Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.FXMatrix

40
41
42
43
44
45
46
47
48
49
50
   * (minimum: 1.0E-6; maximum: 1.0, function value accuracy: 1.0E-4; parameter absolute accuracy: 1.0E-9).
   * @param parameters The Hull-White parameters.
   * @param ccy The currency for which the Hull-White parameters are valid (Hull-White on the discounting curve).
   */
  public SuccessiveRootFinderHullWhiteCalibrationObjective(final HullWhiteOneFactorPiecewiseConstantParameters parameters, final Currency ccy) {
    super(new FXMatrix(ccy), ccy);
    _hwParameters = parameters;
    _ccyHW = ccy;
    setMinimumParameter(1.0E-6);
    setMaximumParameter(1.0);
    setFunctionValueAccuracy(1.0E-4);
View Full Code Here
42
43
44
45
46
47
48
   * Constructor. An empty map is created for the curves and an empty FXMatrix.
   */
  public YieldCurveBundle() {
    _curves = new LinkedHashMap<>();
    _curveCurrency = new HashMap<>();
    _fxMatrix = new FXMatrix();
  }
View Full Code Here
61
62
63
64
65
66
67
      ArgumentChecker.noNulls(curvesMap.keySet(), "curve map key set");
      ArgumentChecker.noNulls(curvesMap.values(), "curve map entry set");
      _curves.putAll(curvesMap);
    }
    _curveCurrency = new HashMap<>(curveCurrency);
    _fxMatrix = new FXMatrix(fxMatrix);
  }
View Full Code Here
72
73
74
75
76
77
78
   * @param curveCurrency The map of currency names to currency
   */
  public YieldCurveBundle(final FXMatrix fxMatrix, final Map<String, Currency> curveCurrency) {
    _curves = new LinkedHashMap<>();
    _curveCurrency = new HashMap<>(curveCurrency);
    _fxMatrix = new FXMatrix(fxMatrix);
  }
View Full Code Here
82
83
84
85
86
87
88
89
90
91
92
   * @param curvesMap The map.
   */
  public YieldCurveBundle(final Map<String, ? extends YieldAndDiscountCurve> curvesMap) {
    _curves = new LinkedHashMap<>();
    _curveCurrency = new HashMap<>();
    _fxMatrix = new FXMatrix();
    if (curvesMap != null) {
      ArgumentChecker.noNulls(curvesMap.keySet(), "curves map key set");
      ArgumentChecker.noNulls(curvesMap.values(), "curves map values");
      _curves.putAll(curvesMap);
    }
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
    ArgumentChecker.isTrue(names.length == curves.length, "Different number of names ({}) and curves ({})", names.length, curves.length);
    ArgumentChecker.noNulls(names, "names");
    ArgumentChecker.noNulls(curves, "curves");
    _curves = new LinkedHashMap<>();
    _curveCurrency = new HashMap<>();
    _fxMatrix = new FXMatrix();
    final int n = names.length;
    for (int i = 0; i < n; i++) {
      _curves.put(names[i], curves[i]);
    }
  }
View Full Code Here
138
139
140
141
142
143
144
    ArgumentChecker.notNull(curvesMap, "curves map");
    ArgumentChecker.notNull(fxMatrix, "FX matrix");
    ArgumentChecker.notNull(curveCurrency, "curve currency");
    _curves = new LinkedHashMap<>(curvesMap);
    _curveCurrency = new HashMap<>(curveCurrency);
    _fxMatrix = new FXMatrix(fxMatrix);
  }
View Full Code Here
157
158
159
160
161
162
163
164
165
166
167
    ArgumentChecker.isTrue(names.length == currencies.length, "Different number of names ({}) and currencies ({})", names.length, currencies.length);
    ArgumentChecker.noNulls(names, "names");
    ArgumentChecker.noNulls(curves, "curves");
    _curves = new LinkedHashMap<>();
    _curveCurrency = new HashMap<>();
    _fxMatrix = new FXMatrix();
    final int n = names.length;
    for (int i = 0; i < n; i++) {
      _curves.put(names[i], curves[i]);
      _curveCurrency.put(names[i], currencies[i]);
    }
View Full Code Here
173
174
175
176
177
178
179
   */
  public YieldCurveBundle(final YieldCurveBundle bundle) {
    ArgumentChecker.notNull(bundle, "bundle");
    _curves = new LinkedHashMap<>(bundle._curves);
    _curveCurrency = new HashMap<>(bundle._curveCurrency);
    _fxMatrix = new FXMatrix(bundle._fxMatrix);
  }
View Full Code Here
183
184
185
186
187
188
189
190
   * @return The bundle.
   */
  public YieldCurveBundle copy() {
    final LinkedHashMap<String, YieldAndDiscountCurve> curves = new LinkedHashMap<>(_curves);
    final Map<String, Currency> curveCurrency = new HashMap<>(_curveCurrency);
    final FXMatrix fxMatrix = new FXMatrix(_fxMatrix);
    return new YieldCurveBundle(fxMatrix, curveCurrency, curves);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.forex.method.FXMatrix

  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.provider.MulticurveProviderDiscountForexDataSets
  • com.opengamma.analytics.financial.instrument.index.GeneratorForexSwapTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapXCcyIborIborTest
  • com.opengamma.analytics.financial.interestrate.TestsDataSetsSABR
  • com.opengamma.analytics.financial.interestrate.YieldCurveBundle
  • com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle
  • com.opengamma.analytics.financial.provider.description.FXDataSets
    • Copyright © 2018 www.massapicom. 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.