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

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


          }
          final GeneratorPriceIndexCurve generator = getGenerator(definition, now.toLocalDate());
          singleCurves[j++] = new SingleCurveBundle<>(curveName, derivativesForCurve, generator.initialGuess(parameterGuessForCurves), generator);
          // seasonal curve construction
          final double[] seasonalFactors = {1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0 };
          final SeasonalCurve seasonalCurve = new SeasonalCurve(seasonalStep, seasonalFactors, false);

          // TODO : inputs () should be retrieve from historical data, for this we need two things :
          // 1) historical value of the price index (this can be retrieve from bloomberg using the appropriate ticker)
          // 2) A statistical treatment on this data should be done, usually am kind of specific ARIMA.
        }
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