Examples of ParameterSensitivityHullWhiteMatrixCalculator

      final LinkedHashMap<String, GeneratorYDCurve> generatorsMap, final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> calculator,
      final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorHullWhiteProviderDiscount generator = new GeneratorHullWhiteProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final HullWhiteProviderDiscountBuildingData data = new HullWhiteProviderDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new HullWhiteProviderDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new HullWhiteProviderDiscountFinderJacobian(new ParameterSensitivityHullWhiteMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final HullWhiteOneFactorProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }

      final HullWhiteOneFactorProviderDiscount knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex[]> forwardIborMap,
      final LinkedHashMap<String, IndexON[]> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap,
      final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorHullWhiteProviderDiscount generator = new GeneratorHullWhiteProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final HullWhiteProviderDiscountBuildingData data = new HullWhiteProviderDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new HullWhiteProviderDiscountFinderJacobian(new ParameterSensitivityHullWhiteMatrixCalculator(sensitivityCalculator), data);
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
    int startCurve = 0;

Examples of ParameterSensitivityHullWhiteMatrixCalculator

Examples of com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteMatrixCalculator

Examples of com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteMatrixCalculator