//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testRecoverOrginal()
public virtual void testRecoverOrginal()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.matrix.MatrixAlgebra algebra = getAlgebra();
MatrixAlgebra algebra = Algebra;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.linearalgebra.DecompositionResult result = getSVD().apply(A);
DecompositionResult result = SVD.apply(A);
assertTrue(result is SVDecompositionResult);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final SVDecompositionResult svd_result = (SVDecompositionResult) result;
SVDecompositionResult svd_result = (SVDecompositionResult)result;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix u = svd_result.getU();
DoubleMatrix u = svd_result.U;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix w = com.opengamma.strata.collect.array.DoubleMatrix.diagonal(com.opengamma.strata.collect.array.DoubleArray.copyOf(svd_result.getSingularValues()));
DoubleMatrix w = DoubleMatrix.diagonal(DoubleArray.copyOf(svd_result.SingularValues));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix vt = svd_result.getVT();
DoubleMatrix vt = svd_result.VT;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix a = (com.opengamma.strata.collect.array.DoubleMatrix) algebra.multiply(algebra.multiply(u, w), vt);
DoubleMatrix a = (DoubleMatrix)algebra.multiply(algebra.multiply(u, w), vt);
checkEquals(A, a);
}
/// <summary>
/// Tests A = L L^T.
/// </summary>
public virtual void recoverOrginal()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final CholeskyDecompositionResult result = CDOG.apply(A3);
CholeskyDecompositionResult result = CDOG.apply(A3);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix a = (com.opengamma.strata.collect.array.DoubleMatrix) ALGEBRA.multiply(result.getL(), result.getLT());
DoubleMatrix a = (DoubleMatrix)ALGEBRA.multiply(result.L, result.LT);
checkEquals(A3, a);
}
public virtual void test_sensitivity_LegalEntityDiscountingProvider()
{
CurrencyParameterSensitivities computed = CALC.sensitivity(PARAMETER_SENSITIVITIES, PROVIDER);
assertEquals(computed.Sensitivities.size(), 4);
DoubleArray expected11 = (DoubleArray)MATRIX_ALGEBRA.multiply(SENSI_1, DoubleMatrix.copyOf(MATRIX_11));
DoubleArray expected12 = (DoubleArray)MATRIX_ALGEBRA.multiply(SENSI_1, DoubleMatrix.copyOf(MATRIX_12));
DoubleArray expected21 = (DoubleArray)MATRIX_ALGEBRA.multiply(SENSI_2, DoubleMatrix.copyOf(MATRIX_21));
DoubleArray expected22 = (DoubleArray)MATRIX_ALGEBRA.multiply(SENSI_2, DoubleMatrix.copyOf(MATRIX_22));
assertTrue(computed.getSensitivity(CURVE_NAME_1, USD).Sensitivity.equalWithTolerance(expected11, TOL));
assertTrue(computed.getSensitivity(CURVE_NAME_1, GBP).Sensitivity.equalWithTolerance(expected21, TOL));
assertTrue(computed.getSensitivity(CURVE_NAME_2, USD).Sensitivity.equalWithTolerance(expected12, TOL));
assertTrue(computed.getSensitivity(CURVE_NAME_2, GBP).Sensitivity.equalWithTolerance(expected22, TOL));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testInvert()
public virtual void testInvert()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.matrix.MatrixAlgebra algebra = getAlgebra();
MatrixAlgebra algebra = Algebra;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final SVDecompositionResult result = getSVD().apply(A);
SVDecompositionResult result = SVD.apply(A);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix ut = result.getUT();
DoubleMatrix ut = result.UT;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix v = result.getV();
DoubleMatrix v = result.V;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] sv = result.getSingularValues();
double[] sv = result.SingularValues;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int n = sv.length;
int n = sv.Length;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] svinv = new double[n];
double[] svinv = new double[n];
for (int i = 0; i < n; i++)
{
if (sv[i] == 0.0)
{
svinv[i] = 0.0;
}
else
{
svinv[i] = 1.0 / sv[i];
}
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix winv = com.opengamma.strata.collect.array.DoubleMatrix.diagonal(com.opengamma.strata.collect.array.DoubleArray.copyOf(svinv));
DoubleMatrix winv = DoubleMatrix.diagonal(DoubleArray.copyOf(svinv));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix ainv = (com.opengamma.strata.collect.array.DoubleMatrix) algebra.multiply(algebra.multiply(v, winv), ut);
DoubleMatrix ainv = (DoubleMatrix)algebra.multiply(algebra.multiply(v, winv), ut);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix identity = (com.opengamma.strata.collect.array.DoubleMatrix) algebra.multiply(A, ainv);
DoubleMatrix identity = (DoubleMatrix)algebra.multiply(A, ainv);
checkIdentity(identity);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testRecoverOrginal()
public virtual void testRecoverOrginal()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.linearalgebra.DecompositionResult result = LU.apply(A);
DecompositionResult result = LU.apply(A);
assertTrue(result is LUDecompositionResult);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final LUDecompositionResult lu = (LUDecompositionResult) result;
LUDecompositionResult lu = (LUDecompositionResult)result;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix a = (com.opengamma.strata.collect.array.DoubleMatrix) ALGEBRA.multiply(lu.getL(), lu.getU());
DoubleMatrix a = (DoubleMatrix)ALGEBRA.multiply(lu.L, lu.U);
checkEquals((DoubleMatrix)ALGEBRA.multiply(lu.P, A), a);
}
public virtual DoubleMatrix getUpdatedMatrix(System.Func <DoubleArray, DoubleMatrix> g, DoubleArray x, DoubleArray deltaX, DoubleArray deltaY, DoubleMatrix matrix)
{
ArgChecker.notNull(deltaX, "deltaX");
ArgChecker.notNull(deltaY, "deltaY");
ArgChecker.notNull(matrix, "matrix");
DoubleArray v1 = (DoubleArray)_algebra.multiply(deltaX, matrix);
double length = _algebra.getInnerProduct(v1, deltaY);
if (length == 0)
{
return(matrix);
}
v1 = (DoubleArray)_algebra.scale(v1, 1.0 / length);
DoubleArray v2 = (DoubleArray)_algebra.subtract(deltaX, _algebra.multiply(matrix, deltaY));
DoubleMatrix m = _algebra.getOuterProduct(v2, v1);
return((DoubleMatrix)_algebra.add(matrix, m));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
const int n = 97;
double[] a = new double[n - 1];
double[] b = new double[n];
double[] c = new double[n - 1];
double[] x = new double[n];
for (int ii = 0; ii < n; ii++)
{
b[ii] = RANDOM.nextRandom();
x[ii] = RANDOM.nextRandom();
if (ii < n - 1)
{
a[ii] = RANDOM.nextRandom();
c[ii] = RANDOM.nextRandom();
}
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TridiagonalMatrix m = new TridiagonalMatrix(b, a, c);
TridiagonalMatrix m = new TridiagonalMatrix(b, a, c);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray xVec = com.opengamma.strata.collect.array.DoubleArray.copyOf(x);
DoubleArray xVec = DoubleArray.copyOf(x);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray yVec = (com.opengamma.strata.collect.array.DoubleArray) MA.multiply(m, xVec);
DoubleArray yVec = (DoubleArray)MA.multiply(m, xVec);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xSolv = solvTriDag(m, yVec).toArray();
double[] xSolv = solvTriDag(m, yVec).toArray();
for (int i = 0; i < n; i++)
{
assertEquals(x[i], xSolv[i], 1e-9);
}
DoubleArray resi = (DoubleArray)MA.subtract(MA.multiply(m, DoubleArray.copyOf(xSolv)), yVec);
double err = MA.getNorm2(resi);
assertEquals(0.0, err, 1e-14);
}
public virtual void test()
{
DoubleMatrix m1 = ESTIMATE.getInitializedMatrix(J, X);
DoubleMatrix m2 = J.apply(X);
DoubleMatrix m3 = (DoubleMatrix)(ALGEBRA.multiply(m1, m2));
DoubleMatrix identity = DoubleMatrix.identity(2);
for (int i = 0; i < 2; i++)
{
for (int j = 0; j < 2; j++)
{
assertEquals(m3.get(i, j), identity.get(i, j), 1e-6);
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testRecoverOrginal()
public virtual void testRecoverOrginal()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.linearalgebra.DecompositionResult result = CH.apply(A);
DecompositionResult result = CH.apply(A);
assertTrue(result is CholeskyDecompositionResult);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final CholeskyDecompositionResult ch = (CholeskyDecompositionResult) result;
CholeskyDecompositionResult ch = (CholeskyDecompositionResult)result;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix a = (com.opengamma.strata.collect.array.DoubleMatrix) ALGEBRA.multiply(ch.getL(), ch.getLT());
DoubleMatrix a = (DoubleMatrix)ALGEBRA.multiply(ch.L, ch.LT);
checkEquals(A, a);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testRecoverOrginal()
public virtual void testRecoverOrginal()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.linearalgebra.DecompositionResult result = QR.apply(A);
DecompositionResult result = QR.apply(A);
assertTrue(result is QRDecompositionResult);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final QRDecompositionResult qr = (QRDecompositionResult) result;
QRDecompositionResult qr = (QRDecompositionResult)result;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix q = qr.getQ();
DoubleMatrix q = qr.Q;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix r = qr.getR();
DoubleMatrix r = qr.R;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix a = (com.opengamma.strata.collect.array.DoubleMatrix) ALGEBRA.multiply(q, r);
DoubleMatrix a = (DoubleMatrix)ALGEBRA.multiply(q, r);
checkEquals(A, a);
}
public virtual DoubleArray getDirection(DoubleMatrix estimate, DoubleArray y)
{
ArgChecker.notNull(estimate, "estimate");
ArgChecker.notNull(y, "y");
return((DoubleArray)_algebra.multiply(estimate, y));
}
private void setModelParameterSensitivityToData()
{
DoubleMatrix invJac = _transform.inverseJacobian(FitParameters);
_inverseJacobianModelPararms = (DoubleMatrix)MA.multiply(invJac, FittingParameterSensitivityToData);
}
