Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount

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    }

    @Override
    protected MulticurveProviderInterface getKnownData(final FunctionInputs inputs) {
      final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
      MulticurveProviderDiscount knownData;
      if (getExogenousRequirements().isEmpty()) {
        knownData = new MulticurveProviderDiscount(fxMatrix);
      } else {
        knownData = (MulticurveProviderDiscount) inputs.getValue(ValueRequirementNames.CURVE_BUNDLE);
        knownData.setForexMatrix(fxMatrix);
      }
      return knownData;
    }
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    @Override
    protected Set<ComputedValue> getResults(final ValueSpecification bundleSpec, final ValueSpecification jacobianSpec,
        final ValueProperties bundleProperties, final Pair<MulticurveProviderInterface, CurveBuildingBlockBundle> pair) {
      final Set<ComputedValue> result = new HashSet<>();
      final MulticurveProviderDiscount provider = (MulticurveProviderDiscount) pair.getFirst();
      result.add(new ComputedValue(bundleSpec, provider));
      result.add(new ComputedValue(jacobianSpec, pair.getSecond()));
      for (final String curveName : getCurveNames()) {
        final ValueProperties curveProperties = bundleProperties.copy()
            .with(CURVE, curveName)
            .get();
        final ValueSpecification curveSpec = new ValueSpecification(YIELD_CURVE, ComputationTargetSpecification.NULL, curveProperties);
        result.add(new ComputedValue(curveSpec, provider.getCurve(curveName)));
      }
      return result;
    }
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        final String valueName = input.getSpecification().getValueName();
        if (CURVE_BUNDLE.equals(valueName)) {
          providers.add((MulticurveProviderDiscount) input.getValue());
        }
      }
      final MulticurveProviderDiscount result = ProviderUtils.mergeDiscountingProviders(providers);
      return ProviderUtils.mergeDiscountingProviders(result, matrix);
    }
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  @Test
  /**
   * Tests the toDerivative method on the payment date. valuation is at noon, payment set at midnight...
   */
  public void toDerivativeOnDateOfFinalPayment() {
    final MulticurveProviderDiscount provider = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
    final ZonedDateTime valuationTimeIsNoon = FINAL_PAYMENT_DATE.with(LocalTime.NOON);
    assertTrue("valuationTimeIsNoon to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(FINAL_PAYMENT_DATE));
    final Annuity<? extends Coupon> derivative = DEFINITION.toDerivative(valuationTimeIsNoon, FIXING_TS);
    assertEquals("On the payment date, we expect the derivative to have the same number of payments as its definition", 1, derivative.getNumberOfPayments());
    assertTrue("CouponOIS should be of type CouponFixed on the payment date", derivative.getNthPayment(0) instanceof CouponFixed);
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  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethodTest
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