Examples of com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderJacobian.evaluate()

com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderJacobian.evaluate()

      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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          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);


            i = 0;
            for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {

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        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;
    final YieldCurveBundle curveBundle = new YieldCurveBundle();

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    }
    final Set<ComputedValue> result = Sets.newHashSetWithExpectedSize(4);
    final ValueProperties.Builder properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_METHOD, getCalculationType())
        .with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, curveName).with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, curveName);
    if (createJacobian) {
      final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(yields));
      result.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties.get()), jacobianMatrix.getData()));
    }
    if (createSensitivities) {
      final double[] couponSensitivities = new double[derivatives.size()];
      int ii = 0;

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    }
    final Set<ComputedValue> result = Sets.newHashSetWithExpectedSize(4);
    final ValueProperties.Builder properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_METHOD, getCalculationType())
        .with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, forwardCurveName).with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, fundingCurveName);
    if (createJacobian) {
      final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(yields));
      result.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties.get()), jacobian.getData()));
    }
    if (createSensitivities) { // calcType is PresentValue. Compute CouponSens ( dPrice / dParRate ) used in conjunction with Jacobian to get Yield Curve Node (Par Rate) Sensitivities
      final double[] couponSensitivities = new double[derivatives.size()];
      int ii = 0;

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        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);
    final ValueProperties properties = getProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName, decompositionName,

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    // Implementation note: computes transition Dpf pd: derivative of the current (domestic) curve parameter to the previous (foreign) currency curves
    // For details on the computation, see "Multi-curve Framework with Collateral-3.5 Keeping track of transition matrices", OpenGamma Quantitative Research 13, May 2013.
    final MultipleYieldCurveFinderDataBundle dataAllCurves = MultipleYieldCurveFinderDataBundle.withAllCurves(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes, interpolators,
        useFiniteDifference, fxMatrix);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculatorAllCurves = new MultipleYieldCurveFinderJacobian(dataAllCurves, PAR_RATE_SENSITIVITY_CALCULATOR);
    final DoubleMatrix2D jacobianMatrixAllCurves = jacobianCalculatorAllCurves.evaluate(new DoubleMatrix1D(fittedYields));
    // Order is: previous curves (domestic), current curves (foreign)
    final DoubleMatrix2D jacobianMatrixInverse = MATRIX_ALGEBRA.getInverse(jacobianMatrix);
    final int nbLine = nodeTimes.size();
    final int nbCol = dataAllCurves.getTotalNodes() - nodeTimes.size();
    final double[][] sensiPreviousCurves1 = new double[nbLine][nbCol];

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