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

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

344
345
346
347
348
349
350
351
    return _multicurveProvider.getFxRates();
  }

  @Override
  public InflationProviderForward withDiscountFactor(final Currency ccy, final YieldAndDiscountCurve replacement) {
    final MulticurveProviderForward decoratedMulticurve = _multicurveProvider.withDiscountFactor(ccy, replacement);
    return new InflationProviderForward(decoratedMulticurve, _priceIndexCurves);
  }
View Full Code Here
323
324
325
326
327
328
329
        final IndexON index = deserializer.fudgeMsgToObject(IndexON.class, (FudgeMsg) indexONFields.get(i).getValue());
        final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardONCurveFields.get(i).getValue());
        forwardONCurves.put(index, curve);
      }
      final FXMatrix fxMatrix = deserializer.fieldValueToObject(FXMatrix.class, message.getByName(FX_MATRIX_FIELD));
      return new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
    }
View Full Code Here
132
133
134
135
136
137
138
139
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        ConstantDoublesCurve.from(0.03, "d"));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderForward provider = new MulticurveProviderForward(discounting, ibor, overnight, matrix);
    assertEquals(provider, cycleObject(MulticurveProviderForward.class, provider));
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderForward

  • com.opengamma.analytics.financial.forex.method.FXMatrix
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve
  • com.opengamma.analytics.financial.provider.curve.multicurve.GeneratorMulticurveProviderForward
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardBuildingRepository
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardFinderFunction
  • com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveProviderForwardFinderJacobian
  • com.opengamma.analytics.financial.provider.description.inflation.InflationProviderForward
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveForwardInterpolatedFDCalculator
  • com.opengamma.analytics.math.curve.DoublesCurve
  • com.opengamma.financial.analytics.fudgemsg.AnalyticsParameterProviderBuilders$MulticurveProviderForwardBuilder
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.