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

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

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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
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    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    final CombinedInterpolatorExtrapolator interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName,
        rightExtrapolatorName);
    curveNodes.put(fullDomesticCurveName, nodeTimes.toDoubleArray());
    interpolators.put(fullDomesticCurveName, interpolator);
    final FXMatrix fxMatrix = new FXMatrix();
    fxMatrix.addCurrency(foreignCurrency, domesticCurrency, spotFX);
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
        interpolators, useFiniteDifference, fxMatrix);
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
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        }
      }
      if (currency == null) {
        throw new OpenGammaRuntimeException("Could not get the currency for this set of Hull-White one factor parameters");
      }
      final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
      HullWhiteOneFactorProviderDiscount knownData;
      if (getExogenousRequirements().isEmpty()) {
        knownData = new HullWhiteOneFactorProviderDiscount(new MulticurveProviderDiscount(fxMatrix), modelParameters, currency);
      } else {
        final Object curveBundle = inputs.getValue(ValueRequirementNames.CURVE_BUNDLE);
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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
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