Package com.opengamma.analytics.financial.provider.sensitivity.inflation

Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationMatrixCalculator

99
100
101
102
103
104
105
106
107
108
109
      final InstrumentDerivativeVisitor<InflationProviderInterface, Double> calculator,
      final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator) {
    final GeneratorInflationProviderDiscount generator = new GeneratorInflationProviderDiscount(knownData, inflationMap, generatorsMap);
    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new InflationDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final InflationProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
View Full Code Here
127
128
129
130
131
132
133
134
135
136
137
      final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator)
  {
    final GeneratorInflationProviderDiscount generator = new GeneratorInflationProviderDiscount(knownData, discountingMap, forwardONMap, inflationMap, generatorsMap);
    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new InflationDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final InflationProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
View Full Code Here
157
158
159
160
161
162
163
164
165
166
167
      final InflationProviderDiscount knownData,
      final LinkedHashMap<String, IndexPrice[]> inflationMap, final LinkedHashMap<String, GeneratorPriceIndexCurve> generatorsMap,
      final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator) {
    final GeneratorInflationProviderDiscount generator = new GeneratorInflationProviderDiscount(knownData, inflationMap, generatorsMap);
    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
View Full Code Here
197
198
199
200
201
202
203
204
205
206
207
      final InflationProviderDiscount knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IndexON[]> forwardONMap,
      final LinkedHashMap<String, IndexPrice[]> inflationMap, final LinkedHashMap<String, GeneratorCurve> generatorsMap,
      final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> sensitivityCalculator) {
    final GeneratorInflationProviderDiscount generator = new GeneratorInflationProviderDiscount(knownData, discountingMap, forwardONMap, inflationMap, generatorsMap);
    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final DoubleMatrix2D jacobian = jacobianCalculator.evaluate(new DoubleMatrix1D(parameters));
    final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
    final double[][] matrixTotal = inverseJacobian.getData();
    final DoubleMatrix2D[] result = new DoubleMatrix2D[nbParameters.length];
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.provider.sensitivity.inflation.ParameterSensitivityInflationMatrixCalculator

  • com.opengamma.analytics.financial.provider.curve.inflation.InflationDiscountBuildingRepository
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity
  • com.opengamma.analytics.math.matrix.DoubleMatrix1D
    • 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.