Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.addAll()

160
161
162
163
164
165
166
167
168
169
170
    final double[] sensiForwardForwardFD = new double[nbForwardDate];
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedForward = FRA_METHOD.parRate(fraBumpedForward, curvesBumpedForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiForwardForwardFD[i] = (bumpedForward - forward) / deltaShift;
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
View Full Code Here
186
187
188
189
190
191
192
193
194
195
196
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsFra.getSensitivities().get(CURVE_NAME_1[0]);
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.setCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
    final double resDsc = (bumpedPvDsc - pv) / deltaShift;
    final DoublesPair pair = tempFunding.get(0);
    assertEquals("Sensitivity pv to discounting curve:", nodeTimesFunding[1], pair.getFirst(), 1E-8);
View Full Code Here
222
223
224
225
226
227
228
229
230
231
232
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
    }
View Full Code Here
247
248
249
250
251
252
253
254
255
256
257
    nodeTimesFunding[1] = FRA.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
    final double[] resDsc = new double[1];
    resDsc[0] = (bumpedPvDsc - pv) / deltaShift;
View Full Code Here
113
114
115
116
117
118
119
120
121
122
123
      nodeTimes[i + 1] = SWAP_PAYER.getFixedLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimes[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yieldsFunding, new LinearInterpolator1D()));
    final YieldCurveBundle curvesNotBumped = new YieldCurveBundle();
    curvesNotBumped.addAll(CURVES);
    curvesNotBumped.setCurve("Bumped Curve", tempCurveFunding);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curvesNotBumped);
    final InterestRateCurveSensitivity pvbpDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(SWAP_PAYER, curvesNotBumped);

    final List<DoublesPair> tempFunding = pvbpDr.getSensitivities().get(CURVES_NAME[0]);
View Full Code Here
122
123
124
125
126
127
128
129
130
131
132
    final List<DoublesPair> tempFunding = pvbpDr.getSensitivities().get(CURVES_NAME[0]);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimes[i + 1], eps);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(CURVES);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final double bumpedpvbp = METHOD_SWAP.presentValueBasisPoint(swapBumpedFunding, curvesBumped);
      final double res = (bumpedpvbp - pvbp) / eps;
      final DoublesPair pair = tempFunding.get(i);
      assertEquals("Node " + i, nodeTimes[i + 1], pair.getFirst(), 1E-8);
View Full Code Here
239
240
241
242
243
244
245
246
247
248
249
    final List<DoublesPair> tempForward = pvsLongPayerExtra.getSensitivities().get(FORWARD_CURVE_NAME);
    final double[] resFwd = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = METHOD_EXTRAPOLATION.presentValue(swaptionBumpedForward, sabrBundleBumped);
      resFwd[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
View Full Code Here
273
274
275
276
277
278
279
280
281
282
283
    final List<DoublesPair> tempFunding = pvsLongPayerExtra.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] resDsc = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = METHOD_EXTRAPOLATION.presentValue(swaptionBumpedFunding, sabrBundleBumped);
      resDsc[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
View Full Code Here
284
285
286
287
288
289
290
291
292
293
294
            throw new OpenGammaRuntimeException("Could not get curve called " + curveName);
          }
          final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
          curves.setCurve(curveName, curve);
        }
        curves.addAll(getYieldCurves(inputs, exogenousConfig, configSource));
      }
    }
    final String[] curveNames = curveConfig.getYieldCurveNames();
    final ComputationTargetSpecification target = curveConfig.getTarget();
    for (final String curveName : curveNames) {
View Full Code Here
164
165
166
167
168
169
170
171
172
173
174
    final String[] curveNamesArray = curveNames.toArray(new String[0]);
    final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesArray, timeSeries);
    final YieldCurveBundle payCurveBundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, payCurveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveBundle receiveCurveBundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, receiveCurveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveBundle bundle = new YieldCurveBundle(payCurveBundle);
    bundle.addAll(receiveCurveBundle);
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValues(derivative, bundle, target.toSpecification(), properties);
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.