Examples of LUDecompositionCommons

com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons
ns.apache.org/math/api-2.1/org/apache/commons/math/linear/LUDecompositionImpl.html">Commons Math library implementation of LU decomposition.

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

    assertTrue(chiSqDoF < 3.0);


    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);

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

      final ISDACompliantCreditCurve creditCurve) {
    ArgumentChecker.notNull(cds, "cds");
    ArgumentChecker.noNulls(bucketCDSs, "bucketCDSs");
    ArgumentChecker.notNull(creditCurve, "creditCurve");
    ArgumentChecker.notNull(yieldCurve, "yieldCurve");
    final LUDecompositionCommons decomp = new LUDecompositionCommons();
    final int n = bucketCDSs.length;
    final double[] temp = new double[n];
    final double[][] res = new double[n][n];
    for (int i = 0; i < n; i++) {
      temp[i] = _pricer.pvCreditSensitivity(cds, yieldCurve, creditCurve, cdsCoupon, i);
      for (int j = 0; j < n; j++) {
        res[j][i] = _pricer.parSpreadCreditSensitivity(bucketCDSs[i], yieldCurve, creditCurve, j);
      }
    }
    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();
  }

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

    ArgumentChecker.noNulls(bucketCDSs, "bucketCDSs");
    ArgumentChecker.notNull(creditCurve, "creditCurve");
    ArgumentChecker.notNull(yieldCurve, "yieldCurve");
    final int m = cds.length;
    ArgumentChecker.isTrue(m == cdsCoupon.length, m + " CDSs but " + cdsCoupon.length + " coupons");
    final LUDecompositionCommons decomp = new LUDecompositionCommons();
    final int n = bucketCDSs.length;
    final DoubleMatrix2D jacT = new DoubleMatrix2D(n, n);
    for (int i = 0; i < n; i++) {
      for (int j = 0; j < n; j++) {
        jacT.getData()[j][i] = _pricer.parSpreadCreditSensitivity(bucketCDSs[i], yieldCurve, creditCurve, j);
      }
    }


    final double[] vLambda = new double[n];
    final double[][] res = new double[m][];
    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);

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

    if (print) {
      System.out.println(dVdH);
      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);

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

        res[j][i] = sense;
      }
    }
    final DoubleMatrix2D jacT = new DoubleMatrix2D(res);
    //  System.out.println(jacT.toString());
    final LUDecompositionCommons decomp = new LUDecompositionCommons();
    final LUDecompositionResult luRes = decomp.evaluate(jacT);


    out.append("\\begin{tabular}{");
    for (int i = 0; i < nPillars + 1; i++) {
      out.append("c|");
    }

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

    System.out.println(dumpLatexTable("Tenors", "Calculation Method", columnHeadings, rowHeadings, data, 5));
  }


  @Test(enabled = false)
  public void spreadHedgeTest() {
    final LUDecompositionCommons decomp = new LUDecompositionCommons();
    final int nPillars = PILLAR_CDSS.length;
    final double[] coupons = new double[nPillars];
    Arrays.fill(coupons, COUPON);
    final double[][] temp = SPREAD_SENCE_CAL.analyticCS01FromCreditCurve(PILLAR_CDSS, coupons, PILLAR_CDSS, YIELD_CURVE, CREDIT_CURVE);
    final DoubleMatrix2D jacT = MA.getTranspose(new DoubleMatrix2D(temp));
    //System.out.println(jac);
    final LUDecompositionResult decRes = decomp.evaluate(jacT);


    final int nMat = MATURITIES_6M_STEP.length;


    final double[][] res = new double[nMat][];
    final CDSAnalytic[] cds = CDS_FACTORY.makeCDS(TRADE_DATE, STARTDATE, MATURITIES_6M_STEP);

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

  public NewtonDefaultVectorRootFinder() {
    this(DEF_TOL, DEF_TOL, MAX_STEPS);
  }


  public NewtonDefaultVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps) {
    this(absoluteTol, relativeTol, maxSteps, new LUDecompositionCommons());
  }

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

  public BroydenVectorRootFinder() {
    this(DEF_TOL, DEF_TOL, MAX_STEPS);
  }


  public BroydenVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps) {
    this(absoluteTol, relativeTol, maxSteps, new LUDecompositionCommons());
  }

View Full Code Here

Examples of com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons

  public ShermanMorrisonVectorRootFinder() {
    this(DEF_TOL, DEF_TOL, MAX_STEPS);
  }


  public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps) {
    this(absoluteTol, relativeTol, maxSteps, new LUDecompositionCommons());
  }

View Full Code Here

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.