Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderFunction

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      }
      try {
        final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
            new FXMatrix(currency));
        final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
        final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_SPREAD_RATE_CALCULATOR);
        final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderIRSJacobian(data, PAR_SPREAD_RATE_SENSITIVITY_CALCULATOR);
        final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
        final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
        int i = 0;
        for (final String curveName : curveNames) {
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      interpolators.put(impliedDepositCurveName, interpolator);
      final FXMatrix fxMatrix = new FXMatrix();
      final YieldCurveBundle knownCurve = new YieldCurveBundle();
      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, 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);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
      final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
      final YieldCurve impliedDepositCurve = new YieldCurve(impliedDepositCurveName, InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
      final ValueSpecification curveSpec = new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
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      final FXMatrix fxMatrix = new FXMatrix();
      fxMatrix.addCurrency(foreignCurrency, domesticCurrency, invertFXQuotes ? spotFX : 1 / 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);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
      final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));

      domesticCurves.put(valuationDate, curve);
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          curveNodes.put(impliedDepositCurveName, t);
          interpolators.put(impliedDepositCurveName, interpolator);
          final FXMatrix fxMatrix = new FXMatrix();
          final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, r, 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);

          final double[] fittedYields;
          try {
            fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
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    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PV_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PV_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final ValueProperties properties = getJacobianProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName,
        decompositionName, useFiniteDifferenceName);
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    curveNodes.put(curveName, nodeTimes);
    interpolators.put(curveName, getInterpolator(specificationWithSecurities));
    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    try {
      // TODO have the decomposition as an optional input [FIN-146]
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    interpolators.put(forwardCurveName, getInterpolator(forwardCurveSpecificationWithSecurities));
    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    // TODO have the calculator and sensitivity calculators as an input [FIN-144], [FIN-145]
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
    // TODO have the decomposition as an optional input [FIN-146]
    try {
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    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_SPREAD_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderIRSJacobian(data, PAR_SPREAD_RATE_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final ValueProperties properties = getJacobianProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName,
        decompositionName, useFiniteDifferenceName);
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    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);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));
    final ComputationTargetSpecification targetSpec = target.toSpecification();
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Related Classes of com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderFunction

  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveSeriesFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.ImpliedDepositCurveFunction$MyCompiledFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.ImpliedDepositCurveSeriesFunction$MyCompiledFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MarketInstrumentImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodSeriesFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction
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