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

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

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    for (int loopexp = 0; loopexp < CAPS[0].length; loopexp++) {
      expiryTimes1[loopexp] = CAPS[0][loopexp].getReferenceEndTime()[1];
    }

    // parameters bundle that we want to calibrate
    final InflationZeroCouponCapFloorParameters parameters = new InflationZeroCouponCapFloorParameters(expiryTimes1, strikes, volatilities, PRICE_INDEX_EUR);
    // Objective function that we use in the calibration
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective(parameters, CUR);
    // Calibration engine
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<>(
        objective);
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    for (int loopexp = 0; loopexp < CAPS[0].length; loopexp++) {
      expiryTimes1[loopexp] = CAPS[0][loopexp].getReferenceEndTime()[1];
    }

    // parameters bundle that we want to calibrate
    final InflationZeroCouponCapFloorParameters parameters = new InflationZeroCouponCapFloorParameters(expiryTimes1, strikes, volatilities, PRICE_INDEX_EUR);
    // Objective function that we use in the calibration
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective(parameters, CUR);
    // Calibration engine
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<>(
        objective);
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    for (int loopexp = 0; loopexp < CAPS[0].length; loopexp++) {
      expiryTimes1[loopexp] = CAPS[0][loopexp].getReferenceEndTime();
    }

    // parameters bundle that we want to calibrate
    final InflationZeroCouponCapFloorParameters parameters = new InflationZeroCouponCapFloorParameters(expiryTimes1, strikes, volatilities, PRICE_INDEX_EUR);
    // Objective function that we use in the calibration
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective(parameters, CUR);
    // Calibration engine
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<>(
        objective);
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    for (int loopexp = 0; loopexp < CAPS[0].length; loopexp++) {
      expiryTimes1[loopexp] = CAPS[0][loopexp].getReferenceEndTime();
    }

    // parameters bundle that we want to calibrate
    final InflationZeroCouponCapFloorParameters parameters = new InflationZeroCouponCapFloorParameters(expiryTimes1, strikes, volatilities, PRICE_INDEX_EUR);
    // Objective function that we use in the calibration
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective(parameters, CUR);
    // Calibration engine
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<>(
        objective);
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Related Classes of com.opengamma.analytics.financial.model.interestrate.definition.InflationZeroCouponCapFloorParameters

  • com.opengamma.analytics.financial.instrument.index.IndexPrice
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponInterpolationCalibrationObjectiveTest
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