Examples of IssuerProviderDiscount

Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketDscBumped = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumped = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedPlus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedPlus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final HullWhiteIssuerProviderDiscount marketFwdBumpedMinus = new HullWhiteIssuerProviderDiscount(new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index,
            fwdBumpedMinus),
            issuercurves.getIssuerProvider().getIssuerCurves()), issuercurves.getHullWhiteParameters(), issuercurves.getHullWhiteIssuerCurrency());
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
 
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketDscBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketDscBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped), issuercurves.getIssuerCurves());
        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[] sensitivity = new double[nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumpedPlus = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumpedPlus), issuercurves.getIssuerCurves());
        final Double valueBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumpedMinus = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumpedMinus), issuercurves.getIssuerCurves());
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new IssuerDiscountFinderFunction(calculator, data);
    //    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerUnderlyingMatrixCalculator(sensitivityCalculator), data);
    // TODO
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new IssuerDiscountFinderJacobian(new ParameterSensitivityIssuerMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final IssuerProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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    ArgumentChecker.notNull(forwardONMap, "forward overnight map");
    ArgumentChecker.notNull(issuerMap, "issuer map");
    ArgumentChecker.notNull(calculator, "calculator");
    ArgumentChecker.notNull(sensitivityCalculator, "sensitivity calculator");
    final int nbUnits = curveBundles.length;
    final IssuerProviderDiscount knownSoFarData = knownData.copy();
    final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>();
    final LinkedHashMap<String, GeneratorYDCurve> generatorsSoFar = new LinkedHashMap<>();
    final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>();
    final List<Double> parametersSoFar = new ArrayList<>();
    final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>();
    int startUnit = 0;
    for (int iUnits = 0; iUnits < nbUnits; iUnits++) {
      final MultiCurveBundle<GeneratorYDCurve> curveBundle = curveBundles[iUnits];
      final int nbCurve = curveBundle.size();
      final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit.
      final LinkedHashMap<String, GeneratorYDCurve> gen = new LinkedHashMap<>();
      final int[] nbIns = new int[curveBundle.getNumberOfInstruments()];
      int nbInsUnit = 0; // Number of instruments in the unit.
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        startCurve[iCurve] = nbInsUnit;
        nbIns[iCurve] = singleCurve.size();
        nbInsUnit += nbIns[iCurve];
        instrumentsSoFar.addAll(Arrays.asList(singleCurve.getDerivatives()));
      }
      final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit];
      final double[] parametersGuess = new double[nbInsUnit];
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorYDCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        gen.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
      final Pair<IssuerProviderDiscount, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess, knownSoFarData,
          discountingMap, forwardIborMap, forwardONMap, issuerMap, gen, calculator, sensitivityCalculator);
      parametersSoFar.addAll(Arrays.asList(unitCal.getSecond()));
      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]), knownData, discountingMap,
          forwardIborMap, forwardONMap, issuerMap, generatorsSoFar, sensitivityCalculator);
      // TODO: should curve matrix be computed only once at the end? To save time
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        unitBundleSoFar.put(singleCurve.getCurveName(), new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[iCurve]));
      }
      knownSoFarData.setAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }
    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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    _data = data;
  }

  @Override
  public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
    final IssuerProviderDiscount provider = _data.getKnownData().copy();
    final IssuerProviderDiscount newCurves = _data.getGeneratorMarket().evaluate(x);
    provider.setAll(newCurves);
    final double[] res = new double[_data.getNumberOfInstruments()];
    for (int i = 0; i < _data.getNumberOfInstruments(); i++) {
      res[i] = _data.getInstrument(i).accept(_calculator, provider);
    }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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    return _generatorsMap.keySet();
  }

  @Override
  public IssuerProviderDiscount evaluate(DoubleMatrix1D x) {
    IssuerProviderDiscount provider = _knownData.copy();
    Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (String name : nameSet) {
      GeneratorYDCurve gen = _generatorsMap.get(name);
      double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
      indexParam += gen.getNumberOfParameter();
      YieldAndDiscountCurve curve = gen.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
      if (_discountingMap.containsKey(name)) {
        provider.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        IborIndex[] indexes = _forwardIborMap.get(name);
        for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
          provider.setCurve(indexes[loopindex], curve);
        }
      }
      if (_forwardONMap.containsKey(name)) {
        IndexON[] indexes = _forwardONMap.get(name);
        for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
          provider.setCurve(indexes[loopindex], curve);
        }
      }
      if (_issuerMap.containsKey(name)) {
        provider.setCurve(_issuerMap.get(name), curve);
      }
      // TODO: Do we need to check that the curve is used at least once?
    }
    return provider;
  }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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    _data = data;
  }

  @Override
  public DoubleMatrix2D evaluate(DoubleMatrix1D x) {
    final IssuerProviderDiscount provider = _data.getKnownData().copy();
    IssuerProviderDiscount newCurves = _data.getGeneratorMarket().evaluate(x);
    provider.setAll(newCurves);
    Set<String> curvesSet = _data.getGeneratorMarket().getCurvesList();
    final int nbParameters = _data.getNumberOfInstruments();
    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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        final String issuerName = (String) issuerNameFields.get(i).getValue();
        final Currency issuerCurrency = Currency.of((String) issuerCurrencyFields.get(i).getValue());
        final YieldAndDiscountCurve curve = deserializer.fieldValueToObject(YieldAndDiscountCurve.class, issuerCurveFields.get(i));
        issuerCurves.put(Pair.of(issuerName, issuerCurrency), curve);
      }
      return new IssuerProviderDiscount(multicurves, issuerCurves);
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount

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  /**
   * Returns a multi-curves provider with one currency (EUR) and one issuer (GERMAN GOVT). The issuer curve is at 6% (useful for futures).
   * @return The provider.
   */
  public static IssuerProviderDiscount createIssuerProvider6() {
    return new IssuerProviderDiscount(MULTICURVE, ISSUER_6);
  }
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