Package com.opengamma.analytics.math.matrix

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

53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
   * @return The total sensitivity.
   */
  public SimpleParameterSensitivity plus(final String name, final DoubleMatrix1D sensitivity) {
    ArgumentChecker.notNull(name, "Name");
    ArgumentChecker.notNull(sensitivity, "Matrix");
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<String, DoubleMatrix1D> result = new LinkedHashMap<>();
    result.putAll(_sensitivity);
    if (result.containsKey(name)) {
      result.put(name, (DoubleMatrix1D) algebra.add(result.get(name), sensitivity));
    } else {
      result.put(name, sensitivity);
    }
    return new SimpleParameterSensitivity(result);
  }
View Full Code Here
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
   * @param other The sensitivity to add.
   * @return The total sensitivity.
   */
  public SimpleParameterSensitivity plus(final SimpleParameterSensitivity other) {
    ArgumentChecker.notNull(other, "Sensitivity to add");
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<String, DoubleMatrix1D> result = new LinkedHashMap<>();
    result.putAll(_sensitivity);
    for (final Map.Entry<String, DoubleMatrix1D> entry : other.getSensitivities().entrySet()) {
      final String name = entry.getKey();
      if (result.containsKey(name)) {
        result.put(name, (DoubleMatrix1D) algebra.add(result.get(name), entry.getValue()));
      } else {
        result.put(name, entry.getValue());
      }
    }
    return new SimpleParameterSensitivity(result);
View Full Code Here
91
92
93
94
95
96
97
98
99
100
101
102
   * Create a copy of the object with all the sensitivities multiplied by a common factor.
   * @param factor The factor.
   * @return The multiplied sensitivity.
   */
  public SimpleParameterSensitivity multipliedBy(final double factor) {
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<String, DoubleMatrix1D> result = new LinkedHashMap<>();
    for (final String nameCcy : _sensitivity.keySet()) {
      result.put(nameCcy, (DoubleMatrix1D) algebra.scale(_sensitivity.get(nameCcy), factor));
    }
    return new SimpleParameterSensitivity(result);
  }
View Full Code Here
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
   * @return The total sensitivity.
   */
  public MultipleCurrencyParameterSensitivity plus(final Pair<String, Currency> nameCcy, final DoubleMatrix1D sensitivity) {
    ArgumentChecker.notNull(nameCcy, "Name/currency");
    ArgumentChecker.notNull(sensitivity, "Matrix");
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> result = new LinkedHashMap<>();
    result.putAll(_sensitivity);
    if (result.containsKey(nameCcy)) {
      result.put(nameCcy, (DoubleMatrix1D) algebra.add(result.get(nameCcy), sensitivity));
    } else {
      result.put(nameCcy, sensitivity);
    }
    return new MultipleCurrencyParameterSensitivity(result);
  }
View Full Code Here
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
   * @param other The sensitivity to add.
   * @return The total sensitivity.
   */
  public MultipleCurrencyParameterSensitivity plus(final MultipleCurrencyParameterSensitivity other) {
    ArgumentChecker.notNull(other, "Sensitivity to add");
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> result = new LinkedHashMap<>();
    result.putAll(_sensitivity);
    for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : other.getSensitivities().entrySet()) {
      final Pair<String, Currency> nameCcy = entry.getKey();
      if (result.containsKey(nameCcy)) {
        result.put(nameCcy, (DoubleMatrix1D) algebra.add(result.get(nameCcy), entry.getValue()));
      } else {
        result.put(nameCcy, entry.getValue());
      }
    }
    return new MultipleCurrencyParameterSensitivity(result);
View Full Code Here
120
121
122
123
124
125
126
127
128
129
130
131
   * Create a copy of the object with all the sensitivities multiplied by a common factor.
   * @param factor The factor.
   * @return The multiplied sensitivity.
   */
  public MultipleCurrencyParameterSensitivity multipliedBy(final double factor) {
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> result = new LinkedHashMap<>();
    for (final Pair<String, Currency> nameCcy : _sensitivity.keySet()) {
      result.put(nameCcy, (DoubleMatrix1D) algebra.scale(_sensitivity.get(nameCcy), factor));
    }
    return new MultipleCurrencyParameterSensitivity(result);
  }
View Full Code Here
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
   */
  public MultipleCurrencyParameterSensitivity converted(final FXMatrix fxMatrix, final Currency ccy) {
    ArgumentChecker.notNull(ccy, "Currency");
    ArgumentChecker.notNull(fxMatrix, "FX Matrix");
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : _sensitivity.entrySet()) {
      final Pair<String, Currency> nameCcy = entry.getKey();
      final double fxRate = fxMatrix.getFxRate(nameCcy.getSecond(), ccy);
      final Pair<String, Currency> nameCcyNew = Pair.of(nameCcy.getFirst(), ccy);
      final DoubleMatrix1D sensitivityNew = (DoubleMatrix1D) algebra.scale(entry.getValue(), fxRate);
      result = result.plus(nameCcyNew, sensitivityNew);
    }
    return result;
  }
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
140
    final double amr = lmm.getMeanReversion();
    final double[] iborTime = lmm.getIborTime();
    final double[] almm = lmm.getDisplacement();
    final double[] deltalmm = lmm.getAccrualFactor();
    final DoubleMatrix2D gammaLMM = new DoubleMatrix2D(lmm.getVolatility());
    final MatrixAlgebra algebra = new CommonsMatrixAlgebra();
    final DoubleMatrix2D s = (DoubleMatrix2D) algebra.multiply(gammaLMM, algebra.getTranspose(gammaLMM));
    final int nbJump = jumpTime.length - 1;
    final int nbPath = initIbor[0].length;
    final int nbPeriodLMM = lmm.getNbPeriod();
    final int nbFactorLMM = lmm.getNbFactor();
    final double[] dt = new double[nbJump];
View Full Code Here
133
134
135
136
137
138
139
140
141
142
143
144
    final double amr = lmm.getMeanReversion();
    final double[] iborTime = lmm.getIborTime();
    final double[] almm = lmm.getDisplacement();
    final double[] deltalmm = lmm.getAccrualFactor();
    final DoubleMatrix2D gammaLMM = new DoubleMatrix2D(lmm.getVolatility());
    final MatrixAlgebra algebra = new CommonsMatrixAlgebra();
    final DoubleMatrix2D s = (DoubleMatrix2D) algebra.multiply(gammaLMM, algebra.getTranspose(gammaLMM));
    final int nbJump = jumpTime.length - 1;
    final int nbPath = initIbor[0].length;
    final int nbPeriodLMM = lmm.getNbPeriod();
    final int nbFactorLMM = lmm.getNbFactor();
    final double[] dt = new double[nbJump];
View Full Code Here
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
      final boolean opposite) {
    ArgumentChecker.notNull(sensitivity1, "sensitivity1");
    ArgumentChecker.notNull(sensitivity2, "sensitivity2");
    ArgumentChecker.isTrue(tolerance > 0, "tolerance must be greater than 0; have {}", tolerance);
    boolean cmp = true;
    final MatrixAlgebra algebra = MatrixAlgebraFactory.COMMONS_ALGEBRA;
    final Map<Pair<String, Currency>, DoubleMatrix1D> map1 = sensitivity1.getSensitivities();
    final Map<Pair<String, Currency>, DoubleMatrix1D> map2 = sensitivity2.getSensitivities();
    for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : map1.entrySet()) {
      final Pair<String, Currency> nameCcy = entry.getKey();
      if (map2.get(nameCcy) == null) {
        if (algebra.getNormInfinity(entry.getValue()) > tolerance) {
          cmp = false;
        }
      } else {
        if (algebra.getNormInfinity(algebra.add(entry.getValue(), algebra.scale(map2.get(nameCcy), -1.0))) > tolerance) {
          cmp = false;
        }
      }
    }
    for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : map2.entrySet()) {
      final Pair<String, Currency> nameCcy = entry.getKey();
      if (map1.get(nameCcy) == null) {
        if (algebra.getNormInfinity(entry.getValue()) > tolerance) {
          cmp = false;
        }
      } else {
        if (algebra.getNormInfinity(algebra.add(entry.getValue(), algebra.scale(map1.get(nameCcy), -1.0))) > tolerance) {
          cmp = false;
        }
      }
    }
    if (opposite) {
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.math.matrix.MatrixAlgebra

  • com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod
  • com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity
  • com.opengamma.analytics.financial.util.AssertSensivityObjects
  • com.opengamma.analytics.math.linearalgebra.SVDecompositionCalculationTestCase
  • com.opengamma.analytics.math.statistics.leastsquare.NonLinearLeastSquareTest
  • org.apache.commons.lang.NotImplementedException
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.