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

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

168
169
170
171
172
173
174
175
176
177
178
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        System.arraycopy(instruments[loopunit][loopcurve], 0, instrumentsUnit, startCurve[loopcurve], nbIns[loopcurve]);
      }
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        final GeneratorYDCurve tmp = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
        gen.put(curveNames[loopunit][loopcurve], tmp);
        generatorsSoFar.put(curveNames[loopunit][loopcurve], tmp);
        unitMap.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(startUnit + startCurve[loopcurve], nbIns[loopcurve]));
      }
      final Pair<YieldCurveBundle, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess[loopunit], gen, knownSoFarData, calculator, sensitivityCalculator);
View Full Code Here
67
68
69
70
71
72
73
74
75
76
77
78
79
  public YieldCurveBundle evaluate(final DoubleMatrix1D x) {
    final YieldCurveBundle bundle = _knownData.copy();
    final Set<String> names = _curveGenerators.keySet();
    int index = 0;
    for (final String name : names) {
      final GeneratorYDCurve gen = _curveGenerators.get(name);
      final double[] paramCurve = Arrays.copyOfRange(x.getData(), index, index + gen.getNumberOfParameter());
      index += gen.getNumberOfParameter();
      final YieldAndDiscountCurve newCurve = gen.generateCurve(name, bundle, paramCurve);
      bundle.setCurve(name, newCurve);
    }
    return bundle;
  }
View Full Code Here
85
86
87
88
89
90
91
92
93
94
95
96
97
98
  public HullWhiteOneFactorProviderDiscount evaluate(DoubleMatrix1D x) {
    HullWhiteOneFactorProviderDiscount 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, paramCurve);
      if (_discountingMap.containsKey(name)) {
        provider.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        IborIndex[] indexes = _forwardIborMap.get(name);
View Full Code Here
196
197
198
199
200
201
202
203
204
205
206
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorYDCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        gen.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
View Full Code Here
86
87
88
89
90
91
92
93
94
95
96
97
98
99
  public MulticurveProviderDiscount evaluate(DoubleMatrix1D x) {
    MulticurveProviderDiscount 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, paramCurve);
      if (_discountingMap.containsKey(name)) {
        provider.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        IborIndex[] indexes = _forwardIborMap.get(name);
View Full Code Here
87
88
89
90
91
92
93
94
95
96
97
98
99
100
  public MulticurveProviderForward evaluate(final DoubleMatrix1D x) {
    final MulticurveProviderForward bundle = _knownData.copy();
    final Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (final String name : nameSet) {
      final GeneratorYDCurve gen = _generatorsMap.get(name);
      final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
      indexParam += gen.getNumberOfParameter();
      final YieldAndDiscountCurve curve = gen.generateCurve(name, bundle, paramCurve);
      if (_discountingMap.containsKey(name)) {
        bundle.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardONMap.containsKey(name)) {
        bundle.setCurve(_forwardONMap.get(name), curve);
View Full Code Here
185
186
187
188
189
190
191
192
193
194
195
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        System.arraycopy(instruments[loopunit][loopcurve], 0, instrumentsUnit, startCurve[loopcurve], nbIns[loopcurve]);
      }
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        final GeneratorYDCurve tmp = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
        gen.put(curveNames[loopunit][loopcurve], tmp);
        generatorsSoFar.put(curveNames[loopunit][loopcurve], tmp);
        unitMap.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(startUnit + startCurve[loopcurve], nbIns[loopcurve]));
      }
      final Pair<MulticurveProviderForward, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess[loopunit], knownSoFarData, discountingMap, forwardIborMap, forwardONMap, gen, calculator,
View Full Code Here
198
199
200
201
202
203
204
205
206
207
208
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorYDCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        gen.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
View Full Code Here
268
269
270
271
272
273
274
275
276
277
278
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorYDCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        gen.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
View Full Code Here
115
116
117
118
119
120
121
122
123
124
125
126
      final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + generator.getNumberOfParameter());
      indexParam += generator.getNumberOfParameter();

      if (generator instanceof GeneratorYDCurve) {
        final GeneratorYDCurve discountGenerator = (GeneratorYDCurve) generator;
        final YieldAndDiscountCurve curve = discountGenerator.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
        if (_discountingMap.containsKey(name)) {
          provider.getMulticurveProvider().setCurve(_discountingMap.get(name), curve);
        }
        if (_forwardONMap.containsKey(name)) {
          final IndexON[] indexes = _forwardONMap.get(name);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve

  • com.opengamma.analytics.financial.curve.interestrate.building.CurveBuildingFunction
  • com.opengamma.analytics.financial.curve.interestrate.building.CurveBuildingGeneratorFunction
  • com.opengamma.analytics.financial.provider.curve.hullwhite.GeneratorHullWhiteProviderDiscount
  • com.opengamma.analytics.financial.provider.curve.hullwhite.HullWhiteProviderDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.inflation.GeneratorInflationProviderDiscount
  • com.opengamma.analytics.financial.provider.curve.InflationBuildingCurveWithTIPSAndBILLSTestUS
  • com.opengamma.analytics.financial.provider.curve.issuer.GeneratorIssuerProviderDiscount
  • com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.GeneratorMulticurveProviderDiscount
  • com.opengamma.analytics.financial.provider.curve.multicurve.GeneratorMulticurveProviderForward
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.