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

Examples of com.opengamma.analytics.financial.curve.interestrate.sensitivity.ParameterUnderlyingSensitivityCalculator

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  public Pair<YieldCurveBundle, Double[]> makeUnit(final InstrumentDerivative[] instruments, final double[] initGuess, final LinkedHashMap<String, GeneratorYDCurve> curveGenerators,
      final YieldCurveBundle knownData,
      final InstrumentDerivativeVisitor<YieldCurveBundle, Double> calculator, final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator) {
    final MultipleYieldCurveFinderGeneratorDataBundle data = new MultipleYieldCurveFinderGeneratorDataBundle(instruments, knownData, curveGenerators);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderGeneratorFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderGeneratorJacobian(new ParameterUnderlyingSensitivityCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final YieldCurveBundle newCurves = data.getBuildingFunction().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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   */
  public DoubleMatrix2D[] makeCurveMatrix(final InstrumentDerivative[] instruments, final LinkedHashMap<String, GeneratorYDCurve> curveGenerators, final int startBlock, final int[] nbParameters,
      final Double[] parameters,
      final YieldCurveBundle knownData, final InstrumentDerivativeVisitor<YieldCurveBundle, InterestRateCurveSensitivity> sensitivityCalculator) {
    final MultipleYieldCurveFinderGeneratorDataBundle data = new MultipleYieldCurveFinderGeneratorDataBundle(instruments, knownData, curveGenerators);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderGeneratorJacobian(new ParameterUnderlyingSensitivityCalculator(sensitivityCalculator), data);
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
    int startCurve = 0;
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    PresentValueNodeSensitivityCalculator.using(null);
  }

  @Test
  public void testObject() {
    final ParameterUnderlyingSensitivityCalculator other = new ParameterUnderlyingSensitivityCalculator(SENSITIVITY_IRS_CALCULATOR);
    assertEquals(PARAMETER_UNDERLYING_CALCULATOR, other);
    assertEquals(PARAMETER_UNDERLYING_CALCULATOR.hashCode(), other.hashCode());
  }
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Related Classes of com.opengamma.analytics.financial.curve.interestrate.sensitivity.ParameterUnderlyingSensitivityCalculator

  • com.opengamma.analytics.financial.curve.interestrate.building.CurveBuildingFunction
  • com.opengamma.analytics.financial.curve.PresentValueParameterUnderlyingSensitivityCalculatorTest
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve
  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
  • it.unimi.dsi.fastutil.doubles.DoubleArrayList
  • it.unimi.dsi.fastutil.ints.IntArrayList
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