Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.Interpolator2D

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    calibrationEngine.calibrate(MARKET.getInflationProvider());
    final MultipleCurrencyAmount[][][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length][30];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
          final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
          final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
              objective.getInflationCapYearOnYearParameters(), interpolator);
          final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
              .getInflationCapYearOnYearProvider().getInflationProvider(),
              CalibratedBlackSmileCapInflationYearOnYearParameters);
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    calibrationEngine.calibrate(MARKET.getInflationProvider());
    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
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    calibrationEngine.calibrate(MARKET.getInflationProvider());
    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
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    // We tests if we
    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][CAPS[0].length];
    for (int loop1 = 0; loop1 < STRIKES.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        final Interpolator2D interpolator = objective.getInflationCapZeroCouponProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationZeroCouponParameters CalibratedBlackSmileCapInflationZeroCouponParameters = new BlackSmileCapInflationZeroCouponParameters(
            objective.getInflationCapZeroCouponParameters(), interpolator);
        final BlackSmileCapInflationZeroCouponProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationZeroCouponProvider(objective.getInflationCapZeroCouponProvider()
            .getInflationProvider(),
            CalibratedBlackSmileCapInflationZeroCouponParameters);
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      throw new OpenGammaRuntimeException("Interest rate future option volatility surface name" + desiredValue.getConstraint(ValuePropertyNames.SURFACE) + " contains no data");
    }
    final Double error = Double.parseDouble(desiredValue.getConstraint(PROPERTY_ERROR));
    final DoubleMatrix1D sabrInitialValues = SABRFittingPropertyUtils.getStartingValues(desiredValue);
    final BitSet fixed = SABRFittingPropertyUtils.getFixedValues(desiredValue);
    final Interpolator2D interpolator = SABRFittingPropertyUtils.getInterpolator(desiredValue);
    final SortedSet<Number> timeValues = volatilitySurfaceData.getUniqueXValues();
    final DoubleArrayList fittedOptionExpiryList = new DoubleArrayList();
    final DoubleArrayList futureDelayList = new DoubleArrayList();
    final DoubleArrayList alphaList = new DoubleArrayList();
    final DoubleArrayList betaList = new DoubleArrayList();
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Related Classes of com.opengamma.analytics.math.interpolation.Interpolator2D

  • com.opengamma.analytics.financial.equity.variance.VarianceSwapStaticReplicationTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearInterpolationCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponInterpolationCalibrationObjectiveTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective
  • com.opengamma.financial.analytics.fudgemsg.MathInterpolationTest
  • com.opengamma.financial.analytics.fudgemsg.MathSurface$InterpolatedDoublesSurfaceBuilder
  • com.opengamma.financial.analytics.fudgemsg.ModelVolatilitySurfaceTest
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