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

Examples of com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve

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  }

  @Override
  public YieldAndDiscountCurve generateCurve(final String name, final double[] x) {
    ArgumentChecker.isTrue(x.length == _nbPoints, "Incorrect dimension for the rates");
    return new DiscountCurve(name, new InterpolatedDoublesCurve(_nodePoints, x, _interpolator, true, name));
  }
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  }

  @Override
  public YieldAndDiscountCurve generateCurve(final String name, final double[] x) {
    ArgumentChecker.isTrue(x.length == _nbPoints, "Incorrect dimension for the rates");
    return new DiscountCurve(name, DoublesCurveInterpolatedAnchor.from(_nodePoints, x, _anchor, 1.0, _interpolator, name));
  }
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      if (message.hasField(NAME_FIELD_NAME)) {
        name = message.getString(NAME_FIELD_NAME);
      } else {
        name = curve.getName();
      }
      return new DiscountCurve(name, curve);
    }
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      @Override
      public Double evaluate(final DoubleMatrix1D x) {
        final YieldCurveBundle curves = interpolatedCurves.copy();
        int index2 = 0;
        for (final String name : interpolatedCurves.getAllNames()) {
          final DiscountCurve curve = (DiscountCurve) interpolatedCurves.getCurve(name);
          final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) curve.getCurve()).getDataBundle();
          final int numberOfNodes = dataBundle.size();
          final double[] df1 = Arrays.copyOfRange(x.getData(), index2, index2 + numberOfNodes);
          index2 += numberOfNodes;
          final YieldAndDiscountCurve newCurve = DiscountCurve.from(InterpolatedDoublesCurve.from(dataBundle.getKeys(), df1, ((InterpolatedDoublesCurve) curve.getCurve()).getInterpolator()));
          curves.replaceCurve(name, newCurve);
        }
        if (fixedCurves != null) {
          curves.addAll(fixedCurves);
        }
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      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
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      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, DoublesCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        ConstantDoublesCurve.from(0.03, "c"));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
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      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
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      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
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      }
    }
    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "T"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
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@Test(groups = TestGroup.UNIT)
public class YieldCurveBundleBuilderTest extends AnalyticsTestBase {

  @Test
  public void test() {
    final DiscountCurve curve = new DiscountCurve("name1", ConstantDoublesCurve.from(1.234));
    final YieldCurveBundle bundle = new YieldCurveBundle();
    bundle.setCurve("name2", curve);
    final YieldCurveBundle bundle2 = cycleObject(YieldCurveBundle.class, bundle);
    assertEquals(bundle, bundle2);
  }
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve

  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolatedAnchorNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveDiscountFactorInterpolatedNode
  • com.opengamma.analytics.financial.interestrate.NodeSensitivityCalculatorTestBase
  • com.opengamma.analytics.math.curve.InterpolatedDoublesCurve
  • com.opengamma.financial.analytics.fudgemsg.AnalyticsParameterProviderBuildersTest
  • com.opengamma.financial.analytics.fudgemsg.ModelInterestRateCurve$DiscountCurveBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelInterestRateCurveTest
  • com.opengamma.financial.analytics.fudgemsg.YieldCurveBundleBuilderTest
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