OpenGamma/OG-Platform — pull request #13 by stuartarchibald (2014-03-28 13:02:13+00:00)
Title: Mat-310. Integrate OG-Maths native code into OG-Analytics.

This PR contains code which demonstrates three of the most fundamental OG-Maths node types (Unary, Binary, Select) working and integrating correctly in OG-Platform's OG-Analytics project. It:
* Rewires `getNorm2()` in the `OGMatrixAlgebra` class to use the OG-Maths native variant Unary `NORM2` node.
* Rewires `multiply()` in the `OGMatrixAlgebra` class to use the OG-Maths native variant Binary `MTIMES` node.
* Creates a new `SVDecompositionOG` class to provide an OG-Maths backed SVD implementation using the Unary `SVD` and Select `SELECTRESULT` nodes.
* Changes all instances of SVD calls such that they now use the `SVDecompositionOG` class.
* Edits unit tests that contain SVD operations on rank deficient matrices such that they now are essentially regression tests with answers hardcoded from the industry standard LAPACK library.

Whilst reviewing, please be mindful that this is work in progress and some interfaces/code are added purely for convenience.

The code builds and passes all tests against mainline in the OG-Maths project on all operating systems:
BB Pass: [http://devmaths-lx-1:8011/builders/platform_nyqwk2-testing/builds/20](http://devmaths-lx-1:8011/builders/platform_nyqwk2-testing/builds/20)