Class 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.

Serialized Form
• Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  JacobianCalibrationMatrix.Meta
The meta-bean for JacobianCalibrationMatrix.
• Method Summary

All Methods
Modifier and Type Method 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