Package com.opengamma.analytics.math.matrix

Examples of com.opengamma.analytics.math.matrix.CommonsMatrixAlgebra.multiply()

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      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);
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      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);
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    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];
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    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];
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    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
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    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();
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      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);
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      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);
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    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];
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    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];
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