Package com.opengamma.analytics.math.curve

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

149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
  public static YieldCurveBundle createCurvesUSD() {
    final String discountingCurvename = "USD Discounting";
    final String forward3MCurveName = "Forward USDLIBOR3M";
    final String forward6MCurveName = "Forward USDLIBOR6M";
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, discountingCurvename);
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0 }, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward3MCurveName);
    final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0 }, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward6MCurveName);
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
    curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
    curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
View Full Code Here
163
164
165
166
167
168
169
170
171
172
173
    curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
    return curves;
  }

  public static YieldCurveBundle createCurvesBRL() {
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, DISCOUNTING_BRL);
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(DISCOUNTING_BRL, YieldCurve.from(dscC));
    return curves;
  }
View Full Code Here
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
  public static YieldCurveBundle createCurvesEUR() {
    final String discountingCurvename = "EUR Discounting";
    final String forward3MCurveName = "Forward EURIBOR3M";
    final String forward6MCurveName = "Forward EURIBOR6M";
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, discountingCurvename);
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0 }, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward3MCurveName);
    final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0 }, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward6MCurveName);
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
    curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
    curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
View Full Code Here
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
  public static YieldCurveBundle createCurvesUSD() {
    final String discountingCurvename = "USD Discounting";
    final String forward3MCurveName = "Forward USDLIBOR3M";
    final String forward6MCurveName = "Forward USDLIBOR6M";
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0 }, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, discountingCurvename);
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0 }, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward3MCurveName);
    final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0 }, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312 },
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, forward6MCurveName);
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
    curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
    curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
View Full Code Here
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
    final HashMap<String, Currency> ccyMap = new HashMap<>();
    ccyMap.put(discountingCurvename, ccy);
    ccyMap.put(forward3MCurveName, ccy);
    ccyMap.put(forward6MCurveName, ccy);
    final FXMatrix fx = new FXMatrix(ccy);
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 20.0}, new double[] {0.0050, 0.0100, 0.0150, 0.0200, 0.0200, 0.0300},
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve dsc");
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 25.0}, new double[] {0.0070, 0.0120, 0.0165, 0.0215, 0.0210, 0.0310},
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve fwd3");
    final InterpolatedDoublesCurve fwd6C = new InterpolatedDoublesCurve(new double[] {0.05, 1.0, 2.0, 5.0, 10.0, 30.0}, new double[] {0.0075, 0.0125, 0.0170, 0.0220, 0.0212, 0.0312},
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve fwd6");
    final YieldCurveBundle curves = new YieldCurveBundle(fx, ccyMap);
    curves.setCurve(discountingCurvename, YieldCurve.from(dscC));
    curves.setCurve(forward3MCurveName, YieldCurve.from(fwd3C));
    curves.setCurve(forward6MCurveName, YieldCurve.from(fwd6C));
View Full Code Here
163
164
165
166
167
168
169
170
171
172
173
174
175
  /**
   * Tests the build of a discount curve from yields (cc).
   */
  public void discountCurveFromYieldsInterpolated() {
    DiscountCurve dfFromYields = DiscountCurve.fromYieldsInterpolated(TIME, RATES, INTERPOLATOR, "DF");
    InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) dfFromYields.getCurve();
    Double[] df = curveInt.getYData();
    for (int loopyield = 0; loopyield < TIME.length; loopyield++) {
      assertEquals("DiscountCurve.fromYieldsInterpolated", RATES[loopyield], -Math.log(df[loopyield]) / TIME[loopyield], TOLERANCE_RATE);
    }
    assertEquals("DiscountCurve.fromYieldsInterpolated", INTERPOLATOR, curveInt.getInterpolator());
    assertArrayEquals("DiscountCurve.fromYieldsInterpolated", TIME, curveInt.getXDataAsPrimitive(), TOLERANCE_RATE);
  }
View Full Code Here
178
179
180
181
182
183
184
185
186
187
188
189
190
  /**
   * Tests the build of a discount curve from yields (cc).
   */
  public void yieldCurveDiscountFactorInterpolated() {
    YieldCurve yFromDF = YieldCurve.fromDiscountFactorInterpolated(TIME, DF_VALUES, INTERPOLATOR, "Yield");
    InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) yFromDF.getCurve();
    Double[] y = curveInt.getYData();
    for (int loopyield = 0; loopyield < TIME.length; loopyield++) {
      assertEquals("YieldCurve.fromDiscountFactorInterpolated", DF_VALUES[loopyield], Math.exp(-y[loopyield] * TIME[loopyield]), TOLERANCE_RATE);
    }
    assertEquals("DiscountCurve.fromYieldsInterpolated", INTERPOLATOR, curveInt.getInterpolator());
    assertArrayEquals("DiscountCurve.fromYieldsInterpolated", TIME, curveInt.getXDataAsPrimitive(), TOLERANCE_RATE);
  }
View Full Code Here
193
194
195
196
197
198
199
200
201
202
203
204
205
  /**
   * Tests the build of a discount curve from yields (cc).
   */
  public void yieldPeriodicFromYieldsInterpolated() {
    YieldPeriodicCurve perFromYields = YieldPeriodicCurve.fromYieldsInterpolated(TIME, RATES, COMPOUNDING, INTERPOLATOR, "DF");
    InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) perFromYields.getCurve();
    Double[] yP = curveInt.getYData();
    for (int loopyield = 0; loopyield < TIME.length; loopyield++) {
      assertEquals("YieldPeriodicCurve.fromYieldsInterpolated", RATES[loopyield], COMPOUNDING * Math.log(1.0 + yP[loopyield] / COMPOUNDING), TOLERANCE_RATE);
    }
    assertEquals("YieldPeriodicCurve.fromYieldsInterpolated", INTERPOLATOR, curveInt.getInterpolator());
    assertArrayEquals("YieldPeriodicCurve.fromYieldsInterpolated", TIME, curveInt.getXDataAsPrimitive(), TOLERANCE_RATE);
  }
View Full Code Here
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
    _interpolator = new TransformedInterpolator1D(baseInterpolator, parameterTransform);
  }

  @Override
  public VolatilityModel1D evaluate(DoubleMatrix1D x) {
    final InterpolatedDoublesCurve curve = InterpolatedDoublesCurve.from(_knots, x.getData(), _interpolator);
    return new VolatilityModel1D() {

      @Override
      public Double getVolatility(double[] fwdKT) {
        return curve.getYValue(fwdKT[2]);
      }

      @Override
      public double getVolatility(SimpleOptionData option) {
        return curve.getYValue(option.getTimeToExpiry());
      }

      @Override
      public double getVolatility(double forward, double strike, double timeToExpiry) {
        return curve.getYValue(timeToExpiry);
      }
    };
  }
View Full Code Here
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
  @Override
  public Object convertForDisplay(ResultConverterCache context, ValueSpecification valueSpec, ForwardCurve value, ConversionMode mode) {
    Map<String, Object> result = new HashMap<String, Object>();
    if (value.getForwardCurve() instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getForwardCurve();
      List<Double[]> data = new ArrayList<Double[]>();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      result.put("summary", data);
      if (mode == ConversionMode.FULL) {
        List<Double[]> detailedData = getData(interpolatedCurve);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.math.curve.InterpolatedDoublesCurve

  • com.opengamma.analytics.example.curveconstruction.AnnuityExample
  • com.opengamma.analytics.example.curveconstruction.CurveExample
  • com.opengamma.analytics.financial.curve.generator.GeneratorCurveTest
  • com.opengamma.analytics.financial.curve.generator.GeneratorInflationCurveTest
  • com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurveInterpolatedNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolatedNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldPeriodicInterpolatedNode
  • com.opengamma.analytics.financial.forex.method.ForexForwardPointsMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethodTest
    • 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.