.parallelBinarySort(xValuesSrt, yValuesSrt);

    final DoubleMatrix2D coefMatrix = this._solver.solve(xValuesSrt, yValuesSrt);
    final int nCoefs = coefMatrix.getNumberOfColumns();

    final int nInts = this._solver.getKnotsMat1D(xValuesSrt).getNumberOfElements() - 1;
    for (int i = 0; i < nInts; ++i) {
      for (int j = 0; j < nCoefs; ++j) {
        ArgumentChecker.isFalse(Double.isNaN(coefMatrix.getData()[i][j]), "Too large input");
        ArgumentChecker.isFalse(Double.isInfinite(coefMatrix.getData()[i][j]), "Too large input");
      }
    }

    return new PiecewisePolynomialResult(this._solver.getKnotsMat1D(xValuesSrt), coefMatrix, nCoefs, 1);
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      ParallelArrayBinarySort.parallelBinarySort(xValuesSrt, yValuesSrt);

      yValuesMatrixSrt[i] = Arrays.copyOf(yValuesSrt, nDataPts);
    }

    DoubleMatrix2D[] coefMatrix = this._solver.solveMultiDim(xValuesSrt, new DoubleMatrix2D(yValuesMatrixSrt));

    final int nIntervals = coefMatrix[0].getNumberOfRows();
    final int nCoefs = coefMatrix[0].getNumberOfColumns();
    double[][] resMatrix = new double[dim * nIntervals][nCoefs];

    for (int i = 0; i < nIntervals; ++i) {
      for (int j = 0; j < dim; ++j) {
        resMatrix[dim * i + j] = coefMatrix[j].getRowVector(i).getData();
      }
    }

    for (int i = 0; i < dim * nIntervals; ++i) {
      for (int j = 0; j < nCoefs; ++j) {
        ArgumentChecker.isFalse(Double.isNaN(resMatrix[i][j]), "Too large input");
        ArgumentChecker.isFalse(Double.isInfinite(resMatrix[i][j]), "Too large input");
      }
    }

    return new PiecewisePolynomialResult(this._solver.getKnotsMat1D(xValuesSrt), new DoubleMatrix2D(resMatrix), nCoefs, dim);
  }
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