Package com.opengamma.analytics.financial.curve.interestrate.generator

Examples of com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveAddYield.generateCurve()


    final GeneratorCurveAddYield generatorSpread2 = new GeneratorCurveAddYield(new GeneratorYDCurve[] {generatorSpread1, GENERATOR_YIELD_CONSTANT}, false);
    final double[] x = new double[YIELD.length + 2];
    System.arraycopy(YIELD, 0, x, 0, YIELD.length);
    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);
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  public void generateCurveYieldSpread3() {
    final double[] x = new double[2 * YIELD.length];
    System.arraycopy(YIELD, 0, x, 0, YIELD.length);
    System.arraycopy(YIELD, 0, x, YIELD.length, YIELD.length);
    final GeneratorCurveAddYield generatorIntMinusInt = new GeneratorCurveAddYield(new GeneratorYDCurve[] {GENERATOR_YIELD_INTERPOLATED_NODE, GENERATOR_YIELD_INTERPOLATED_NODE}, true);
    final YieldAndDiscountCurve curveGenerated = generatorIntMinusInt.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 InterpolatedDoublesCurve(NODES, YIELD, LINEAR_FLAT, true, CURVE_NAME_1 + "-1"));
    final YieldAndDiscountCurve curveExpected = new YieldAndDiscountAddZeroSpreadCurve(CURVE_NAME_1, true, curveExpected0, curveExpected1);
    assertEquals("GeneratorCurveYieldConstant: generate curve", curveExpected, curveGenerated);
  }
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