Package com.opengamma.analytics.math.surface

Examples of com.opengamma.analytics.math.surface.InterpolatedDoublesSurface

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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, VolatilityFunctionFactory.HAGAN_FORMULA);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Object surfacesObject = inputs.getValue(ValueRequirementNames.SABR_SURFACES);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get SABR fitted surfaces");
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, SABR_FUNCTION);
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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  • com.opengamma.analytics.financial.interestrate.swaption.derivative.DeprecatedSwaptionPhysicalFixedIborTest
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