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

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve

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          final Integer offset = nodesPerCurve.get(curveName);
          if (offset == null) {
            continue;
          }
          final double[] yields = Arrays.copyOfRange(fittedYields, i, i + offset);
          final YieldCurve yieldCurve = YieldCurve.from(InterpolatedDoublesCurve.from(curveNodes.get(curveName), yields, interpolators.get(curveName)));
          if (curveSeries.containsKey(curveName)) {
            final Map<LocalDate, YieldAndDiscountCurve> dateCurveMap = curveSeries.get(curveName);
            dateCurveMap.put(valuationDate, yieldCurve);
          } else {
            final LinkedHashMap<LocalDate, YieldAndDiscountCurve> dateCurveMap = new LinkedHashMap<>();
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      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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   */

  protected StaticReplicationDataBundle buildMarketBundle(final ExternalId underlyingId, final FunctionExecutionContext executionContext,
      final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final YieldCurve discountingCurve = getDiscountingCurve(inputs);
    final ForwardCurve forwardCurve = getForwardCurve(inputs);
    final BlackVolatilitySurface<?> blackVolSurf = getVolatilitySurface(executionContext, inputs, target);
    return new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
  }
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          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);
    }
    final Set<ComputedValue> result = new HashSet<>();
    result.add(new ComputedValue(new ValueSpecification(YIELD_CURVE_SERIES, targetSpec, desiredValue.getConstraints().copy().get()), domesticCurves));
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   */
  @Override
  protected StaticReplicationDataBundle buildMarketBundle(final ExternalId underlyingId, final FunctionExecutionContext executionContext,
      final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final YieldCurve discountingCurve = getDiscountingCurve(inputs);
    final ForwardCurve forwardCurve = getForwardCurve(inputs);
    final BlackVolatilitySurface<?> blackVolSurf = getVolatilitySurface(executionContext, inputs, target);
    return new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
  }
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   */
  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Tutorial1Security security = getSecurity(target);
    final Instant valuationTime = executionContext.getValuationTime();
    final YieldCurve yieldCurve = (YieldCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    final double underlyingPrice = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    final double myResult = execute(security, valuationTime, yieldCurve, underlyingPrice);
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), createValueProperties(security).get()), myResult));
  }
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@Test(groups = TestGroup.UNIT)
public class ModelInterestRateCurveTest extends AnalyticsTestBase {

  @Test
  public void testConstantYieldCurve() {
    final YieldCurve dc1 = new YieldCurve("Curve name-Yld", ConstantDoublesCurve.from(0.05));
    final YieldCurve dc2 = cycleObject(YieldCurve.class, dc1);
    assertEquals(dc1, dc2);
  }
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  public void testInterpolatedYieldCurve() {
    final Map<Double, Double> map = new HashMap<>();
    map.put(1., 0.03);
    map.put(2., 0.04);
    map.put(3., 0.05);
    final YieldCurve dc1 = new YieldCurve("Curve name-Yld", InterpolatedDoublesCurve.from(map, Interpolator1DFactory.getInterpolator("Linear")));
    final YieldCurve dc2 = cycleObject(YieldCurve.class, dc1);
    assertEquals(dc1, dc2);
  }
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          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);
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  }

  @Override
  public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {

    final YieldCurve sourceCurve = (YieldCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
   
    if (sourceCurve == null) {
      throw new OpenGammaRuntimeException("Could not get source discount curve to translate for ISDA");
    }
   
    final Curve<Double, Double> curveData = sourceCurve.getCurve();
    final ISDACurve isdaCurve = ISDACurve.fromBoxed(sourceCurve.getName(), curveData.getXData(), curveData.getYData(), 0.0);
   
    ComputedValue result = new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), createValueProperties().get()), isdaCurve);
   
    return Collections.singleton(result);
  }
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve

  • com.opengamma.analytics.example.curveconstruction.AnnuityExample
  • com.opengamma.analytics.example.curveconstruction.CashExample
  • com.opengamma.analytics.example.curveconstruction.YieldCurveExample
  • com.opengamma.analytics.financial.curve.generator.GeneratorCurveTest
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldConstant
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedAnchorNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldNelsonSiegel
  • com.opengamma.analytics.financial.equity.EquityDerivativeSensitivityCalculator
  • com.opengamma.analytics.financial.future.FuturesRatesSensitivityCalculator
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