Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveMatrixCalculator


      final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorMulticurveProviderForward generator = new GeneratorMulticurveProviderForward(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final MulticurveProviderForwardBuildingData data = new MulticurveProviderForwardBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MulticurveProviderForwardFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveProviderForwardFinderJacobian(
        new ParameterSensitivityMulticurveMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final MulticurveProviderForward newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
View Full Code Here


      final LinkedHashMap<String, IndexON> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap,
      final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorMulticurveProviderForward generator = new GeneratorMulticurveProviderForward(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final MulticurveProviderForwardBuildingData data = new MulticurveProviderForwardBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveProviderForwardFinderJacobian(
        new ParameterSensitivityMulticurveMatrixCalculator(sensitivityCalculator), data);
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
    int startCurve = 0;
View Full Code Here

TOP

Related Classes of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveMatrixCalculator

Copyright © 2018 www.massapicom. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.