Package com.opengamma.analytics.math.curve

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

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        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
    if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
      return Collections.singleton(new ComputedValue(spec, getSurfaceFromVolatilityQuote(surfaceData, now, calendar)));
    } else if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.PRICE_QUOTE)) {
      final NodalDoublesCurve futuresPrices = getFuturePricesCurve(target, curveName, inputs);
      final VolatilitySurfaceData<Double, Double> volSurface = getSurfaceFromPriceQuote(specification, surfaceData, futuresPrices, now, surfaceQuoteType, calendar);
      if (volSurface != null) {
        return Collections.singleton(new ComputedValue(spec, volSurface));
      }
      return Collections.emptySet();
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        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_PRICE).get());
    final Object futurePricesObject = inputs.getValue(futuresRequirement);
    if (futurePricesObject == null) {
      throw new OpenGammaRuntimeException("Could not get futures price data");
    }
    final NodalDoublesCurve futurePrices = (NodalDoublesCurve) futurePricesObject;
    return futurePrices;
  }
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    for (int i = 0; i < steps; i++) {
      final double t = first + step * i;
      xs.add(t);
      ys.add(curve.getYValue(t));
    }
    return new NodalDoublesCurve(xs, ys, true);
  }
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    }

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
        final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
      final NodalDoublesCurve curve = interpolateCurve((YieldCurve) inputs.getValue(_curveRequirement));
      return Sets.newHashSet(new ComputedValue(_interpolatedCurveResult, curve));
    }
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        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_OPTION).get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
    if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
      return Collections.singleton(new ComputedValue(spec, getSurfaceFromVolatilityQuote(surfaceData, now, calendar)));
    } else if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.PRICE_QUOTE)) {
      final NodalDoublesCurve futuresPrices = getFuturePricesCurve(target, curveName, inputs);
      final VolatilitySurfaceData<Double, Double> volSurface = getSurfaceFromPriceQuote(specification, surfaceData, futuresPrices, now, surfaceQuoteType, calendar);
      if (volSurface != null) {
        return Collections.singleton(new ComputedValue(spec, volSurface));
      }
    }
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        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_PRICE).get());
    final Object futurePricesObject = inputs.getValue(futuresRequirement);
    if (futurePricesObject == null) {
      throw new OpenGammaRuntimeException("Could not get futures price data");
    }
    final NodalDoublesCurve futurePrices = (NodalDoublesCurve) futurePricesObject;
    return futurePrices;
  }
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        final ValueSpecification futurePriceCurveResult = new ValueSpecification(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
            target.toSpecification(),
            createValueProperties()
                .with(ValuePropertyNames.CURVE, curveName)
                .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType()).get());
        final NodalDoublesCurve curve = NodalDoublesCurve.from(xList.toDoubleArray(), prices.toDoubleArray());
        final ComputedValue futurePriceCurveResultValue = new ComputedValue(futurePriceCurveResult, curve);
        return Sets.newHashSet(futurePriceCurveResultValue);
      }

    };
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        final ValueSpecification futurePriceCurveResult = new ValueSpecification(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
            target.toSpecification(),
            createValueProperties()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType()).get());
        final NodalDoublesCurve curve = NodalDoublesCurve.from(xList.toDoubleArray(), prices.toDoubleArray());
        final ComputedValue futurePriceCurveResultValue = new ComputedValue(futurePriceCurveResult, curve);
        return Sets.newHashSet(futurePriceCurveResultValue);
      }

    };
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        data.add(new Double[] {xData[i], yData[i]});
      }
      result.put("summary", data);
     
      if (mode == ConversionMode.FULL) {
        NodalDoublesCurve detailedCurve = YieldCurveInterpolatingFunction.interpolateCurve(interpolatedCurve);
        List<Double[]> detailedData = getData(detailedCurve);
        result.put("detailed", detailedData);
      }
      return result;
    } else if (value.getCurve() instanceof FunctionalDoublesCurve) {
      FunctionalDoublesCurve curve = (FunctionalDoublesCurve) value.getCurve();
      int n = 34;
      List<Double[]> data = new ArrayList<Double[]>();
      double[] xData = new double[n];
      double[] yData = new double[n];
      for (int i = 0; i < n; i++) {
        if (i == 0) {
          xData[0] = 1. / 12;
        } else if (i == 1) {
          xData[1] = 0.25;
        } else if (i == 2) {
          xData[2] = 0.5;
        } else if (i == 3) {
          xData[3] = 0.75;
        } else {
          xData[i] = i - 3;
        }
        yData[i] = curve.getYValue(xData[i]);
        data.add(new Double[]{xData[i], yData[i]});
      }
      result.put("summary", data);
      if (mode == ConversionMode.FULL) {
        NodalDoublesCurve detailedCurve = YieldCurveInterpolatingFunction.interpolateCurve(curve);
        List<Double[]> detailedData = getData(detailedCurve);
        result.put("detailed", detailedData);
      }
      return result;
    }
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        result.put("detailed", detailedData);
      }
      return result;
    }
    if (value instanceof NodalDoublesCurve) {
      NodalDoublesCurve nodalCurve = (NodalDoublesCurve) value;
      List<Double[]> data = new ArrayList<Double[]>();
      double[] xData = nodalCurve.getXDataAsPrimitive();
      double[] yData = nodalCurve.getYDataAsPrimitive();
      for (int i = 0; i < nodalCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i] });
      }
      result.put("summary", data);
      if (mode == ConversionMode.FULL) {
        // can't interpolate values for nodal curve, thus summary == detailed
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Related Classes of com.opengamma.analytics.math.curve.NodalDoublesCurve

  • com.opengamma.financial.analytics.ircurve.YieldCurveInterpolatingFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveInterpolatingFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.YieldCurveInterpolatingFunctionTest
  • com.opengamma.financial.analytics.model.curve.forward.CommodityForwardCurveFromFutureCurveFunction
  • com.opengamma.financial.analytics.model.curve.forward.EquityIndexForwardCurveFromFutureCurveFunction
  • com.opengamma.financial.analytics.model.curve.forward.InstantaneousForwardCurveFunction
  • com.opengamma.financial.analytics.model.curve.future.EquityFuturePriceCurveFunction
  • com.opengamma.financial.analytics.model.curve.future.FuturePriceCurveFunction
  • com.opengamma.financial.analytics.model.equity.EquityForwardCurveFromFutureCurveFunction
  • com.opengamma.financial.analytics.model.volatility.surface.HestonFourierIRFutureSurfaceFittingFunction
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