Package com.opengamma.analytics.math.rootfinding.newton

Examples of com.opengamma.analytics.math.rootfinding.newton.NewtonVectorRootFinder$DataBundle

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        continue;
      }
      try {
        final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
            new FXMatrix(currency));
        final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
        final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_SPREAD_RATE_CALCULATOR);
        final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderIRSJacobian(data, PAR_SPREAD_RATE_SENSITIVITY_CALCULATOR);
        final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
        final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
        int i = 0;
        for (final String curveName : curveNames) {
          final Integer offset = nodesPerCurve.get(curveName);
          if (offset == null) {
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      curveNodes.put(impliedDepositCurveName, t);
      interpolators.put(impliedDepositCurveName, interpolator);
      final FXMatrix fxMatrix = new FXMatrix();
      final YieldCurveBundle knownCurve = new YieldCurveBundle();
      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
      final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
      final YieldCurve impliedDepositCurve = new YieldCurve(impliedDepositCurveName, InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
      final ValueSpecification curveSpec = new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
      final ValueSpecification jacobianSpec = new ValueSpecification(YIELD_CURVE_JACOBIAN, target.toSpecification(), resultJacobianProperties);
      return Sets.newHashSet(new ComputedValue(curveSpec, impliedDepositCurve), new ComputedValue(jacobianSpec, jacobianMatrix));
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    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    try {
      // TODO have the decomposition as an optional input [FIN-146]
      rootFinder = new BroydenVectorRootFinder(1e-7, 1e-7, 100, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME));
      final DoubleMatrix1D result = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess));
      yields = result.getData();
    } catch (final Exception eLU) {
      try {
        s_logger.warn("Could not find root using LU decomposition and present value method for curve " + curveName + "; trying SV. Error was: " + eLU.getMessage());
        rootFinder = new BroydenVectorRootFinder(1e-7, 1e-7, 100, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COMMONS_NAME));
        yields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess)).getData();
      } catch (final Exception eSV) {
        s_logger.warn("Could not find root using SV decomposition and present value method for curve " + curveName + ". Error was: " + eSV.getMessage());
        throw new OpenGammaRuntimeException(eSV.getMessage());
      }
    }
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    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    // TODO have the calculator and sensitivity calculators as an input [FIN-144], [FIN-145]
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    // TODO have the decomposition as an optional input [FIN-146]
    try {
      rootFinder = new BroydenVectorRootFinder(1e-4, 1e-4, 10000, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME));
      yields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess)).getData();
    } catch (final Exception eSV) {
      s_logger.warn("Could not find root using SV decomposition and " + _calculationType + " method for curves " + fundingCurveName + " and " + forwardCurveName + ". Error was: " + eSV.getMessage());
      throw new OpenGammaRuntimeException("Could not find curves " + fundingCurveName + " (" + targetSpec.getUniqueId().getValue() + "), " + forwardCurveName + " ("
          + targetSpec.getUniqueId().getValue() + ") using SV decomposition and calculation method " + _calculationType);
    }
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      interpolators.put(fullDomesticCurveName, interpolator);
      final FXMatrix fxMatrix = new FXMatrix();
      fxMatrix.addCurrency(foreignCurrency, domesticCurrency, invertFXQuotes ? spotFX : 1 / spotFX);
      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
          interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
      final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));

      domesticCurves.put(valuationDate, curve);
    }
    final Set<ComputedValue> result = new HashSet<>();
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          final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
          curveNodes.put(impliedDepositCurveName, t);
          interpolators.put(impliedDepositCurveName, interpolator);
          final FXMatrix fxMatrix = new FXMatrix();
          final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
          final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
          final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
          final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);

          final double[] fittedYields;
          try {
            fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
            YieldCurve impliedCurve = new YieldCurve("Name", InterpolatedDoublesCurve.from(t, fittedYields, interpolator));

            final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));

            impliedRateDates.add(valuationDate);
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    final Decomposition<?> decomposition = DecompositionFactory.getDecomposition(decompositionName);
    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PV_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PV_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final ValueProperties properties = getJacobianProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName,
        decompositionName, useFiniteDifferenceName);
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties), jacobianMatrix.getData()));
    int i = 0;
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    final Decomposition<?> decomposition = DecompositionFactory.getDecomposition(decompositionName);
    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_SPREAD_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderIRSJacobian(data, PAR_SPREAD_RATE_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final ValueProperties properties = getJacobianProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName,
        decompositionName, useFiniteDifferenceName);
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties), jacobianMatrix.getData()));
    int i = 0;
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    interpolators.put(fullDomesticCurveName, interpolator);
    final FXMatrix fxMatrix = new FXMatrix();
    fxMatrix.addCurrency(foreignCurrency, domesticCurrency, spotFX);
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
        interpolators, useFiniteDifference, fxMatrix);
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, domesticCurveName, absoluteToleranceName, relativeToleranceName,
        iterationsName, decompositionName, useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
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