Examples of YieldAndDiscountAddZeroSpreadCurve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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  @Deprecated
  @Override
  public YieldAndDiscountCurve generateCurve(final String name, final YieldCurveBundle bundle, final double[] parameters) {
    final YieldAndDiscountCurve existingCurve = bundle.getCurve(_existingCurveName);
    final YieldAndDiscountCurve newCurve = _generator.generateCurve(name + "-0", bundle, parameters);
    return new YieldAndDiscountAddZeroSpreadCurve(name, _substract, existingCurve, newCurve);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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  @Override
  public YieldAndDiscountCurve generateCurve(final String name, final MulticurveProviderInterface multicurve, final double[] parameters) {
    if (multicurve instanceof MulticurveProviderDiscount) { // TODO: improve the way the curves are generated
      final YieldAndDiscountCurve existingCurve = ((MulticurveProviderDiscount) multicurve).getCurve(_existingCurveName);
      final YieldAndDiscountCurve newCurve = _generator.generateCurve(name + "-0", multicurve, parameters);
      return new YieldAndDiscountAddZeroSpreadCurve(name, _substract, existingCurve, newCurve);

    }
    throw new UnsupportedOperationException("Cannot generate curves for a GeneratorCurveAddYieldExisiting");
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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    for (int loopgen = 0; loopgen < _nbGenerators; loopgen++) {
      final double[] paramCurve = Arrays.copyOfRange(x, index, index + _generators[loopgen].getNumberOfParameter());
      index += _generators[loopgen].getNumberOfParameter();
      underlyingCurves[loopgen] = _generators[loopgen].generateCurve(name + "-" + loopgen, paramCurve);
    }
    return new YieldAndDiscountAddZeroSpreadCurve(name, _substract, underlyingCurves);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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    for (int loopgen = 0; loopgen < _nbGenerators; loopgen++) {
      final double[] paramCurve = Arrays.copyOfRange(x, index, index + _generators[loopgen].getNumberOfParameter());
      index += _generators[loopgen].getNumberOfParameter();
      underlyingCurves[loopgen] = _generators[loopgen].generateCurve(name + "-" + loopgen, paramCurve);
    }
    return new YieldAndDiscountAddZeroSpreadCurve(name, _substract, underlyingCurves);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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      }
    };

    final YieldAndDiscountCurve blipCurve = YieldCurve.from(new FunctionalDoublesCurve(blip));
    final YieldAndDiscountCurve originalCurve = curves.getCurve(curveName);
    final YieldAndDiscountCurve upCurve = new YieldAndDiscountAddZeroSpreadCurve("UpCurve", false, originalCurve, blipCurve);
    final YieldAndDiscountCurve downCurve = new YieldAndDiscountAddZeroSpreadCurve("DownCurve", true, originalCurve, blipCurve);

    curves.replaceCurve(curveName, upCurve);
    final double up = ird.accept(calculator, curves);
    curves.replaceCurve(curveName, downCurve);
    final double down = ird.accept(calculator, curves);
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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      }
    };

    final YieldAndDiscountCurve blipCurve = YieldCurve.from(new FunctionalDoublesCurve(blip));
    final YieldAndDiscountCurve originalCurve = curves.getCurve(curveName);
    final YieldAndDiscountCurve upCurve = new YieldAndDiscountAddZeroSpreadCurve("UpCurve", false, originalCurve, blipCurve);
    final YieldAndDiscountCurve downCurve = new YieldAndDiscountAddZeroSpreadCurve("DownCurve", true, originalCurve, blipCurve);

    curves.replaceCurve(curveName, upCurve);
    final double up = method.presentValue(ird, curves).getAmount();
    curves.replaceCurve(curveName, downCurve);
    final double down = method.presentValue(ird, curves).getAmount();
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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      for (FudgeField field : curvesMessage) {
        curves.add(deserializer.fieldValueToObject(YieldAndDiscountCurve.class, field));
      }
      boolean subtract = deserializer.fieldValueToObject(Boolean.class, message.getByName(SUBTRACT_FIELD));
      YieldAndDiscountCurve[] curveArray = curves.toArray(new YieldAndDiscountCurve[curves.size()]);
      return new YieldAndDiscountAddZeroSpreadCurve(name, subtract, curveArray);
    }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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          final double[] yields1 = Arrays.copyOfRange(x.getData(), index2, index2 + numberOfNodes);
          final double spread1 = x.getData()[index2 + numberOfNodes];
          index2 += numberOfNodes + 1;
          final YieldCurve newYieldCurve = YieldCurve.from(InterpolatedDoublesCurve.from(dataBundle.getKeys(), yields1, ((InterpolatedDoublesCurve) yieldCurve.getCurve()).getInterpolator()));
          final YieldCurve newSpreadCurve = YieldCurve.from(new ConstantDoublesCurve(spread1));
          final YieldAndDiscountCurve newCurve = new YieldAndDiscountAddZeroSpreadCurve("NewYield+Spread", false, newYieldCurve, newSpreadCurve);
          curves.replaceCurve(name, newCurve);
        }
        if (fixedCurves != null) {
          curves.addAll(fixedCurves);
        }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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    System.arraycopy(YIELD, 0, x, 0, YIELD.length);
    x[YIELD.length] = CST;
    final YieldAndDiscountCurve curveGenerated = GENERATOR_SPREAD.generateCurve(CURVE_NAME_1, x);
    final YieldAndDiscountCurve curveExpected0 = new YieldCurve(CURVE_NAME_1 + "-0", new InterpolatedDoublesCurve(NODES, YIELD, LINEAR_FLAT, true, CURVE_NAME_1 + "-0"));
    final YieldAndDiscountCurve curveExpected1 = new YieldCurve(CURVE_NAME_1 + "-1", new ConstantDoublesCurve(CST, CURVE_NAME_1 + "-1"));
    final YieldAndDiscountCurve curveExpected = new YieldAndDiscountAddZeroSpreadCurve(CURVE_NAME_1, false, curveExpected0, curveExpected1);
    assertEquals("GeneratorCurveYieldConstant: generate curve", curveExpected, curveGenerated);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve

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    x[YIELD.length] = CST;
    x[YIELD.length + 1] = CST;
    final YieldAndDiscountCurve curveGenerated = generatorSpread2.generateCurve(CURVE_NAME_1, x);
    final YieldAndDiscountCurve curveExpected00 = new YieldCurve(CURVE_NAME_1 + "-0-0", new InterpolatedDoublesCurve(NODES, YIELD, LINEAR_FLAT, true, CURVE_NAME_1 + "-0-0"));
    final YieldAndDiscountCurve curveExpected01 = new YieldCurve(CURVE_NAME_1 + "-0-1", new ConstantDoublesCurve(CST, CURVE_NAME_1 + "-0-1"));
    final YieldAndDiscountCurve curveExpected0 = new YieldAndDiscountAddZeroSpreadCurve(CURVE_NAME_1 + "-0", false, curveExpected00, curveExpected01);
    final YieldAndDiscountCurve curveExpected1 = new YieldCurve(CURVE_NAME_1 + "-1", new ConstantDoublesCurve(CST, CURVE_NAME_1 + "-1"));
    final YieldAndDiscountCurve curveExpected = new YieldAndDiscountAddZeroSpreadCurve(CURVE_NAME_1, false, curveExpected0, curveExpected1);
    assertEquals("GeneratorCurveYieldConstant: generate curve", curveExpected, curveGenerated);
  }
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