Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveUnderlyingMatrixCalculator

      final LinkedHashMap<String, GeneratorYDCurve> generatorsMap, final InstrumentDerivativeVisitor<MulticurveProviderInterface, Double> calculator,
      final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorMulticurveProviderDiscount generator = new GeneratorMulticurveProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final MulticurveDiscountBuildingData data = new MulticurveDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MulticurveDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveDiscountFinderJacobian(new ParameterSensitivityMulticurveUnderlyingMatrixCalculator(sensitivityCalculator),
        data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final MulticurveProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }

      final MulticurveProviderDiscount knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IborIndex[]> forwardIborMap,
      final LinkedHashMap<String, IndexON[]> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap,
      final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> sensitivityCalculator) {
    final GeneratorMulticurveProviderDiscount generator = new GeneratorMulticurveProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final MulticurveDiscountBuildingData data = new MulticurveDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MulticurveDiscountFinderJacobian(new ParameterSensitivityMulticurveUnderlyingMatrixCalculator(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];

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveUnderlyingMatrixCalculator

Related Classes of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveUnderlyingMatrixCalculator