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

Examples of com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurve

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  public InflationProviderDiscount evaluate(final DoubleMatrix1D x) {
    final InflationProviderDiscount provider = _knownData.copy();
    final Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (final String name : nameSet) {
      final GeneratorCurve generator = _generatorsMap.get(name);

      final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + generator.getNumberOfParameter());
      indexParam += generator.getNumberOfParameter();

      if (generator instanceof GeneratorYDCurve) {
        final GeneratorYDCurve discountGenerator = (GeneratorYDCurve) generator;
        final YieldAndDiscountCurve curve = discountGenerator.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
        if (_discountingMap.containsKey(name)) {
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      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        generators.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k]);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_ON_MAP, US_CPI_MAP, calculator,
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        final double[] initialGuess = new double[nInstruments];
        for (int k = 0; k < nInstruments; k++) {
          derivatives[k] = convert(definitions[i][j][k]);
          initialGuess[k] = initialGuess(definitions[i][j][k]);
        }
        final GeneratorCurve generator = curveGenerators[i][j].finalGenerator(derivatives);
        singleCurves[j] = new SingleCurveBundle<>(curveNames[i][j], derivatives, initialGuess, generator);
      }
      curveBundles[i] = new MultiCurveBundle<>(singleCurves);
    }
    return CURVE_BUILDING_REPOSITORY.makeCurvesFromDerivatives(curveBundles, knownData, DSC_MAP, FWD_ON_MAP, US_CPI_MAP, calculator,
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Related Classes of com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurve

  • com.opengamma.analytics.financial.provider.curve.inflation.GeneratorInflationProviderDiscount
  • com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.InflationBuildingCurveWithDiscountAndSeasonalityTestUS
  • com.opengamma.analytics.financial.provider.curve.InflationBuildingCurveWithDiscountTestEUR
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