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

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

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      final Integer offset = nodesPerCurve.get(curveName);
      if (offset == null) {
        continue;
      }
      final double[] yields = Arrays.copyOfRange(fittedYields, i, i + offset);
      final YieldCurve yieldCurve = YieldCurve.from(InterpolatedDoublesCurve.from(curveNodes.get(curveName), yields, interpolators.get(curveName)));
      final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, curveName, absoluteToleranceName,
          relativeToleranceName, iterationsName, decompositionName, useFiniteDifferenceName);
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, targetSpec, curveProperties);
      results.add(new ComputedValue(spec, yieldCurve));
      curveBundle.setCurve(curveName, yieldCurve);
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      final Integer offset = nodesPerCurve.get(curveName);
      if (offset == null) {
        continue;
      }
      final double[] yields = Arrays.copyOfRange(fittedYields, i, i + offset);
      final YieldCurve yieldCurve = YieldCurve.from(InterpolatedDoublesCurve.from(curveNodes.get(curveName), yields, interpolators.get(curveName)));
      final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, curveName, absoluteToleranceName,
          relativeToleranceName, iterationsName, decompositionName, useFiniteDifferenceName);
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, targetSpec, curveProperties);
      results.add(new ComputedValue(spec, yieldCurve));
      curveBundle.setCurve(curveName, yieldCurve);
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    final String fundingCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final Object fundingCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
    if (fundingCurveObject == null) {
      throw new OpenGammaRuntimeException("Failed to get funding curve requirement");
    }
    final YieldCurve fundingCurve = (YieldCurve) fundingCurveObject;
    // Dividend type: Discrete or Continuous
    final String dividendType = desiredValue.getConstraint(ValuePropertyNames.DIVIDEND_TYPE);
    boolean isContinuousDividends = ValuePropertyNames.DIVIDEND_TYPE_CONTINUOUS.equalsIgnoreCase(dividendType);
    // Compute ForwardCurve
    final ForwardCurve forwardCurve;
    if (isContinuousDividends) {
      // Cost of Carry - if no dividend yield available set 0 cost of carry
      final Double dividendYieldObject = (Double) inputs.getValue(MarketDataRequirementNames.DIVIDEND_YIELD);
      final double dividendYield = dividendYieldObject == null ? 0.0 : dividendYieldObject.doubleValue();
      final YieldCurve costOfCarryCurve = YieldCurve.from(ConstantDoublesCurve.from(dividendYield, "CostOfCarry"));
      forwardCurve = new ForwardCurveYieldImplied(spot, fundingCurve, costOfCarryCurve);     
    } else {
      Object discreteDividendsInput = inputs.getValue(ValueRequirementNames.AFFINE_DIVIDENDS);
      if ((discreteDividendsInput != null) && (discreteDividendsInput instanceof AffineDividends)) {
        final AffineDividends discreteDividends = (AffineDividends) discreteDividendsInput;
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      throw new OpenGammaRuntimeException("Could not get Discount Curve");
    }
    if (!(discountObject instanceof YieldCurve)) { //TODO: make it more generic
      throw new IllegalArgumentException("Can only handle YieldCurve");
    }
    final YieldCurve discountCurve = (YieldCurve) discountObject;

    final Object spotObject = inputs.getValue(getSpotRequirement(security));
    if (spotObject == null) {
      throw new OpenGammaRuntimeException("Could not get Underlying's Spot value");
    }
    final double spot = (Double) spotObject;

    final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate());
    final double discountFactor = discountCurve.getDiscountFactor(expiry);
    ArgumentChecker.isTrue(Double.doubleToLongBits(discountFactor) != 0, "The discount curve has returned a zero value for a discount bond. Check rates.");
    final ForwardCurve forwardCurve = new ForwardCurve(spot, discountCurve.getCurve()); //TODO change this

    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountCurve, forwardCurve);
    final ValueSpecification resultSpec = getValueSpecification(target, curveName, curveCalculationConfig, surfaceName);
    // 3. Compute and return the value (ComputedValue)
    return computeValues(resultSpec, inputs, deriv, market);
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      throw new OpenGammaRuntimeException("Could not get discounting Curve");
    }
    if (!(discountingObject instanceof YieldCurve)) { //TODO: make it more generic
      throw new IllegalArgumentException("Can only handle YieldCurve");
    }
    final YieldCurve discountingCurve = (YieldCurve) discountingObject;

    // 2. The Vol Surface
    final Object volSurfaceObject = inputs.getValue(ValueRequirementNames.BLACK_VOLATILITY_SURFACE);
    if (volSurfaceObject == null || !(volSurfaceObject instanceof BlackVolatilitySurface)) {
      throw new OpenGammaRuntimeException("Could not get Volatility Surface");
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      final ValueRequirement desiredValue = desiredValues.iterator().next();
      final Set<String> fxForwardCurveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
      if (fxForwardCurveNames == null || fxForwardCurveNames.size() != 1) {
        throw new OpenGammaRuntimeException("Null or non-unique FX forward curve names: " + fxForwardCurveNames);
      }
      final YieldCurve payCurve = (YieldCurve) payCurveObject;
      final YieldCurve receiveCurve = (YieldCurve) receiveCurveObject;
      final String fxForwardCurveName = fxForwardCurveNames.iterator().next();
      final ForwardCurve fxForwardCurve = new ForwardCurveYieldImplied(spot, payCurve, receiveCurve);
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CURVE, fxForwardCurveName)
          .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardCurveValuePropertyNames.PROPERTY_YIELD_CURVE_IMPLIED_METHOD)
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    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();
    final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, domesticCurveName, absoluteToleranceName, relativeToleranceName,
        iterationsName, decompositionName, useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final ValueProperties properties = getProperties(curveCalculationConfigName, absoluteToleranceName, relativeToleranceName, iterationsName, decompositionName,
        useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
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      throw new OpenGammaRuntimeException("Could not get Discounting Curve");
    }
    if (!(discountingObject instanceof YieldCurve)) { //TODO: make it more generic
      throw new IllegalArgumentException("Can only handle YieldCurve");
    }
    final YieldCurve discountingCurve = (YieldCurve) discountingObject;

    // 2. The Vol Surface
    final Object volSurfaceObject = inputs.getValue(ValueRequirementNames.BLACK_VOLATILITY_SURFACE);
    if (volSurfaceObject == null || !(volSurfaceObject instanceof BlackVolatilitySurface)) {
      throw new OpenGammaRuntimeException("Could not get Volatility Surface");
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        final DoubleMatrix1D initialValues = new DoubleMatrix1D(new double[] {1, 2, 3, 4, 2, 3 });
        final ParameterizedFunction<Double, DoubleMatrix1D, Double> parameterizedFunction = MODEL.getParameterizedFunction();
        final LeastSquareResults result = MINIMISER.solve(new DoubleMatrix1D(t), new DoubleMatrix1D(ytm), parameterizedFunction, initialValues);
        final DoubleMatrix1D parameters = result.getFitParameters();
        final FunctionalDoublesCurve curve = FunctionalDoublesCurve.from(parameterizedFunction.asFunctionOfArguments(parameters));
        final YieldCurve yieldCurve = YieldCurve.from(curve);
        return Sets.newHashSet(new ComputedValue(_result, yieldCurve));
      }

      @Override
      public ComputationTargetType getTargetType() {
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve

  • com.opengamma.analytics.example.curveconstruction.AnnuityExample
  • com.opengamma.analytics.example.curveconstruction.CashExample
  • com.opengamma.analytics.example.curveconstruction.YieldCurveExample
  • com.opengamma.analytics.financial.curve.generator.GeneratorCurveTest
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldConstant
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedAnchorNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolatedNode
  • com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldNelsonSiegel
  • com.opengamma.analytics.financial.equity.EquityDerivativeSensitivityCalculator
  • com.opengamma.analytics.financial.future.FuturesRatesSensitivityCalculator
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