Package com.opengamma.analytics.math.matrix

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

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        final double[] res = new double[nCaps];
        for (int i = 0; i < nCaps; i++) {
          res[i] = (modelPrices[i] - capPrices[i]) * scale[i];
        }
        return new DoubleMatrix1D(res);
      }
    };

    final Function1D<DoubleMatrix1D, DoubleMatrix2D> priceJac = new Function1D<DoubleMatrix1D, DoubleMatrix2D>() {

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    final ParametricVaRDataBundle firstOrderData = data.get(1);
    final ParametricVaRDataBundle secondOrderData = data.get(2);
    double deltaStd = 0;
    double gammaStd = 0;
    if (firstOrderData != null) {
      final DoubleMatrix1D delta = (DoubleMatrix1D) firstOrderData.getSensitivities();
      final DoubleMatrix2D deltaCovariance = firstOrderData.getCovarianceMatrix();
      deltaStd = _algebra.getInnerProduct(delta, _algebra.multiply(deltaCovariance, delta));
    }
    if (secondOrderData != null) {
      final Matrix<?> gamma = secondOrderData.getSensitivities();
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  @Override
  public Double evaluate(final Map<Integer, ParametricVaRDataBundle> data) {
    Validate.notNull(data, "data");
    Validate.isTrue(data.containsKey(1));
    final ParametricVaRDataBundle deltaData = data.get(1);
    final DoubleMatrix1D mean = deltaData.getExpectedReturn();
    final DoubleMatrix1D delta = (DoubleMatrix1D) deltaData.getSensitivities();
    return _algebra.getInnerProduct(delta, mean);
  }
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  public Double interpolate(final Interpolator1DDataBundle data, final Double value) {
    Validate.notNull(value, "value");
    Validate.notNull(data, "data bundle");
    Validate.isTrue(data instanceof Interpolator1DLogPiecewisePoynomialDataBundle);
    final Interpolator1DLogPiecewisePoynomialDataBundle polyData = (Interpolator1DLogPiecewisePoynomialDataBundle) data;
    final DoubleMatrix1D res = FUNC.evaluate(polyData.getPiecewisePolynomialResultsWithSensitivity(), value);
    return Math.exp(res.getEntry(0));
  }
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  public double firstDerivative(final Interpolator1DDataBundle data, final Double value) {
    Validate.notNull(value, "value");
    Validate.notNull(data, "data bundle");
    Validate.isTrue(data instanceof Interpolator1DLogPiecewisePoynomialDataBundle);
    final Interpolator1DLogPiecewisePoynomialDataBundle polyData = (Interpolator1DLogPiecewisePoynomialDataBundle) data;
    final DoubleMatrix1D resValue = FUNC.evaluate(polyData.getPiecewisePolynomialResultsWithSensitivity(), value);
    final DoubleMatrix1D resDerivative = FUNC.differentiate(polyData.getPiecewisePolynomialResultsWithSensitivity(), value);
    return Math.exp(resValue.getEntry(0)) * resDerivative.getEntry(0);
  }
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        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumped = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedPlus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedPlus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedMinus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedMinus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Discounting issuer
    final Set<Pair<String, Currency>> issuerCcies = issuercurves.getIssuerProvider().getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getIssuerProvider().getCurve(ic);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve icBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount providerIcBumped = new HullWhiteIssuerProviderDiscount(issuercurves.getIssuerProvider().withIssuerCurrency(ic, icBumped),
            issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getIssuerProvider().getName(ic);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    return result;
  }
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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedPlus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedMinus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedPlus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedMinus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }

    // Discounting
    final Set<Currency> ccyDiscounting = multicurve.getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketDscBumped = multicurve.withDiscountFactor(ccy, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = multicurve.getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = multicurve.getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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    Double[] result = new Double[nbInstruments];
    // Implementation note: The pv error for each instrument
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      result[loopins] = getInstruments()[loopins].accept(PVLMC, _lmmProvider).getAmount(_ccyLMM) - getPrices()[loopins];
    }
    return new DoubleMatrix1D(result);
  }
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  public Double interpolate(final Interpolator1DDataBundle data, final Double value) {
    Validate.notNull(value, "value");
    Validate.notNull(data, "data bundle");
    Validate.isTrue(data instanceof Interpolator1DPiecewisePoynomialDataBundle);
    final Interpolator1DPiecewisePoynomialDataBundle polyData = (Interpolator1DPiecewisePoynomialDataBundle) data;
    final DoubleMatrix1D res = FUNC.evaluate(polyData.getPiecewisePolynomialResultsWithSensitivity(), value);
    return res.getEntry(0);
  }
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