Examples of com.opengamma.analytics.math.curve.InterpolatedCurveBuildingFunction

Package com.opengamma.analytics.math.curve

Examples of com.opengamma.analytics.math.curve.InterpolatedCurveBuildingFunction

com.opengamma.analytics.math.curve.InterpolatedCurveBuildingFunction
For a given sets of knot points (x values) for named curves, and corresponding interpolators, produces a function that takes a set of knot values (y values), which is the concatenation of all curve values as a DoubleMatrix1D, and returns a map between curve names and interpolated curves.

      sum += nodePoints.get(name).length;
      final Interpolator1D tInter = new TransformedInterpolator1D(interpolators.get(name), transforms[index++]);
      transformedInterpolators.put(name, tInter);
    }


    _curveBuilder = new InterpolatedCurveBuildingFunction(nodePoints, transformedInterpolators);
    _nKnotPoints = sum;


  }

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public class InterpolatedYieldCurveBuildingFunction extends YieldCurveBundleBuildingFunction {


  private final InterpolatedCurveBuildingFunction _curveBuilder;


  public InterpolatedYieldCurveBuildingFunction(final LinkedHashMap<String, double[]> knotPoints, final LinkedHashMap<String, Interpolator1D> interpolators) {
    _curveBuilder = new InterpolatedCurveBuildingFunction(knotPoints, interpolators);
  }

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      final String name = entry.getKey();
      final Interpolator1D temp = new TransformedInterpolator1D(entry.getValue(), parameterTransforms.get(name));
      transInterpolators.put(name, temp);
    }


    _curveBuilder = new InterpolatedCurveBuildingFunction(knotPoints, transInterpolators);


    // _parameterTransforms = parameterTransforms; //TODO all the check for this


    _knownParameterTermStructures = knownParameterTermSturctures;
  }

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    _capPricers = new ArrayList<>(caps.size());
    for (final CapFloor cap : caps) {
      _capPricers.add(new CapFloorPricer(cap, yieldCurves));
    }
    _interpolators = transInterpolators;
    _curveBuilder = new InterpolatedCurveBuildingFunction(knotPoints, transInterpolators);
    _dataBundleBuilder = new Interpolator1DDataBundleBuilderFunction(knotPoints, transInterpolators);


  }

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Related Classes of com.opengamma.analytics.math.curve.InterpolatedCurveBuildingFunction

com.opengamma.analytics.financial.interestrate.capletstripping.CapletStrippingJacobian

com.opengamma.analytics.financial.interestrate.capletstripping.SABRTermStructureModelProvider

com.opengamma.analytics.financial.interestrate.InterpolatedYieldCurveBuildingFunction

com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurfaceFitter

com.opengamma.analytics.math.interpolation.Interpolator1D

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