Package com.opengamma.analytics.financial.curve.interestrate.generator

Examples of com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve

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  public IssuerProviderDiscount evaluate(DoubleMatrix1D x) {
    IssuerProviderDiscount provider = _knownData.copy();
    Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (String name : nameSet) {
      GeneratorYDCurve gen = _generatorsMap.get(name);
      double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
      indexParam += gen.getNumberOfParameter();
      YieldAndDiscountCurve curve = gen.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
      if (_discountingMap.containsKey(name)) {
        provider.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        IborIndex[] indexes = _forwardIborMap.get(name);
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], withToday);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
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        final double[] rates = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], withToday);
          rates[k] = initialRateGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        final double[] initialGuess = generator.initialGuess(rates);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
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        final double[] rates = new double[nInstruments];
        for(int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], withToday);
          rates[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        final double[] initialGuess = generator.initialGuess(rates);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], i, withToday);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, DSC_ISS_MAP, calculator,
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        final double[] initialGuess = new double[nInstruments];
        for(int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], i, withToday);
          initialGuess[k] = initialGuess();
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], withToday);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
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        final double[] rates = new double[nInstruments];
        for(int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], withToday);
          rates[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        final double[] initialGuess = generator.initialGuess(rates);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
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        final double[] rates = new double[nInstruments];
        for(int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], i, withToday);
          rates[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        final double[] initialGuess = generator.initialGuess(rates);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator, sensitivityCalculator);
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k], i, withToday);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorYDCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_IBOR_MAP, FWD_ON_MAP, calculator,
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