Package com.opengamma.analytics.math.matrix

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

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            dPvCaldLambda[loopcal1][loopcal2] += dPvCaldGamma[loopcal1][loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
          }
        }
      }
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = swaptionCalibration[loopcal].accept(PVSSSSC, sabrData);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
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      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmm);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // Curve sensitivity
    final MultipleCurrencyMulticurveSensitivity[] dLambdadC = new MultipleCurrencyMulticurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      dLambdadC[loopcal1] = new MultipleCurrencyMulticurveSensitivity();
      for (int loopcal2 = 0; loopcal2 <= loopcal1; loopcal2++) {
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      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmm);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = swaptionCalibration[loopcal].accept(PVSSSSC, sabrData);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
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            dPvCaldLambda[loopcal1][loopcal2] += dPvCaldGamma[loopcal1][loopperiod][loopfact] * lmmParameters.getVolatility()[loopperiod][loopfact];
          }
        }
      }
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = METHOD_SWAPTION_SABR.presentValueSABRSensitivity(swaptionCalibration[loopcal], curves);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
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      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmmBundle);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // Curve sensitivity
    final InterestRateCurveSensitivity[] dLambdadC = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {
      dLambdadC[loopcal1] = new InterestRateCurveSensitivity();
      for (int loopcal2 = 0; loopcal2 <= loopcal1; loopcal2++) {
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      pvcsCalCal[loopcal] = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaptionCalibration[loopcal], lmmBundle);
      pvcsCalCal[loopcal] = pvcsCalCal[loopcal].cleaned();
      pvcsCalDiff[loopcal] = pvcsCalBase[loopcal].plus(pvcsCalCal[loopcal].multipliedBy(-1));
      pvcsCalDiff[loopcal] = pvcsCalDiff[loopcal].cleaned();
    }
    final CommonsMatrixAlgebra matrix = new CommonsMatrixAlgebra();
    final DoubleMatrix2D dPvCaldLambdaMatrix = new DoubleMatrix2D(dPvCaldLambda);
    final DoubleMatrix2D dPvCaldLambdaMatrixInverse = matrix.getInverse(dPvCaldLambdaMatrix);
    // SABR sensitivity
    final double[][] dPvCaldAlpha = new double[nbCal][nbCal];
    final double[][] dPvCaldRho = new double[nbCal][nbCal];
    final double[][] dPvCaldNu = new double[nbCal][nbCal];
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldSABR[loopcal] = METHOD_SWAPTION_SABR.presentValueSABRSensitivity(swaptionCalibration[loopcal], curves);
      final Set<DoublesPair> keySet = dPvCaldSABR[loopcal].getAlpha().getMap().keySet();
      final DoublesPair[] keys = keySet.toArray(new DoublesPair[keySet.size()]);
      dPvCaldAlpha[loopcal][loopcal] = dPvCaldSABR[loopcal].getAlpha().getMap().get(keys[0]);
      dPvCaldRho[loopcal][loopcal] = dPvCaldSABR[loopcal].getRho().getMap().get(keys[0]);
      dPvCaldNu[loopcal][loopcal] = dPvCaldSABR[loopcal].getNu().getMap().get(keys[0]);
    }
    final DoubleMatrix1D dPvAmdLambdaMatrix = new DoubleMatrix1D(dPvAmdLambda);
    final DoubleMatrix2D dPvCaldAlphaMatrix = new DoubleMatrix2D(dPvCaldAlpha);
    final DoubleMatrix2D dLambdadAlphaMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldAlphaMatrix);
    final DoubleMatrix2D dPvAmdAlphaMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadAlphaMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldRhoMatrix = new DoubleMatrix2D(dPvCaldRho);
    final DoubleMatrix2D dLambdadRhoMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldRhoMatrix);
    final DoubleMatrix2D dPvAmdRhoMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadRhoMatrix), dPvAmdLambdaMatrix);
    final DoubleMatrix2D dPvCaldNuMatrix = new DoubleMatrix2D(dPvCaldNu);
    final DoubleMatrix2D dLambdadNuMatrix = (DoubleMatrix2D) matrix.multiply(dPvCaldLambdaMatrixInverse, dPvCaldNuMatrix);
    final DoubleMatrix2D dPvAmdNuMatrix = (DoubleMatrix2D) matrix.multiply(matrix.getTranspose(dLambdadNuMatrix), dPvAmdLambdaMatrix);
    final double[] dPvAmdAlpha = matrix.getTranspose(dPvAmdAlphaMatrix).getData()[0];
    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
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    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];
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    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];
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