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

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

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    _data = data;
  }

  @Override
  public DoubleMatrix2D evaluate(final DoubleMatrix1D x) {
    final MulticurveProviderForward bundle = _data.getKnownData().copy();
    final MulticurveProviderForward newCurves = _data.getGeneratorMarket().evaluate(x);
    final Set<String> curvesSet = _data.getGeneratorMarket().getCurvesList();
    bundle.setAll(newCurves);
    final int nbParameters = _data.getNumberOfInstruments();
    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
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    _data = data;
  }

  @Override
  public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
    final MulticurveProviderForward bundle = _data.getKnownData().copy();
    final MulticurveProviderForward newCurves = _data.getGeneratorMarket().evaluate(x);
    bundle.setAll(newCurves);
    final double[] res = new double[_data.getNumberOfInstruments()];
    for (int i = 0; i < _data.getNumberOfInstruments(); i++) {
      res[i] = _data.getInstrument(i).accept(_calculator, bundle);
    }
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    return _generatorsMap.keySet();
  }

  @Override
  public MulticurveProviderForward evaluate(final DoubleMatrix1D x) {
    final MulticurveProviderForward bundle = _knownData.copy();
    final Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (final String name : nameSet) {
      final GeneratorYDCurve gen = _generatorsMap.get(name);
      final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
      indexParam += gen.getNumberOfParameter();
      final YieldAndDiscountCurve curve = gen.generateCurve(name, bundle, paramCurve);
      if (_discountingMap.containsKey(name)) {
        bundle.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardONMap.containsKey(name)) {
        bundle.setCurve(_forwardONMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        ArgumentChecker.isTrue(curve instanceof YieldCurve, name);
        bundle.setCurve(_forwardIborMap.get(name), ((YieldCurve) curve).getCurve());
        // TODO: a proper generator should be created
      }
      // TODO: Do we need to check that the curve is used at least once?
    }
    return bundle;
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    final MulticurveProviderForwardBuildingData data = new MulticurveProviderForwardBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MulticurveProviderForwardFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveProviderForwardFinderJacobian(
        new ParameterSensitivityMulticurveMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final MulticurveProviderForward newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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  public Pair<MulticurveProviderForward, CurveBuildingBlockBundle> makeCurvesFromDerivatives(final InstrumentDerivative[][][] instruments,
      final GeneratorYDCurve[][] curveGenerators, final String[][] curveNames, final double[][] parametersGuess, final MulticurveProviderForward knownData,
      final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex> forwardIborMap, final LinkedHashMap<String, IndexON> forwardONMap,
      final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator, final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final int nbUnits = curveGenerators.length;
    final MulticurveProviderForward knownSoFarData = knownData.copy();
    final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>();
    final LinkedHashMap<String, GeneratorYDCurve> generatorsSoFar = new LinkedHashMap<>();
    final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>();
    final List<Double> parametersSoFar = new ArrayList<>();
    final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>();
    int startUnit = 0;
    for (int loopunit = 0; loopunit < nbUnits; loopunit++) {
      final int nbCurve = curveGenerators[loopunit].length;
      final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit.
      final LinkedHashMap<String, GeneratorYDCurve> gen = new LinkedHashMap<>();
      final int[] nbIns = new int[curveGenerators[loopunit].length];
      int nbInsUnit = 0; // Number of instruments in the unit.
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        startCurve[loopcurve] = nbInsUnit;
        nbIns[loopcurve] = instruments[loopunit][loopcurve].length;
        nbInsUnit += nbIns[loopcurve];
        instrumentsSoFar.addAll(Arrays.asList(instruments[loopunit][loopcurve]));
      }
      final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit];
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        System.arraycopy(instruments[loopunit][loopcurve], 0, instrumentsUnit, startCurve[loopcurve], nbIns[loopcurve]);
      }
      for (int loopcurve = 0; loopcurve < nbCurve; loopcurve++) {
        final GeneratorYDCurve tmp = curveGenerators[loopunit][loopcurve].finalGenerator(instruments[loopunit][loopcurve]);
        gen.put(curveNames[loopunit][loopcurve], tmp);
        generatorsSoFar.put(curveNames[loopunit][loopcurve], tmp);
        unitMap.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(startUnit + startCurve[loopcurve], nbIns[loopcurve]));
      }
      final Pair<MulticurveProviderForward, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess[loopunit], knownSoFarData, discountingMap, forwardIborMap, forwardONMap, gen, calculator,
          sensitivityCalculator);
      parametersSoFar.addAll(Arrays.asList(unitCal.getSecond()));
      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]), knownData,
          discountingMap, forwardIborMap, forwardONMap, generatorsSoFar, sensitivityCalculator);
      for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
        unitBundleSoFar.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[loopcurve]));
      }
      knownSoFarData.setAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }
    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final MulticurveProviderForward marketDscBumped = market.withDiscountFactor(ccy, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = market.getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = market.getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = market.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final MulticurveProviderForward marketFwdBumped = market.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = market.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = market.getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final DoublesCurve curve = market.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof InterpolatedDoublesCurve, "Forward curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curve;
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final DoublesCurve fwdBumped = new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true);
        final MulticurveProviderForward marketFwdBumped = market.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
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  /**
   * Constructor with empty maps for discounting, forward and price index.
   */
  public InflationProviderForward() {
    _multicurveProvider = new MulticurveProviderForward();
    _priceIndexCurves = new LinkedHashMap<>();
    setInflationCurves();
  }
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  /**
   * Constructor with empty maps for discounting, forward and price index.
   * @param fxMatrix The FXMatrix.
   */
  public InflationProviderForward(final FXMatrix fxMatrix) {
    _multicurveProvider = new MulticurveProviderForward(fxMatrix);
    _priceIndexCurves = new LinkedHashMap<>();
    setInflationCurves();
  }
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   * @param priceIndexCurves A map with one price curve by price index.
   * @param fxMatrix The FXMatrix.
   */
  public InflationProviderForward(final Map<Currency, YieldAndDiscountCurve> discountingCurves, final Map<IborIndex, DoublesCurve> forwardIborCurves,
      final Map<IndexON, YieldAndDiscountCurve> forwardONCurves, final Map<IndexPrice, PriceIndexCurve> priceIndexCurves, final FXMatrix fxMatrix) {
    _multicurveProvider = new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
    _priceIndexCurves = priceIndexCurves;
    setInflationCurves();
  }
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  }

  @Override
  public InflationProviderForward copy() {
    final MulticurveProviderForward multicurveProvider = _multicurveProvider.copy();
    final LinkedHashMap<IndexPrice, PriceIndexCurve> priceIndexCurves = new LinkedHashMap<>(_priceIndexCurves);
    return new InflationProviderForward(multicurveProvider, priceIndexCurves);
  }
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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
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