Package com.opengamma.analytics.math.curve

Examples of com.opengamma.analytics.math.curve.DoublesCurveNelsonSiegel

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  }

  @Override
  public YieldAndDiscountCurve generateCurve(final String name, final double[] parameters) {
    ArgumentChecker.isTrue(parameters.length == NB_PARAMETERS, "Nelson-Siegel should have 4 parameters");
    return new YieldCurve(name, new DoublesCurveNelsonSiegel(name, parameters));
  }
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  }

  @Test
  public void generateCurveYieldNelsonSiegel() {
    final YieldAndDiscountCurve curveGenerated = GENERATOR_NS.generateCurve(CURVE_NAME_1, PARAMETERS_NS);
    final YieldAndDiscountCurve curveExpected = new YieldCurve(CURVE_NAME_1, new DoublesCurveNelsonSiegel(CURVE_NAME_1, PARAMETERS_NS));
    assertEquals("GeneratorCurveYieldNelsonSiegel: generate curve", curveExpected, curveGenerated);

  }
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Related Classes of com.opengamma.analytics.math.curve.DoublesCurveNelsonSiegel

  • com.opengamma.analytics.financial.curve.generator.GeneratorCurveTest
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldNelsonSiegel
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