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

Examples of com.opengamma.analytics.financial.model.interestrate.definition.G2ppPiecewiseConstantParameters

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  @Test(enabled = false)
  /**
   * Test the present value vs a external system. "enabled = false" for the standard testing: the external system is using a TimeCalculator with ACT/365.
   */
  public void presentValueExternal() {
    final G2ppPiecewiseConstantParameters parametersCst = TestsDataSetG2pp.createG2ppCstParameters();
    final YieldAndDiscountCurve curve5 = YieldCurve.from(ConstantDoublesCurve.from(0.05));
    final YieldCurveBundle curves = new YieldCurveBundle();
    curves.setCurve(FUNDING_CURVE_NAME, curve5);
    curves.setCurve(FORWARD_CURVE_NAME, curve5);
    final G2ppPiecewiseConstantDataBundle bundleCst = new G2ppPiecewiseConstantDataBundle(parametersCst, curves);
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            firstVolatility.add((Double) firstVolatilityObject);
            secondVolatility.add((Double) secondVolatilityObject);
            volatilityTime.add(t);
          }
        }
        final G2ppPiecewiseConstantParameters g2ppParameters = new G2ppPiecewiseConstantParameters(new double[] {firstMeanReversion, secondMeanReversion},
            new double[][] {firstVolatility.toDoubleArray(), secondVolatility.toDoubleArray()}, volatilityTime.toDoubleArray(), correlation);
        return Collections.singleton(new ComputedValue(result, g2ppParameters));
      }

      @Override
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          providers.add((HullWhiteOneFactorProviderDiscount) input.getValue());
        }
      }
      final HullWhiteOneFactorProviderDiscount result = ProviderUtils.mergeHullWhiteProviders(providers);
      final HullWhiteOneFactorProviderDiscount provider = ProviderUtils.mergeHullWhiteProviders(result, matrix);
      final G2ppPiecewiseConstantParameters parameters = (G2ppPiecewiseConstantParameters) inputs.getValue(G2PP_PARAMETERS);
      return new G2ppProviderDiscount(provider.getMulticurveProvider(), parameters, provider.getHullWhiteCurrency());
    }
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