Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionResult.solve()

com.opengamma.analytics.math.linearalgebra.LUDecompositionResult.solve()

      }
    }
    final DoubleMatrix1D vLambda = new DoubleMatrix1D(temp);
    final DoubleMatrix2D jacT = new DoubleMatrix2D(res);
    final LUDecompositionResult luRes = decomp.evaluate(jacT);
    final DoubleMatrix1D vS = luRes.solve(vLambda);
    return vS.getData();
  }


  public double[][] analyticCS01FromCreditCurve(final CDSAnalytic[] cds, final double[] cdsCoupon, final CDSAnalytic[] bucketCDSs, final ISDACompliantYieldCurve yieldCurve,
      final ISDACompliantCreditCurve creditCurve) {

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    final LUDecompositionResult luRes = decomp.evaluate(jacT);
    for (int i = 0; i < m; i++) {
      for (int j = 0; j < n; j++) {
        vLambda[j] = _pricer.pvCreditSensitivity(cds[i], yieldCurve, creditCurve, cdsCoupon[i], j);
      }
      res[i] = luRes.solve(vLambda);
    }
    return res;
  }


  private double fdCreditDV01(final CDSAnalytic pricingCDS, final double cdsSpread, final CDSAnalytic[] curvePoints, final double[] spreadsUp, final double[] spreadsDown,

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    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);

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      System.out.println();
    }


    final LUDecompositionCommons decomp = new LUDecompositionCommons();
    final LUDecompositionResult res = decomp.evaluate(jac);
    final DoubleMatrix1D dVdS = res.solve(dVdH);


    // compare with bump and reprice
    final SpreadSensitivityCalculator bumpCal = new SpreadSensitivityCalculator();
    final double[] fd = bumpCal.bucketedCS01FromParSpreads(CDS, dealSpread, YIELD_CURVE, MARKET_CDS, mrkSpreads, 1e-7, BumpType.ADDITIVE);
    final DoubleMatrix1D fd_dVdS = new DoubleMatrix1D(fd);

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        temp[j] = sense;
      }
      final DoubleMatrix1D vLambda = new DoubleMatrix1D(temp);
      //     System.out.println(vLambda);


      final DoubleMatrix1D w = luRes.solve(vLambda);
      for (int j = 0; j < nPillars; j++) {
        out.append(String.format("& %.5f", w.getEntry(j)));
      }


      out.append("\\\\\n");

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    final double[][] res = new double[nMat][];
    final CDSAnalytic[] cds = CDS_FACTORY.makeCDS(TRADE_DATE, STARTDATE, MATURITIES_6M_STEP);
    for (int i = 0; i < nMat; i++) {
      final double[] vs = SPREAD_SENCE_CAL.analyticCS01FromCreditCurve(cds[i], COUPON, PILLAR_CDSS, YIELD_CURVE, CREDIT_CURVE);
      res[i] = decRes.solve(vs);
    }
    final DoubleMatrix2D hedge = new DoubleMatrix2D(res);
    System.out.println(hedge);
  }

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