Package com.opengamma.analytics.math.interpolation

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

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  public Double evaluate(final Double x) {

    // setting the volatility in the volatility matrix
    _inflationCapYearOnYearParameters.setVolatility(x, _expiryIndex, _strikeIndex);
    // creating the new volatility surface using the new volatility matrix
    final Interpolator2D interpolator = _inflationCapYearOnYearProvider.getBlackParameters().getVolatilitySurface().getInterpolator();
    final BlackSmileCapInflationYearOnYearParameters blackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(_inflationCapYearOnYearParameters, interpolator);
    final BlackSmileCapInflationYearOnYearProvider blackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(_inflationCapYearOnYearProvider.getInflationProvider(),
        blackSmileCapInflationYearOnYearParameters);

    return _inflationCapYearOnYearProvider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVIC, blackSmileCapInflationYearOnYearProvider), _ccyInflationcapYearOnYear).getAmount()
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  public Double evaluate(final Double x) {

    // setting the volatility in the volatility matrix
    _inflationCapZeroCouponParameters.setVolatility(x, _expiryIndex, _strikeIndex);
    // creating the new volatility surface using the new volatility matrix
    final Interpolator2D interpolator = _inflationCapZeroCouponProvider.getBlackParameters().getVolatilitySurface().getInterpolator();
    final BlackSmileCapInflationZeroCouponParameters blackSmileCapInflationZeroCouponParameters = new BlackSmileCapInflationZeroCouponParameters(_inflationCapZeroCouponParameters, interpolator);
    final BlackSmileCapInflationZeroCouponProvider blackSmileCapInflationZeroCouponProvider = new BlackSmileCapInflationZeroCouponProvider(_inflationCapZeroCouponProvider.getInflationProvider(),
        blackSmileCapInflationZeroCouponParameters);

    return _inflationCapZeroCouponProvider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVIC, blackSmileCapInflationZeroCouponProvider), _ccyInflationcapZeroCoupon).getAmount()
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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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   * Test of VolatilitySurface that doesn't permit extrapolation in strike dimension
   */
  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testSurfaceWithoutStrikeExtrapolation() {
    final CombinedInterpolatorExtrapolator interpOnlyStrike = getInterpolator(Interpolator1DFactory.LINEAR);
    final Interpolator2D interp2D = new GridInterpolator2D(INTERPOLATOR_1D_EXPIRY, interpOnlyStrike);
    final InterpolatedDoublesSurface surface = new InterpolatedDoublesSurface(EXPIRIES, STRIKES, VOLS, interp2D);
    final BlackVolatilitySurfaceStrike volSurface = new BlackVolatilitySurfaceStrike(surface);
    PRICER.expectedVariance(swap1, new StaticReplicationDataBundle(volSurface, DISCOUNT, FORWARD_CURVE));
  }
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    @Override
    public InterpolatedDoublesSurface buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final double[] x = deserializer.fieldValueToObject(double[].class, message.getByName(X_DATA_FIELD_NAME));
      final double[] y = deserializer.fieldValueToObject(double[].class, message.getByName(Y_DATA_FIELD_NAME));
      final double[] z = deserializer.fieldValueToObject(double[].class, message.getByName(Z_DATA_FIELD_NAME));
      final Interpolator2D interpolator = deserializer.fieldValueToObject(Interpolator2D.class, message.getByName(INTERPOLATOR_FIELD_NAME));
      final String name = deserializer.fieldValueToObject(String.class, message.getByName(SURFACE_NAME_FIELD_NAME));
      return InterpolatedDoublesSurface.from(x, y, z, interpolator, name);
    }
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  @Test
  public void testInterpolatedVolatilitySurface() {
    final double sigma = 0.4;
    final Interpolator1D linear = new LinearInterpolator1D();
    final Interpolator2D interpolator = new GridInterpolator2D(linear, linear);
    final Map<DoublesPair, Double> data = new HashMap<>();
    data.put(Pair.of(0., 1.), sigma);
    data.put(Pair.of(1., 0.), sigma);
    data.put(Pair.of(0., 0.), sigma);
    data.put(Pair.of(1., 1.), sigma);
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    assertEquals(cycled, COMBINED);
  }

  @Test
  public void testGridInterpolator2D() {
    final Interpolator2D cycled = cycleObject(Interpolator2D.class, GRID_2D);
    assertEquals(cycled, GRID_2D);
  }
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  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearInterpolationCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponCalibrationObjectiveTest
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  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective
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