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

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

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

com.opengamma.analytics.financial.model.interestrate.definition.InflationYearOnYearCapFloorParameters
Data bundle related to the year on year inflation cap/floor in price index market model.

    }
    for (int loopexp = 0; loopexp < CAPS[0][availabelTenor.length - 1].getNumberOfPayments(); loopexp++) {
      final CapFloorInflationYearOnYearInterpolation cap = (CapFloorInflationYearOnYearInterpolation) CAPS[0][availabelTenor.length - 1].getNthPayment(loopexp);
      expiryTimes[loopexp] = cap.getReferenceEndTime()[1];
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes, strikes, volatilities, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

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    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearInterpolation cap = (CapFloorInflationYearOnYearInterpolation) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime()[1];
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

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    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearInterpolation cap = (CapFloorInflationYearOnYearInterpolation) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime()[1];
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

View Full Code Here

    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearInterpolation cap = (CapFloorInflationYearOnYearInterpolation) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime()[1];
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

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    }
    for (int loopexp = 0; loopexp < CAPS[0][availabelTenor.length - 1].getNumberOfPayments(); loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS[0][availabelTenor.length - 1].getNthPayment(loopexp);
      expiryTimes[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes, strikes, volatilities, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

View Full Code Here

    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

View Full Code Here

    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

View Full Code Here

    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);


    for (int loop1 = 0; loop1 < strikes_AVAILABLE.length; loop1++) {

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Related Classes of com.opengamma.analytics.financial.model.interestrate.definition.InflationYearOnYearCapFloorParameters

com.opengamma.analytics.financial.instrument.index.IndexPrice

com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearCalibrationObjectiveTest

com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearInterpolationCalibrationObjectiveTest

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