Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderJacobian

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      final FXMatrix fxMatrix = new FXMatrix();
      final YieldCurveBundle knownCurve = new YieldCurveBundle();
      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
      final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
      final YieldCurve impliedDepositCurve = new YieldCurve(impliedDepositCurveName, InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
      final ValueSpecification curveSpec = new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
      final ValueSpecification jacobianSpec = new ValueSpecification(YIELD_CURVE_JACOBIAN, target.toSpecification(), resultJacobianProperties);
      return Sets.newHashSet(new ComputedValue(curveSpec, impliedDepositCurve), new ComputedValue(jacobianSpec, jacobianMatrix));
    }
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      fxMatrix.addCurrency(foreignCurrency, domesticCurrency, invertFXQuotes ? spotFX : 1 / spotFX);
      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
          interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
      final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));

      domesticCurves.put(valuationDate, curve);
    }
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          interpolators.put(impliedDepositCurveName, interpolator);
          final FXMatrix fxMatrix = new FXMatrix();
          final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
          final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
          final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
          final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);

          final double[] fittedYields;
          try {
            fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
            YieldCurve impliedCurve = new YieldCurve("Name", InterpolatedDoublesCurve.from(t, fittedYields, interpolator));

            final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));

            impliedRateDates.add(valuationDate);

            i = 0;
            for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {
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    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PV_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PV_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final ValueProperties properties = getJacobianProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName,
        decompositionName, useFiniteDifferenceName);
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties), jacobianMatrix.getData()));
    int i = 0;
    final YieldCurveBundle curveBundle = new YieldCurveBundle();
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    interpolators.put(curveName, getInterpolator(specificationWithSecurities));
    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    try {
      // TODO have the decomposition as an optional input [FIN-146]
      rootFinder = new BroydenVectorRootFinder(1e-7, 1e-7, 100, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME));
      final DoubleMatrix1D result = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess));
      yields = result.getData();
    } catch (final Exception eLU) {
      try {
        s_logger.warn("Could not find root using LU decomposition and present value method for curve " + curveName + "; trying SV. Error was: " + eLU.getMessage());
        rootFinder = new BroydenVectorRootFinder(1e-7, 1e-7, 100, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COMMONS_NAME));
        yields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess)).getData();
      } catch (final Exception eSV) {
        s_logger.warn("Could not find root using SV decomposition and present value method for curve " + curveName + ". Error was: " + eSV.getMessage());
        throw new OpenGammaRuntimeException(eSV.getMessage());
      }
    }
    final YieldAndDiscountCurve curve;
    if (createSensitivities || createYieldCurve) {
      curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes, yields, getInterpolator(specificationWithSecurities)));
    } else {
      curve = null;
    }
    final Set<ComputedValue> result = Sets.newHashSetWithExpectedSize(4);
    final ValueProperties.Builder properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_METHOD, getCalculationType())
        .with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, curveName).with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, curveName);
    if (createJacobian) {
      final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(yields));
      result.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties.get()), jacobianMatrix.getData()));
    }
    if (createSensitivities) {
      final double[] couponSensitivities = new double[derivatives.size()];
      int ii = 0;
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    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    // TODO have the calculator and sensitivity calculators as an input [FIN-144], [FIN-145]
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    // TODO have the decomposition as an optional input [FIN-146]
    try {
      rootFinder = new BroydenVectorRootFinder(1e-4, 1e-4, 10000, DecompositionFactory.getDecomposition(DecompositionFactory.SV_COLT_NAME));
      yields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess)).getData();
    } catch (final Exception eSV) {
      s_logger.warn("Could not find root using SV decomposition and " + _calculationType + " method for curves " + fundingCurveName + " and " + forwardCurveName + ". Error was: " + eSV.getMessage());
      throw new OpenGammaRuntimeException("Could not find curves " + fundingCurveName + " (" + targetSpec.getUniqueId().getValue() + "), " + forwardCurveName + " ("
          + targetSpec.getUniqueId().getValue() + ") using SV decomposition and calculation method " + _calculationType);
    }
    final YieldAndDiscountCurve fundingCurve;
    if (createSensitivities || createFundingYieldCurve) {
      final double[] fundingYields = Arrays.copyOfRange(yields, 0, fundingNodeTimes.length);
      fundingCurve = YieldCurve.from(InterpolatedDoublesCurve.from(fundingNodeTimes, fundingYields, getInterpolator(fundingCurveSpecificationWithSecurities)));
    } else {
      fundingCurve = null;
    }
    final YieldAndDiscountCurve forwardCurve;
    if (createSensitivities || createForwardYieldCurve) {
      final double[] forwardYields = Arrays.copyOfRange(yields, fundingNodeTimes.length, yields.length);
      forwardCurve = YieldCurve.from(InterpolatedDoublesCurve.from(forwardNodeTimes, forwardYields, getInterpolator(forwardCurveSpecificationWithSecurities)));
    } else {
      forwardCurve = null;
    }
    final Set<ComputedValue> result = Sets.newHashSetWithExpectedSize(4);
    final ValueProperties.Builder properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_METHOD, getCalculationType())
        .with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, forwardCurveName).with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, fundingCurveName);
    if (createJacobian) {
      final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(yields));
      result.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, targetSpec, properties.get()), jacobian.getData()));
    }
    if (createSensitivities) { // calcType is PresentValue. Compute CouponSens ( dPrice / dParRate ) used in conjunction with Jacobian to get Yield Curve Node (Par Rate) Sensitivities
      final double[] couponSensitivities = new double[derivatives.size()];
      int ii = 0;
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    fxMatrix.addCurrency(foreignCurrency, domesticCurrency, spotFX);
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
        interpolators, useFiniteDifference, fxMatrix);
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, domesticCurveName, absoluteToleranceName, relativeToleranceName,
        iterationsName, decompositionName, useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final ValueProperties properties = getProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName, decompositionName,
        useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    // Implementation note: computes transition Dpf pd: derivative of the current (domestic) curve parameter to the previous (foreign) currency curves
    // For details on the computation, see "Multi-curve Framework with Collateral-3.5 Keeping track of transition matrices", OpenGamma Quantitative Research 13, May 2013.
    final MultipleYieldCurveFinderDataBundle dataAllCurves = MultipleYieldCurveFinderDataBundle.withAllCurves(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes, interpolators,
        useFiniteDifference, fxMatrix);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculatorAllCurves = new MultipleYieldCurveFinderJacobian(dataAllCurves, PAR_RATE_SENSITIVITY_CALCULATOR);
    final DoubleMatrix2D jacobianMatrixAllCurves = jacobianCalculatorAllCurves.evaluate(new DoubleMatrix1D(fittedYields));
    // Order is: previous curves (domestic), current curves (foreign)
    final DoubleMatrix2D jacobianMatrixInverse = MATRIX_ALGEBRA.getInverse(jacobianMatrix);
    final int nbLine = nodeTimes.size();
    final int nbCol = dataAllCurves.getTotalNodes() - nodeTimes.size();
    final double[][] sensiPreviousCurves1 = new double[nbLine][nbCol];
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Related Classes of com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderJacobian

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  • com.opengamma.financial.analytics.model.curve.interestrate.MarketInstrumentImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction
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