List of replaceCurve() Examples

Examples of replaceCurve()

com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()
Replace an existing curve with a new one. @param name The curve name. @param curve The curve. @throws IllegalArgumentException if curve name NOT already present
com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount.replaceCurve()
Replaces the discounting curve for a given currency. @param ccy The currency. @param curve The yield curve used for discounting. @throws IllegalArgumentException if curve name NOT already present

Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount.replaceCurve()

    final double[] rSpread = new double[R1.length];
    for (int i = 0; i < rSpread.length; i++) {
      rSpread[i] = R1[i] + zSpread + eps;
    }
    final MulticurveProviderDiscount multicurves = new MulticurveProviderDiscount(MULTI_CURVES.copy());
    multicurves.replaceCurve(Currency.EUR, YieldCurve.from(InterpolatedDoublesCurve.from(T, rSpread, INTERPOLATOR)));
    final double newPrice = PAYMENTS.accept(PV_CALCULATOR, multicurves).getAmount(Currency.EUR);
    assertEquals((newPrice - price) / eps, CALCULATOR.calculatePriceSensitivityToZSpread(PAYMENTS, MULTI_CURVES, zSpread), eps);
  }


  @Test

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount.replaceCurve()

    final double[][] rateAA = new double[nbLevel][nbStart];
    final double[][] rateAAApprox = new double[nbLevel][nbStart];


    for (int looplevel = 0; looplevel < nbLevel; looplevel++) {
      curveCst = YieldCurve.from(ConstantDoublesCurve.from(rateLevel[looplevel], "CST"));
      multicurvesCst.replaceCurve(FEDFUND, curveCst);


      for (int loopstart = 0; loopstart < nbStart; loopstart++) {
        effectiveDate[loopstart] = ScheduleCalculator.getAdjustedDate(effectiveDate[0], step.multipliedBy(loopstart), USDLIBOR3M, NYC);
        final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(effectiveDate[loopstart], TENOR_3M, USDLIBOR3M, NYC);
        final CouponArithmeticAverageONDefinition cpnONDefinition = CouponArithmeticAverageONDefinition.from(FEDFUND, effectiveDate[loopstart], endDate, NOTIONAL, 0, NYC);

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