Package com.opengamma.analytics.financial.var

Examples of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

55
56
57
58
59
60
61
62
63
64
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Set<String> scheduleCalculatorNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Set<String> confidenceLevelNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CONFIDENCE_LEVEL);
    final Set<String> horizonNames = desiredValue.getConstraints().getValues(ValuePropertyNames.HORIZON);
    final EmpiricalDistributionVaRParameters parameters = getParameters(scheduleCalculatorNames, horizonNames, confidenceLevelNames);
    final double var = CALCULATOR.evaluate(parameters, pnlSeries).getVaRValue();
    final ValueProperties resultProperties = getResultProperties(currency, desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.HISTORICAL_VAR, target.toSpecification(), resultProperties), var));
  }
View Full Code Here
186
187
188
189
190
191
192
193
      throw new OpenGammaRuntimeException("Missing or non-unique horizon name: " + horizonNames);
    }
    if (confidenceLevelNames == null || confidenceLevelNames.isEmpty() || confidenceLevelNames.size() != 1) {
      throw new OpenGammaRuntimeException("Missing or non-unique confidence level name: " + confidenceLevelNames);
    }
    return new EmpiricalDistributionVaRParameters(Double.valueOf(horizonNames.iterator().next()),
        VaRFunctionUtils.getBusinessDaysPerPeriod(scheduleCalculatorNames.iterator().next()), Double.valueOf(confidenceLevelNames.iterator().next()));
  }
View Full Code Here
49
50
51
52
53
54
55
56
57
58
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Set<String> scheduleCalculatorNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Set<String> confidenceLevelNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CONFIDENCE_LEVEL);
    final Set<String> horizonNames = desiredValue.getConstraints().getValues(ValuePropertyNames.HORIZON);
    final EmpiricalDistributionVaRParameters parameters = getParameters(scheduleCalculatorNames, horizonNames, confidenceLevelNames);
    final double var = CALCULATOR.evaluate(parameters, pnlSeries).getVaRValue();
    final ValueProperties resultProperties = getResultProperties(currency, desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.CONDITIONAL_HISTORICAL_VAR, target.toSpecification(), resultProperties), var));
  }
View Full Code Here
173
174
175
176
177
178
179
180
      throw new OpenGammaRuntimeException("Missing or non-unique horizon name: " + horizonNames);
    }
    if (confidenceLevelNames == null || confidenceLevelNames.isEmpty() || confidenceLevelNames.size() != 1) {
      throw new OpenGammaRuntimeException("Missing or non-unique confidence level name: " + confidenceLevelNames);
    }
    return new EmpiricalDistributionVaRParameters(Double.valueOf(horizonNames.iterator().next()),
        VaRFunctionUtils.getBusinessDaysPerPeriod(scheduleCalculatorNames.iterator().next()), Double.valueOf(confidenceLevelNames.iterator().next()));
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

  • com.opengamma.analytics.math.statistics.descriptive.PercentileCalculator
  • com.opengamma.financial.analytics.model.var.EmpiricalHistoricalConditionalVaRFunction
  • com.opengamma.financial.analytics.model.var.EmpiricalHistoricalVaRFunction
    • 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.