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

Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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            final double t = TimeCalculator.getTimeBetween(now, now.plus(entry.getKey().getPeriod()));
            volatility.add((Double) volatilityObject);
            volatilityTime.add(t);
          }
        }
        final HullWhiteOneFactorPiecewiseConstantParameters hullWhiteParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, volatility.toDoubleArray(),
            volatilityTime.toDoubleArray());
        return Collections.singleton(new ComputedValue(result, hullWhiteParameters));
      }

      @Override
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          .get();
    }

    @Override
    protected HullWhiteOneFactorProviderInterface getKnownData(final FunctionInputs inputs) {
      final HullWhiteOneFactorPiecewiseConstantParameters modelParameters = (HullWhiteOneFactorPiecewiseConstantParameters) inputs.getValue(ValueRequirementNames.HULL_WHITE_ONE_FACTOR_PARAMETERS);
      if (modelParameters == null) {
        throw new OpenGammaRuntimeException("Could not get the Hull-White model parameters");
      }
      Currency currency = null;
      for (final ComputedValue input : inputs.getAllValues()) {
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Related Classes of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

  • com.opengamma.analytics.financial.interestrate.future.provider.BondFutureHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFuturesSecurityHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecurityHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.SwapFuturesPriceDeliverableSecurityHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorHullWhiteCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSHullWhiteApproximationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSHullWhiteNumericalIntegrationMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorHullWhiteCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethod
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