com.opengamma.strata.market.curve

Class JacobianCalibrationMatrix

java.lang.Object

com.opengamma.strata.market.curve.JacobianCalibrationMatrix

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class JacobianCalibrationMatrix
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Jacobian matrix information produced during curve calibration.

The inverse Jacobian matrix produced using curve calibration is stored here. The information is used to calculate market quote sensitivity.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	JacobianCalibrationMatrix.Meta The meta-bean for JacobianCalibrationMatrix.

Method Summary

Modifier and Type	Method and Description
boolean	containsCurve(CurveName name) Checks if this info contains the specified curve.
boolean	equals(Object obj)
int	getCurveCount() Gets the total number of curves.
DoubleMatrix	getJacobianMatrix() Gets the inverse Jacobian matrix produced during curve calibration.
ImmutableList<CurveParameterSize>	getOrder() Gets the curve order.
int	getTotalParameterCount() Gets the total number of parameters.
int	hashCode()
static JacobianCalibrationMatrix.Meta	meta() The meta-bean for JacobianCalibrationMatrix.
JacobianCalibrationMatrix.Meta	metaBean()
static JacobianCalibrationMatrix	of(List<CurveParameterSize> order, DoubleMatrix jacobianMatrix) Obtains an instance from the curve order and Jacobian matrix.
Map<CurveName,DoubleArray>	splitValues(DoubleArray array) Splits the array according to the curve order.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static JacobianCalibrationMatrix of(List<CurveParameterSize> order,
                                           DoubleMatrix jacobianMatrix)

Obtains an instance from the curve order and Jacobian matrix.

This creates an instance from the inverse Jacobian matrix produced during curve calibration. This is the derivative of the curve parameters with respect to the market quotes. The curve order defines the order of the curves during calibration, which can be used as a key to interpret the matrix.

Parameters:

order - the order of the curves during calibration

jacobianMatrix - the inverse Jacobian matrix produced during curve calibration

Returns:

the info

getCurveCount

public int getCurveCount()

Gets the total number of curves.

Returns:

the number of curves

getTotalParameterCount

public int getTotalParameterCount()

Gets the total number of parameters.

Returns:

the number of curves

containsCurve

public boolean containsCurve(CurveName name)

Checks if this info contains the specified curve.

Parameters:

name - the curve to find

Returns:

true if the curve is matched

splitValues

public Map<CurveName,DoubleArray> splitValues(DoubleArray array)

Splits the array according to the curve order.

The input array must be of the same size as the total number of parameters. The result consists of a map of arrays, where each array is the appropriate section of the input array as defined by the curve order.

Parameters:

array - the array to split

Returns:

a map splitting the array by curve name

meta

public static JacobianCalibrationMatrix.Meta meta()

The meta-bean for JacobianCalibrationMatrix.

Returns:

the meta-bean, not null

metaBean

public JacobianCalibrationMatrix.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getOrder

public ImmutableList<CurveParameterSize> getOrder()

Gets the curve order. This defines the order of the curves during calibration, which can be used as a key to interpret the Jacobian matrix.

Returns:

the value of the property, not null

getJacobianMatrix

public DoubleMatrix getJacobianMatrix()

Gets the inverse Jacobian matrix produced during curve calibration. This is the derivative of the curve parameters with respect to the market quotes.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object