Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.G2ppProviderDiscount

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      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketDscBumpedPlus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketDscBumpedMinus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = g2curves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = g2curves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketFwdBumpedPlus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketFwdBumpedMinus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = g2curves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = g2curves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketFwdBumpedPlus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final G2ppProviderDiscount marketFwdBumpedMinus = new G2ppProviderDiscount(g2curves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(index);
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   * Test the present value by approximation vs by numerical integration for a grid of expiry/tenor.
   * To check the precision, increase the NB_INTEGRATION to 50 (slower but more precise).
   */
  public void approximationNumericalIntegrationGrid() {
    final G2ppPiecewiseConstantParameters parametersG2pp = TestsDataSetG2pp.createG2ppParameters3();
    final G2ppProviderDiscount bundleG2pp = new G2ppProviderDiscount(MULTICURVES, parametersG2pp, CUR);
    final GeneratorSwapFixedIbor generator = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
    final Period[] expiry = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(5), Period.ofYears(10), Period.ofYears(25)};
    final int nbExpiry = expiry.length;
    final Period[] tenor = new Period[] {Period.ofYears(2), Period.ofYears(5), Period.ofYears(10), Period.ofYears(25)};
    final int nbTenor = tenor.length;
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        }
      }
      final HullWhiteOneFactorProviderDiscount result = ProviderUtils.mergeHullWhiteProviders(providers);
      final HullWhiteOneFactorProviderDiscount provider = ProviderUtils.mergeHullWhiteProviders(result, matrix);
      final G2ppPiecewiseConstantParameters parameters = (G2ppPiecewiseConstantParameters) inputs.getValue(G2PP_PARAMETERS);
      return new G2ppProviderDiscount(provider.getMulticurveProvider(), parameters, provider.getHullWhiteCurrency());
    }
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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.G2ppProviderDiscount

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  • com.opengamma.analytics.financial.provider.sensitivity.g2pp.SimpleParameterSensitivityG2ppDiscountInterpolatedFDCalculator
  • com.opengamma.financial.analytics.model.g2ppdiscounting.G2ppDiscountingFunction$G2ppCompiledFunction
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