Package com.opengamma.analytics.math.matrix

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

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    fD[2][2] = (fpp + fD[0][2] * (2 * (2 * _mu + 3) + 4 * _parameter[1] / _cutOffStrike + 8 * _parameter[2] / (_cutOffStrike * _cutOffStrike))) / (_cutOffStrike * _cutOffStrike);
    final DoubleMatrix2D fDmatrix = new DoubleMatrix2D(fD);
    // Derivative of abc with respect to forward
    final ColtMatrixAlgebra algebra = new ColtMatrixAlgebra();
    final DoubleMatrix2D fDInverse = algebra.getInverse(fDmatrix);
    final OGMatrixAlgebra algebraOG = new OGMatrixAlgebra();
    final DoubleMatrix1D derivativeF = (DoubleMatrix1D) algebraOG.multiply(fDInverse, pDFvector);
    return derivativeF.getData();
  }
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    fD[2][2] = (fpp + fD[0][2] * (2 * (2 * _mu + 3) + 4 * _parameter[1] / _cutOffStrike + 8 * _parameter[2] / (_cutOffStrike * _cutOffStrike))) / (_cutOffStrike * _cutOffStrike);
    final DoubleMatrix2D fDmatrix = new DoubleMatrix2D(fD);
    // Derivative of abc with respect to forward
    final ColtMatrixAlgebra algebra = new ColtMatrixAlgebra();
    final DoubleMatrix2D fDInverse = algebra.getInverse(fDmatrix);
    final OGMatrixAlgebra algebraOG = new OGMatrixAlgebra();
    for (int loopparam = 0; loopparam < 4; loopparam++) {
      final DoubleMatrix1D pDSABRvector = new DoubleMatrix1D(pDSABR[loopparam]);
      final DoubleMatrix1D derivativeSABR = (DoubleMatrix1D) algebraOG.multiply(fDInverse, pDSABRvector);
      result[loopparam] = derivativeSABR.getData();
    }
    return result;
  }
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    assertEquals(0.0, result.getFitParameters().getEntry(3), 1e-8);
  }

  @Test
  public void solveRandomNoiseTest() {
    final MatrixAlgebra ma = new OGMatrixAlgebra();
    final double[] y = new double[20];
    for (int i = 0; i < 20; i++) {
      y[i] = Y.getEntry(i) + SIGMA.getEntry(i) * NORMAL.nextRandom();
    }
    final DoubleMatrix1D start = new DoubleMatrix1D(new double[] {0.7, 1.4, 0.2, -0.3 });
    final NonLinearLeastSquare ls = new NonLinearLeastSquare();
    final LeastSquareResults res = ls.solve(X, new DoubleMatrix1D(y), SIGMA, PARAM_FUNCTION, PARAM_GRAD, start);

    final double chiSqDoF = res.getChiSq() / 16;
    assertTrue(chiSqDoF > 0.25);
    assertTrue(chiSqDoF < 3.0);

    final DoubleMatrix1D trueValues = new DoubleMatrix1D(new double[] {1, 1, 0, 0 });
    final DoubleMatrix1D delta = (DoubleMatrix1D) ma.subtract(res.getFitParameters(), trueValues);

    final LUDecompositionCommons decmp = new LUDecompositionCommons();
    final LUDecompositionResult decmpRes = decmp.evaluate(res.getCovariance());
    final DoubleMatrix2D invCovariance = decmpRes.solve(DoubleMatrixUtils.getIdentityMatrix2D(4));

    double z = ma.getInnerProduct(delta, ma.multiply(invCovariance, delta));
    z = Math.sqrt(z);

    assertTrue(z < 3.0);

    //     System.out.println("chiSqr: " + res.getChiSq());
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    //     System.out.println("z: " + z);
  }

  @Test
  public void smallPertubationTest() {
    final MatrixAlgebra ma = new OGMatrixAlgebra();
    final double[] dy = new double[20];
    for (int i = 0; i < 20; i++) {
      dy[i] = 0.1 * SIGMA.getEntry(i) * NORMAL.nextRandom();
    }
    final DoubleMatrix1D deltaY = new DoubleMatrix1D(dy);
    final DoubleMatrix1D solution = new DoubleMatrix1D(new double[] {1.0, 1.0, 0.0, 0.0 });
    final NonLinearLeastSquare ls = new NonLinearLeastSquare();
    final DoubleMatrix2D res = ls.calInverseJacobian(SIGMA, FUNCTION, GRAD, solution);
    //  System.out.println("invese Jac: " + res);

    final DoubleMatrix1D deltaParms = (DoubleMatrix1D) ma.multiply(res, deltaY);
    // System.out.println("delta parms: " + deltaParms);

    final DoubleMatrix1D y = (DoubleMatrix1D) ma.add(Y, deltaY);

    final LeastSquareResults lsRes = ls.solve(X, y, SIGMA, PARAM_FUNCTION, PARAM_GRAD, solution);
    final DoubleMatrix1D trueDeltaParms = (DoubleMatrix1D) ma.subtract(lsRes.getFitParameters(), solution);
    // System.out.println("true delta parms: " + trueDeltaParms);

    assertEquals(trueDeltaParms.getEntry(0), deltaParms.getEntry(0), 5e-5);
    assertEquals(trueDeltaParms.getEntry(1), deltaParms.getEntry(1), 5e-5);
    assertEquals(trueDeltaParms.getEntry(2), deltaParms.getEntry(2), 5e-5);
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  public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps) {
    this(absoluteTol, relativeTol, maxSteps, new LUDecompositionCommons());
  }

  public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps, final Decomposition<?> decomp) {
    this(absoluteTol, relativeTol, maxSteps, decomp, new OGMatrixAlgebra());
  }
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Related Classes of com.opengamma.analytics.math.matrix.OGMatrixAlgebra

  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction
  • com.opengamma.analytics.math.rootfinding.newton.ShermanMorrisonVectorRootFinder
  • com.opengamma.analytics.math.statistics.leastsquare.NonLinearLeastSquareTest
  • org.apache.commons.lang.NotImplementedException
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