Package com.opengamma.analytics.math.matrix

Examples of com.opengamma.analytics.math.matrix.DoubleMatrix1D

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    final double[] guessArray = new double[nMats];
    for (int i = 0; i < nMats; i++) {
      guessArray[i] = 0.01;
    }
    final DoubleMatrix1D guess = new DoubleMatrix1D(guessArray);
  }
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      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);
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      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);
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    return new MultivariateRealFunction() {

      @Override
      public double value(final double[] point) throws FunctionEvaluationException, IllegalArgumentException {

        return f.evaluate(new DoubleMatrix1D(point));
      }
    };
  }
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   * @param x A Commons vector, not null
   * @return An OG 1-D matrix of doubles
   */
  public static DoubleMatrix1D unwrap(final RealVector x) {
    Validate.notNull(x);
    return new DoubleMatrix1D(x.getData());
  }
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    final Double[] result = new Double[nbInstruments];
    // Implementation note: The pv error for each instrument
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      result[loopins] = METHOD_LMM_SWAPTION.presentValue((SwaptionPhysicalFixedIbor) getInstruments()[loopins], _lmmBundle).getAmount() - getPrices()[loopins];
    }
    return new DoubleMatrix1D(result);
  }
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  public CapletStrippingSingleStrikeResult solveForPrices(final double[] capPrices) {
    checkPrices(capPrices);

    final MultiCapFloorPricer pricer = getPricer();
    final double[] capVols = pricer.impliedVols(capPrices);
    final DoubleMatrix1D fitValues = solveForPrice(capPrices, new DoubleMatrix1D(capVols));
    return new CapletStrippingSingleStrikeResult(0.0, fitValues, _volModel.evaluate(fitValues), new DoubleMatrix1D(capPrices));
  }
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  @Override
  public CapletStrippingSingleStrikeResult solveForVol(final double[] capVols) {
    checkVols(capVols);
    final MultiCapFloorPricer pricer = getPricer();
    final double[] capPrices = pricer.price(capVols);
    final DoubleMatrix1D fitValues = solveForPrice(capPrices, new DoubleMatrix1D(capVols));

    return new CapletStrippingSingleStrikeResult(0.0, fitValues, _volModel.evaluate(fitValues), new DoubleMatrix1D(capVols));
  }
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  @Override
  public CapletStrippingSingleStrikeResult solveForVol(final double[] capVols, final double[] errors, final boolean solveViaPrice) {
    if (solveViaPrice) {
      return solveForVol(capVols);
    }
    final DoubleMatrix1D fitValues = solveForVolDirect(capVols);
    return new CapletStrippingSingleStrikeResult(0.0, fitValues, _volModel.evaluate(fitValues), new DoubleMatrix1D(capVols));
  }
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        final double[] modelVols = pricer.impliedVols(vol);
        final double[] res = new double[nCaps];
        for (int i = 0; i < nCaps; i++) {
          res[i] = (modelVols[i] - capVols[i]);
        }
        return new DoubleMatrix1D(res);
      }
    };

    final DoubleMatrix1D root = ROOTFINDER.getRoot(volDiffFunc, new DoubleMatrix1D(capVols));
    return root;
  }
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