Package com.opengamma.analytics.financial.greeks

Examples of com.opengamma.analytics.financial.greeks.MixedOrderUnderlying

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      if (n == 0) {
        return 1;
      }
      return 1. / MathUtils.factorial(n);
    } else if (underlying instanceof MixedOrderUnderlying) {
      final MixedOrderUnderlying mixedOrder = (MixedOrderUnderlying) underlying;
      double result = 1;
      for (final NthOrderUnderlying underlyingOrder : mixedOrder.getUnderlyingOrders()) {
        result *= getMultiplier(underlyingOrder);
      }
      return result;
    }
    throw new IllegalArgumentException("Order was neither NthOrderUnderlying nor MixedOrderUnderlying: have " + underlying.getClass());
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      final UnderlyingType type = nthOrder.getUnderlying();
      Validate.isTrue(underlyingData.containsKey(type));
      final double value = Math.pow(underlyingData.get(type), n);
      return value * getMultiplier(underlying);
    } else if (underlying instanceof MixedOrderUnderlying) {
      final MixedOrderUnderlying mixedOrder = (MixedOrderUnderlying) underlying;
      Double result = null;
      double multiplier;
      for (final NthOrderUnderlying underlyingOrder : mixedOrder.getUnderlyingOrders()) {
        if (result == null) {
          result = getValue(underlyingData, underlyingOrder);
        } else {
          multiplier = getValue(underlyingData, underlyingOrder);
          result = result * multiplier;
 
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      Validate.isTrue(underlyingData.containsKey(type));
      DoubleTimeSeries<?> ts = underlyingData.get(type);
      ts = ts.power(n);
      return ts.multiply(getMultiplier(underlying));
    } else if (underlying instanceof MixedOrderUnderlying) {
      final MixedOrderUnderlying mixedOrder = (MixedOrderUnderlying) underlying;
      DoubleTimeSeries<?> result = null;
      DoubleTimeSeries<?> multiplier = null;
      int size = 0;
      for (final NthOrderUnderlying underlyingOrder : mixedOrder.getUnderlyingOrders()) {
        if (result == null) {
          result = getTimeSeries(underlyingData, underlyingOrder);
          size = result.size();
        } else {
          multiplier = getTimeSeries(underlyingData, underlyingOrder);
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Related Classes of com.opengamma.analytics.financial.greeks.MixedOrderUnderlying

  • com.opengamma.analytics.financial.pnl.UnderlyingType
  • com.opengamma.analytics.financial.riskfactor.TaylorExpansionMultiplierCalculator
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