Package com.opengamma.analytics.financial.provider.curve

Examples of com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle

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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      final MulticurveProviderDiscount result = ProviderUtils.mergeDiscountingProviders(providers);
      return ProviderUtils.mergeDiscountingProviders(result, matrix);
    }

    protected CurveBuildingBlockBundle getMergedCurveBuildingBlocks(final FunctionInputs inputs) {
      final CurveBuildingBlockBundle result = new CurveBuildingBlockBundle();
      for (final ComputedValue input : inputs.getAllValues()) {
        final String valueName = input.getSpecification().getValueName();
        if (valueName.equals(JACOBIAN_BUNDLE)) {
          result.addAll((CurveBuildingBlockBundle) input.getValue());
        }
      }
      return result;
    }
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      final HullWhiteOneFactorProviderDiscount result = ProviderUtils.mergeHullWhiteProviders(providers);
      return ProviderUtils.mergeHullWhiteProviders(result, matrix);
    }

    protected CurveBuildingBlockBundle getMergedCurveBuildingBlocks(final FunctionInputs inputs) {
      final CurveBuildingBlockBundle result = new CurveBuildingBlockBundle();
      for (final ComputedValue input : inputs.getAllValues()) {
        final String valueName = input.getSpecification().getValueName();
        if (valueName.equals(JACOBIAN_BUNDLE)) {
          result.addAll((CurveBuildingBlockBundle) input.getValue());
        }
      }
      return result;
    }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final BlackSmileCapProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final HullWhiteOneFactorProviderInterface curves = getMergedProviders(inputs, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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            new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(strikeCutoff, mu);
        final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> psc =
            new ParameterSensitivityParameterCalculator<>(pvcdsc);
        final MarketQuoteSensitivityBlockCalculator<SABRSwaptionProviderInterface> calculator =
            new MarketQuoteSensitivityBlockCalculator<>(psc);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = calculator.fromInstrument(derivative, sabrData, blocks);
        for (final ValueRequirement dv : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), dv.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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          ccyPair = Pair.of(currency1, currency2);
        } else {
          ccyPair = Pair.of(currency2, currency1);
        }
        final MulticurveForwardPointsProviderInterface curves = new MulticurveForwardPointsProvider(getMergedProviders(inputs, fxMatrix), forwardPoints, ccyPair);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(forex, curves, blocks);
        final Set<Pair<String, Currency>> entries = sensitivities.getAllNamesCurrency();
        final Set<String> curveNames = new HashSet<>();
        for (final Pair<String, Currency> pair : entries) {
          curveNames.add(pair.getFirst());
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          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, sabrData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
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      final G2ppPiecewiseConstantParameters parameters = (G2ppPiecewiseConstantParameters) inputs.getValue(G2PP_PARAMETERS);
      return new G2ppProviderDiscount(provider.getMulticurveProvider(), parameters, provider.getHullWhiteCurrency());
    }

    protected CurveBuildingBlockBundle getMergedCurveBuildingBlocks(final FunctionInputs inputs) {
      final CurveBuildingBlockBundle result = new CurveBuildingBlockBundle();
      for (final ComputedValue input : inputs.getAllValues()) {
        final String valueName = input.getSpecification().getValueName();
        if (valueName.equals(JACOBIAN_BUNDLE)) {
          result.addAll((CurveBuildingBlockBundle) input.getValue());
        }
      }
      return result;
    }
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Related Classes of com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle

  • com.opengamma.analytics.financial.curve.interestrate.building.CurveBuildingFunction
  • com.opengamma.analytics.financial.provider.curve.hullwhite.HullWhiteProviderDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardBuildingRepository
  • com.opengamma.financial.analytics.fudgemsg.AnalyticsParameterProviderBuildersTest
  • com.opengamma.financial.analytics.fudgemsg.CurveResultBuilders$CurveBuildingBlockBundleBuilder
  • com.opengamma.financial.analytics.fudgemsg.CurveResultBuildersTest
  • com.opengamma.financial.analytics.model.black.BlackDiscountingBCSCapFloorFunction
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