Package com.opengamma.analytics.financial.provider.curve

Examples of com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle

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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final InflationProviderInterface curves = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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     * @param inputs The function inputs, not null
     * @return The merged blocks
     */
    protected CurveBuildingBlockBundle getMergedCurveBuildingBlocks(final FunctionInputs inputs) {
      ArgumentChecker.notNull(inputs, "inputs");
      final CurveBuildingBlockBundle result = new CurveBuildingBlockBundle();
      for (final ComputedValue input : inputs.getAllValues()) {
        final String valueName = input.getSpecification().getValueName();
        if (valueName.equals(JACOBIAN_BUNDLE)) {
          result.addAll((CurveBuildingBlockBundle) input.getValue());
        }
      }
      return result;
    }
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            throw new OpenGammaRuntimeException("No entries in desiredValues");
          }
          properties.withoutAny(CURVE).with(CURVE, curveNames);
        }
        final BlackSmileShiftCapProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties.get());
        return Collections.singleton(new ComputedValue(spec, sensitivities));
      }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final MulticurveProviderInterface curves = getMergedProviders(inputs, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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Related Classes of com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle

  • com.opengamma.analytics.financial.curve.interestrate.building.CurveBuildingFunction
  • com.opengamma.analytics.financial.provider.curve.hullwhite.HullWhiteProviderDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardBuildingRepository
  • com.opengamma.financial.analytics.fudgemsg.AnalyticsParameterProviderBuildersTest
  • com.opengamma.financial.analytics.fudgemsg.CurveResultBuilders$CurveBuildingBlockBundleBuilder
  • com.opengamma.financial.analytics.fudgemsg.CurveResultBuildersTest
  • com.opengamma.financial.analytics.model.black.BlackDiscountingBCSCapFloorFunction
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