Package com.opengamma.analytics.math.curve

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

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  private static final String DISCOUNTING = "Discounting";
  private static final String FORWARD3M = "Forward 3M";

  public static YieldCurveBundle createCurves1() {
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.0, 50.0}, new double[] {0.0500, 0.0500}, CombinedInterpolatorExtrapolatorFactory.getInterpolator(
        Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve dsc");
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.0, 50.0}, new double[] {0.0500, 0.0500}, CombinedInterpolatorExtrapolatorFactory.getInterpolator(
        Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve fwd3");
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(DISCOUNTING, YieldCurve.from(dscC));
    curves.setCurve(FORWARD3M, YieldCurve.from(fwd3C));
    return curves;
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    curves.setCurve(FORWARD3M, YieldCurve.from(fwd3C));
    return curves;
  }

  public static YieldCurveBundle createCurves2() {
    final InterpolatedDoublesCurve dscC = new InterpolatedDoublesCurve(new double[] {0.0, 1.0, 2.0, 5.0, 10.0, 20.0, 50.0}, new double[] {0.0100, 0.0150, 0.0200, 0.0250, 0.0300, 0.0350, 0.0400},
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve dsc");
    final InterpolatedDoublesCurve fwd3C = new InterpolatedDoublesCurve(new double[] {0.0, 1.0, 2.0, 5.0, 10.0, 20.0, 50.0}, new double[] {0.0120, 0.0170, 0.0220, 0.0270, 0.0320, 0.0370, 0.0420},
        CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR), true, "Curve fwd3");
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(DISCOUNTING, YieldCurve.from(dscC));
    curves.setCurve(FORWARD3M, YieldCurve.from(fwd3C));
    return curves;
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    final double[] fpsExpected = new double[NB_MARKET_QUOTES];
    final double shift = 1.0E-6;
    for (int loopt = 0; loopt < NB_MARKET_QUOTES; loopt++) {
      final double[] mqpShift = MARKET_QUOTES_PTS.clone();
      mqpShift[loopt] += shift;
      final InterpolatedDoublesCurve fwdPtsShift = new InterpolatedDoublesCurve(MARKET_QUOTES_TIME, mqpShift, LINEAR_FLAT, true);
      final MultipleCurrencyAmount pvShift = METHOD_FX_PTS.presentValue(FX, CURVES, fwdPtsShift);
      fpsExpected[loopt] = (pvShift.getAmount(CUR_2) - pv.getAmount(CUR_2)) / shift;
      assertEquals("ForexForwardPointsMethod: presentValueForwardPointsSensitivity - node " + loopt, fpsExpected[loopt], fpsComputed[loopt], TOLERANCE_PV_DELTA);
    }
  }
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        }
        final String interpolatorName = specification.getInterpolatorName();
        final String rightExtrapolatorName = specification.getRightExtrapolatorName();
        final String leftExtrapolatorName = specification.getLeftExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final InterpolatedDoublesCurve curve = InterpolatedDoublesCurve.from(times, yields, interpolator, curveName);
        final ValueProperties curveProperties = createValueProperties()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
            .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME).get();
        final ValueProperties jacobianProperties = createValueProperties()
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  }

  @Override
  public List<Double[]> formatCell(YieldCurve value, ValueSpecification valueSpec, Object inlineKey) {
    if (value.getCurve() instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getCurve();
      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]});
      }
      return data;
    } else if (value.getCurve() instanceof FunctionalDoublesCurve) {
      FunctionalDoublesCurve curve = (FunctionalDoublesCurve) value.getCurve();
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  }
 
  @Override
  public Object formatCell(DoublesCurve value, ValueSpecification valueSpec, Object inlineKey) {
    if (value instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value;
      List<Double[]> data = new ArrayList<>();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      return data;
    } else if (value instanceof NodalDoublesCurve) {
      NodalDoublesCurve nodalCurve = (NodalDoublesCurve) value;
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  private List<Double[]> formatExpanded(DoublesCurve value) {
    NodalDoublesCurve detailedCurve;
    if (value instanceof NodalDoublesCurve) {
      detailedCurve = (NodalDoublesCurve) value;
    } else if (value instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value;
      detailedCurve = NodalDoublesCurve.from(interpolatedCurve.getXDataAsPrimitive(), interpolatedCurve.getYDataAsPrimitive());
    } else {
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + value.getClass());
    }
    List<Double[]> detailedData = new ArrayList<>();
    Double[] xs = detailedCurve.getXData();
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  }

  @Override
  public List<Double[]> formatCell(PriceIndexCurve value, ValueSpecification valueSpec, Object inlineKey) {
    if (value.getCurve() instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getCurve();
      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]});
      }
      return data;
    } else if (value.getCurve() instanceof FunctionalDoublesCurve) {
      FunctionalDoublesCurve curve = (FunctionalDoublesCurve) value.getCurve();
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  @Override
  public List<Double[]> formatCell(ISDADateCurve value, ValueSpecification valueSpec, Object inlineKey) {
    List<Double[]> data = new ArrayList<>();
    DoublesCurve curve = value.getCurve();
    if (curve instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve;
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < xData.length; i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      return data;
    }
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  @Override
  public List<Double[]> formatCell(ForwardCurve value, ValueSpecification valueSpec, Object inlineKey) {
    List<Double[]> data = new ArrayList<Double[]>();
    if (value.getForwardCurve() instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getForwardCurve();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      return data;
    } else if (value.getForwardCurve() instanceof FunctionalDoublesCurve) {
      FunctionalDoublesCurve functionalCurve = (FunctionalDoublesCurve) value.getForwardCurve();
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