/// <summary>
/// Creates an instance with a sampled (parameterised) curve.
/// </summary>
/// <param name="samplePoints"> the points where we sample the curve </param>
/// <param name="curve"> a parameterised curve </param>
public ParameterizedCurveVectorFunction(double[] samplePoints, ParameterizedCurve curve)
{
ArgChecker.notEmpty(samplePoints, "samplePoints");
ArgChecker.notNull(curve, "curve");
_samplePoints = Arrays.copyOf(samplePoints, samplePoints.Length);
_curve = curve;
}
/// <summary>
/// Solves the system Ax = y for the unknown vector x, where A is a tridiagonal matrix and y is a vector.
/// This takes order n operations where n is the size of the system
/// (number of linear equations), as opposed to order n^3 for the general problem. </summary>
/// <param name="aM"> tridiagonal matrix </param>
/// <param name="b"> known vector (must be same length as rows/columns of matrix) </param>
/// <returns> vector (as an array of doubles) with same length as y </returns>
public static double[] solvTriDag(TridiagonalMatrix aM, double[] b)
{
ArgChecker.notNull(aM, "null matrix");
ArgChecker.notNull(b, "null vector");
double[] d = aM.Diagonal; //b is modified, so get copy of diagonal
int n = d.Length;
ArgChecker.isTrue(n == b.Length, "vector y wrong length for matrix");
double[] y = Arrays.copyOf(b, n);
double[] l = aM.LowerSubDiagonalData;
double[] u = aM.UpperSubDiagonalData;
double[] x = new double[n];
for (int i = 1; i < n; i++)
{
double m = l[i - 1] / d[i - 1];
d[i] = d[i] - m * u[i - 1];
y[i] = y[i] - m * y[i - 1];
}
x[n - 1] = y[n - 1] / d[n - 1];
for (int i = n - 2; i >= 0; i--)
{
x[i] = (y[i] - u[i] * x[i + 1]) / d[i];
}
return(x);
}
/// <summary>
/// Adds two matrices. This operation can only be performed if the matrices are of the same type and dimensions. </summary>
/// <param name="m1"> The first matrix, not null </param>
/// <param name="m2"> The second matrix, not null </param>
/// <returns> The sum of the two matrices </returns>
/// <exception cref="IllegalArgumentException"> If the matrices are not of the same type, if the matrices are not the same shape. </exception>
public virtual Matrix add(Matrix m1, Matrix m2)
{
ArgChecker.notNull(m1, "m1");
ArgChecker.notNull(m2, "m2");
if (m1 is DoubleArray)
{
if (m2 is DoubleArray)
{
DoubleArray array1 = (DoubleArray)m1;
DoubleArray array2 = (DoubleArray)m2;
return(array1.plus(array2));
}
throw new System.ArgumentException("Tried to add a " + m1.GetType() + " and " + m2.GetType());
}
else if (m1 is DoubleMatrix)
{
if (m2 is DoubleMatrix)
{
DoubleMatrix matrix1 = (DoubleMatrix)m1;
DoubleMatrix matrix2 = (DoubleMatrix)m2;
return(matrix1.plus(matrix2));
}
throw new System.ArgumentException("Tried to add a " + m1.GetType() + " and " + m2.GetType());
}
throw new System.NotSupportedException();
}
//-------------------------------------------------------------------------
public virtual System.Func <DoubleArray, DoubleMatrix[]> differentiate(System.Func <DoubleArray, DoubleArray> function, System.Func <DoubleArray, bool> domain)
{
ArgChecker.notNull(function, "function");
System.Func <DoubleArray, DoubleMatrix> jacFunc = vectorFieldDiff.differentiate(function, domain);
System.Func <DoubleArray, DoubleMatrix[]> hFunc = maxtrixFieldDiff.differentiate(jacFunc, domain);
return(new FuncAnonymousInnerClass2(this, hFunc));
}
/// <summary>
/// Compute $A^T A$, where A is a matrix. </summary>
/// <param name="a"> The matrix </param>
/// <returns> The result of $A^T A$ </returns>
public virtual DoubleMatrix matrixTransposeMultiplyMatrix(DoubleMatrix a)
{
ArgChecker.notNull(a, "a");
int n = a.rowCount();
int m = a.columnCount();
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] data = new double[m][m];
double[][] data = RectangularArrays.ReturnRectangularDoubleArray(m, m);
for (int i = 0; i < m; i++)
{
double sum = 0d;
for (int k = 0; k < n; k++)
{
sum += a.get(k, i) * a.get(k, i);
}
data[i][i] = sum;
for (int j = i + 1; j < m; j++)
{
sum = 0d;
for (int k = 0; k < n; k++)
{
sum += a.get(k, i) * a.get(k, j);
}
data[i][j] = sum;
data[j][i] = sum;
}
}
return(DoubleMatrix.ofUnsafe(data));
}
/// <summary>
/// Creates an instance.
/// <para>
/// If the size of the domain is very small or very large, consider re-scaling first.
/// If this value is too small, the result will most likely be dominated by noise.
/// Use around 10<sup>-5</sup> times the domain size.
///
/// </para>
/// </summary>
/// <param name="differenceType"> the differencing type to be used in calculating the gradient function </param>
/// <param name="eps"> the step size used to approximate the derivative </param>
public VectorFieldFirstOrderDifferentiator(FiniteDifferenceType differenceType, double eps)
{
ArgChecker.notNull(differenceType, "differenceType");
this.differenceType = differenceType;
this.eps = eps;
this.twoEps = 2 * eps;
}
public override DoubleMatrix apply(TridiagonalMatrix x)
{
ArgChecker.notNull(x, "x");
double[] a = x.DiagonalData;
double[] b = x.UpperSubDiagonalData;
double[] c = x.LowerSubDiagonalData;
int n = a.Length;
int i, j, k;
double[] theta = new double[n + 1];
double[] phi = new double[n];
theta[0] = 1.0;
theta[1] = a[0];
for (i = 2; i <= n; i++)
{
theta[i] = a[i - 1] * theta[i - 1] - b[i - 2] * c[i - 2] * theta[i - 2];
}
if (theta[n] == 0.0)
{
throw new MathException("Zero determinant. Cannot invert the matrix");
}
phi[n - 1] = 1.0;
phi[n - 2] = a[n - 1];
for (i = n - 3; i >= 0; i--)
{
phi[i] = a[i + 1] * phi[i + 1] - b[i + 1] * c[i + 1] * phi[i + 2];
}
double product;
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] res = new double[n][n];
double[][] res = RectangularArrays.ReturnRectangularDoubleArray(n, n);
for (j = 0; j < n; j++)
{
for (i = 0; i <= j; i++)
{
product = 1.0;
for (k = i; k < j; k++)
{
product *= b[k];
}
res[i][j] = ((i + j) % 2 == 0 ? 1 : -1) * product * theta[i] * phi[j] / theta[n];
}
for (i = j + 1; i < n; i++)
{
product = 1.0;
for (k = j; k < i; k++)
{
product *= c[k];
}
res[i][j] = ((i + j) % 2 == 0 ? 1 : -1) * product * theta[j] * phi[i] / theta[n];
}
}
return(DoubleMatrix.copyOf(res));
}
/// <summary>
/// Finds the node sensitivity.
/// </summary>
/// <param name="pp"> the <seealso cref="PiecewisePolynomialResultsWithSensitivity"/> </param>
/// <param name="xKey"> the key </param>
/// <returns> Node sensitivity value at x=xKey </returns>
public virtual DoubleArray nodeSensitivity(PiecewisePolynomialResultsWithSensitivity pp, double xKey)
{
ArgChecker.notNull(pp, "null pp");
ArgChecker.isFalse(double.IsNaN(xKey), "xKey containing NaN");
ArgChecker.isFalse(double.IsInfinity(xKey), "xKey containing Infinity");
if (pp.Dimensions > 1)
{
throw new System.NotSupportedException();
}
DoubleArray knots = pp.Knots;
int nKnots = knots.size();
int interval = FunctionUtils.getLowerBoundIndex(knots, xKey);
if (interval == nKnots - 1)
{
interval--; // there is 1 less interval that knots
}
double s = xKey - knots.get(interval);
DoubleMatrix a = pp.getCoefficientSensitivity(interval);
int nCoefs = a.rowCount();
DoubleArray res = a.row(0);
for (int i = 1; i < nCoefs; i++)
{
res = (DoubleArray)MA.scale(res, s);
res = (DoubleArray)MA.add(res, a.row(i));
}
return(res);
}
public static int[] fromTensorIndex(int index, int[] dimensions)
{
ArgChecker.notNull(dimensions, "dimensions");
int dim = dimensions.Length;
int[] res = new int[dim];
int product = 1;
int[] products = new int[dim - 1];
for (int i = 0; i < dim - 1; i++)
{
product *= dimensions[i];
products[i] = product;
}
int a = index;
for (int i = dim - 1; i > 0; i--)
{
res[i] = a / products[i - 1];
a -= res[i] * products[i - 1];
}
res[0] = a;
return(res);
}
public virtual double?[] getRoots(RealPolynomialFunction1D function)
{
ArgChecker.notNull(function, "function");
double[] coeffs = function.Coefficients;
int l = coeffs.Length - 1;
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] hessianDeref = new double[l][l];
double[][] hessianDeref = RectangularArrays.ReturnRectangularDoubleArray(l, l);
for (int i = 0; i < l; i++)
{
hessianDeref[0][i] = -coeffs[l - i - 1] / coeffs[l];
for (int j = 1; j < l; j++)
{
hessianDeref[j][i] = 0;
if (i != l - 1)
{
hessianDeref[i + 1][i] = 1;
}
}
}
RealMatrix hessian = new Array2DRowRealMatrix(hessianDeref);
double[] d = (new EigenDecomposition(hessian)).RealEigenvalues;
double?[] result = new double?[d.Length];
for (int i = 0; i < d.Length; i++)
{
result[i] = d[i];
}
return(result);
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="qr"> The result of the QR decomposition, not null </param>
public QRDecompositionCommonsResult(QRDecomposition qr)
{
ArgChecker.notNull(qr, "qr");
_q = CommonsMathWrapper.unwrap(qr.Q);
_r = CommonsMathWrapper.unwrap(qr.R);
_qTranspose = _q.transpose();
_solver = qr.Solver;
}
/// <summary>
/// Uses the parameters to create a function.
/// </summary>
/// <param name="x"> the value at which the function is to be evaluated, not null </param>
/// <returns> a function that is always evaluated at <i>x</i> for different values of the parameters </returns>
public virtual System.Func <T, U> asFunctionOfParameters(S x)
{
ArgChecker.notNull(x, "x");
return((T @params) =>
{
return ParameterizedFunction.this.evaluate(x, @params);
});
}
public override double?apply(double[] x)
{
ArgChecker.notNull(x, "x");
int n = x.Length;
ArgChecker.isTrue(n >= 2, "Need at least two points to calculate the population variance");
return(_variance.apply(x) * (n - 1) / n);
}
/// <summary>
/// Returns the quotient of two matrices $C = \frac{A}{B} = AB^{-1}$, where
/// $B^{-1}$ is the pseudo-inverse of $B$ i.e. $BB^{-1} = \mathbb{1}$. </summary>
/// <param name="m1"> The numerator matrix, not null. This matrix must be a <seealso cref="DoubleMatrix"/>. </param>
/// <param name="m2"> The denominator, not null. This matrix must be a <seealso cref="DoubleMatrix"/>. </param>
/// <returns> The result </returns>
public virtual Matrix divide(Matrix m1, Matrix m2)
{
ArgChecker.notNull(m1, "m1");
ArgChecker.notNull(m2, "m2");
ArgChecker.isTrue(m1 is DoubleMatrix, "Can only divide a 2D matrix");
ArgChecker.isTrue(m2 is DoubleMatrix, "Can only perform division with a 2D matrix");
return(multiply(m1, getInverse(m2)));
}
/// <summary>
/// Interpolate.
/// </summary>
/// <param name="xValues"> the values </param>
/// <param name="yValues"> the values </param>
/// <param name="xMatrix"> the matrix </param>
/// <returns> Values of the underlying cubic spline function at the values of x </returns>
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: public com.opengamma.strata.collect.array.DoubleMatrix interpolate(final double[] xValues, final double[] yValues, final double[][] xMatrix)
public virtual DoubleMatrix interpolate(double[] xValues, double[] yValues, double[][] xMatrix)
{
ArgChecker.notNull(xMatrix, "xMatrix");
DoubleMatrix matrix = DoubleMatrix.copyOf(xMatrix);
return(DoubleMatrix.ofArrayObjects(xMatrix.Length, xMatrix[0].Length, i => interpolate(xValues, yValues, matrix.rowArray(i))));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="base"> the base interpolator </param>
/// <param name="extrapolatorLeft"> the extrapolator for x-values on the left </param>
/// <param name="extrapolatorRight"> the extrapolator for x-values on the right </param>
protected internal AbstractBoundCurveInterpolator(AbstractBoundCurveInterpolator @base, BoundCurveExtrapolator extrapolatorLeft, BoundCurveExtrapolator extrapolatorRight)
{
this.extrapolatorLeft = ArgChecker.notNull(extrapolatorLeft, "extrapolatorLeft");
this.extrapolatorRight = ArgChecker.notNull(extrapolatorRight, "extrapolatorRight");
this.firstXValue = @base.firstXValue;
this.lastXValue = @base.lastXValue;
this.lastYValue = @base.lastYValue;
}
/// <summary>
/// Uses the parameters to create a function.
/// </summary>
/// <param name="params"> the parameters for which the function is to be evaluated, not null </param>
/// <returns> a function that can be evaluated at different <i>x</i> with the input parameters </returns>
public virtual System.Func <S, U> asFunctionOfArguments(T @params)
{
ArgChecker.notNull(@params, "params");
return((S x) =>
{
return ParameterizedFunction.this.evaluate(x, @params);
});
}
protected internal virtual void checkInputs(System.Func <double, double> f, double xLower, double xUpper)
{
ArgChecker.notNull(f, "function");
if (DoubleMath.fuzzyEquals(xLower, xUpper, ZERO))
{
throw new System.ArgumentException("Lower and upper values were not distinct");
}
}
/// <summary>
/// Tests that the inputs to the root-finder are not null, and that a root is bracketed by the bounding values.
/// </summary>
/// <param name="function"> The function, not null </param>
/// <param name="x1"> The first bound, not null </param>
/// <param name="x2"> The second bound, not null, must be greater than x1 </param>
/// <exception cref="IllegalArgumentException"> if x1 and x2 do not bracket a root </exception>
protected internal virtual void checkInputs(DoubleFunction1D function, double?x1, double?x2)
{
ArgChecker.notNull(function, "function");
ArgChecker.notNull(x1, "x1");
ArgChecker.notNull(x2, "x2");
ArgChecker.isTrue(x1 <= x2, "x1 must be less or equal to x2");
ArgChecker.isTrue(function.applyAsDouble(x1) * function.applyAsDouble(x2) <= 0, "x1 and x2 do not bracket a root");
}
/// <summary>
/// Constructor. </summary>
/// <param name="ch"> The result of the Cholesky decomposition. </param>
public CholeskyDecompositionCommonsResult(CholeskyDecomposition ch)
{
ArgChecker.notNull(ch, "Cholesky decomposition");
_determinant = ch.Determinant;
_l = CommonsMathWrapper.unwrap(ch.L);
_lt = CommonsMathWrapper.unwrap(ch.LT);
_solver = ch.Solver;
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="n"> The number of sample points to be used in the integration, not negative or zero </param>
/// <param name="generator"> The generator of weights and abscissas </param>
public GaussianQuadratureIntegrator1D(int n, QuadratureWeightAndAbscissaFunction generator)
{
ArgChecker.isTrue(n > 0, "number of intervals must be > 0");
ArgChecker.notNull(generator, "generating function");
this.size = n;
this.generator = generator;
this.quadrature = generator.generate(size);
}
/// <summary>
/// {@inheritDoc}
/// </summary>
public virtual double?integrate(System.Func <double, double> function, double?lower, double?upper)
{
ArgChecker.notNull(function, "function");
ArgChecker.notNull(lower, "lower");
ArgChecker.notNull(upper, "upper");
System.Func <double, double> integral = getIntegralFunction(function, lower, upper);
return(integrateFromPolyFunc(integral));
}
public virtual LUDecompositionResult apply(DoubleMatrix x)
{
ArgChecker.notNull(x, "x");
RealMatrix temp = CommonsMathWrapper.wrap(x);
LUDecomposition lu = new LUDecomposition(temp);
return(new LUDecompositionCommonsResult(lu));
}
/// <param name="abscissas"> An array containing the abscissas, not null </param>
/// <param name="weights"> An array containing the weights, not null, must be the same length as the abscissa array </param>
public GaussianQuadratureData(double[] abscissas, double[] weights)
{
ArgChecker.notNull(abscissas, "abscissas");
ArgChecker.notNull(weights, "weights");
ArgChecker.isTrue(abscissas.Length == weights.Length, "Abscissa and weight arrays must be the same length");
_weights = weights;
_abscissas = abscissas;
}
public virtual SVDecompositionResult apply(DoubleMatrix x)
{
ArgChecker.notNull(x, "x");
MatrixValidate.notNaNOrInfinite(x);
RealMatrix commonsMatrix = CommonsMathWrapper.wrap(x);
SingularValueDecomposition svd = new SingularValueDecomposition(commonsMatrix);
return(new SVDecompositionCommonsResult(svd));
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="cmsParams"> the CMS parameters </param>
internal CmsMeasureCalculations(CmsSabrExtrapolationParams cmsParams)
{
SabrExtrapolationReplicationCmsPeriodPricer periodPricer = SabrExtrapolationReplicationCmsPeriodPricer.of(cmsParams.CutOffStrike, cmsParams.Mu);
SabrExtrapolationReplicationCmsLegPricer legPricer = new SabrExtrapolationReplicationCmsLegPricer(periodPricer);
SabrExtrapolationReplicationCmsProductPricer productPricer = new SabrExtrapolationReplicationCmsProductPricer(legPricer);
SabrExtrapolationReplicationCmsTradePricer tradePricer = new SabrExtrapolationReplicationCmsTradePricer(productPricer);
this.tradePricer = ArgChecker.notNull(tradePricer, "tradePricer");
}
/// <summary>
/// Interpolate.
/// </summary>
/// <param name="xValues"> X values of data </param>
/// <param name="yValues"> Y values of data </param>
/// <param name="xKeys"> the keys </param>
/// <returns> Values of the underlying cubic spline function at the values of x </returns>
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: public com.opengamma.strata.collect.array.DoubleArray interpolate(final double[] xValues, final double[] yValues, final double[] xKeys)
public virtual DoubleArray interpolate(double[] xValues, double[] yValues, double[] xKeys)
{
ArgChecker.notNull(xKeys, "xKeys");
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int keyLength = xKeys.length;
int keyLength = xKeys.Length;
for (int i = 0; i < keyLength; ++i)
{
ArgChecker.isFalse(double.IsNaN(xKeys[i]), "xKeys containing NaN");
ArgChecker.isFalse(double.IsInfinity(xKeys[i]), "xKeys containing Infinity");
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final PiecewisePolynomialResult result = this.interpolate(xValues, yValues);
PiecewisePolynomialResult result = this.interpolate(xValues, yValues);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray knots = result.getKnots();
DoubleArray knots = result.Knots;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nKnots = knots.size();
int nKnots = knots.size();
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix coefMatrix = result.getCoefMatrix();
DoubleMatrix coefMatrix = result.CoefMatrix;
double[] res = new double[keyLength];
for (int j = 0; j < keyLength; ++j)
{
int indicator = 0;
if (xKeys[j] < knots.get(1))
{
indicator = 0;
}
else
{
for (int i = 1; i < nKnots - 1; ++i)
{
if (knots.get(i) <= xKeys[j])
{
indicator = i;
}
}
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray coefs = coefMatrix.row(indicator);
DoubleArray coefs = coefMatrix.row(indicator);
res[j] = getValue(coefs, xKeys[j], knots.get(indicator));
ArgChecker.isFalse(double.IsInfinity(res[j]), "Too large input");
ArgChecker.isFalse(double.IsNaN(res[j]), "Too large input");
}
return(DoubleArray.copyOf(res));
}
//-------------------------------------------------------------------------
public virtual System.Func <DoubleArray, DoubleMatrix> differentiate(System.Func <DoubleArray, DoubleArray> function, System.Func <DoubleArray, bool> domain)
{
ArgChecker.notNull(function, "function");
ArgChecker.notNull(domain, "domain");
double[] wFwd = new double[] { -3.0, 4.0, -1.0 };
double[] wCent = new double[] { -1.0, 0.0, 1.0 };
double[] wBack = new double[] { 1.0, -4.0, 3.0 };
return(new FuncAnonymousInnerClass4(this, function, domain, wFwd, wCent, wBack));
}
/// <summary>
/// Interpolate.
/// </summary>
/// <param name="xValues"> the values </param>
/// <param name="yValuesMatrix"> the matrix </param>
/// <param name="x"> the s </param>
/// <returns> Values of the underlying cubic spline functions interpolating {yValuesMatrix.RowVectors} at the values of x </returns>
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: public com.opengamma.strata.collect.array.DoubleMatrix interpolate(final double[] xValues, final double[][] yValuesMatrix, final double[] x)
public virtual DoubleMatrix interpolate(double[] xValues, double[][] yValuesMatrix, double[] x)
{
ArgChecker.notNull(x, "x");
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix matrix = com.opengamma.strata.collect.array.DoubleMatrix.copyOf(yValuesMatrix);
DoubleMatrix matrix = DoubleMatrix.copyOf(yValuesMatrix);
return(DoubleMatrix.ofArrayObjects(yValuesMatrix.Length, x.Length, i => interpolate(xValues, matrix.rowArray(i), x)));
}
public override double?apply(double?x)
{
ArgChecker.notNull(x, "x");
ArgChecker.notNegative(x, "x");
if (DoubleMath.fuzzyEquals(x, 0.5, 1e-14))
{
return(0.5);
}
return(_dist.getInverseCDF(x.Value));
}
