Package com.opengamma.financial.analytics

Examples of com.opengamma.financial.analytics.DoubleLabelledMatrix1D

65
66
67
68
69
70
71
72
73
74
75
      throw new IllegalArgumentException("Can only handle YieldCurve");
    }
    final Double[] keys = ((YieldCurve) curve).getCurve().getXData();
    final double[] values = new double[n];
    final Object[] labels = YieldCurveLabelGenerator.getLabels(curveSpec);
    DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    for (int i = 0; i < n; i++) {
      labelledMatrix = (DoubleLabelledMatrix1D) labelledMatrix.add(keys[i], labels[i], sensitivitiesForCurve.getEntry(i));
    }
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
View Full Code Here
105
106
107
108
109
110
111
112
    final double[] values = new double[nSensitivities];
    final Object[] labels = YieldCurveLabelGenerator.getHybridLabels(curveSpec);
    for (int i = 0; i < nSensitivities; i++) {
      values[i] = sensitivitiesForCurve.getEntry(i + startIndex);
    }
    final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
View Full Code Here
136
137
138
139
140
141
142
143
    final double[] values = new double[nSensitivities];
    final Object[] labels = YieldCurveLabelGenerator.getHybridLabels(curveSpec);
    for (int i = 0; i < nSensitivities; i++) {
      values[i] = sensitivitiesForCurve.getEntry(i + startIndex);
    }
    final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
View Full Code Here
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
  public static Set<ComputedValue> getTimeLabelledSensitivitiesForCurve(final List<DoublesPair> resultList, final ValueSpecification resultSpec) {
    final int n = resultList.size();
    final Double[] keys = new Double[n];
    final double[] values = new double[n];
    final Object[] labels = new Object[n];
    LabelledMatrix1D<Double, Double> labelledMatrix = new DoubleLabelledMatrix1D(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY, ArrayUtils.EMPTY_OBJECT_ARRAY, ArrayUtils.EMPTY_DOUBLE_ARRAY);
    for (int i = 0; i < n; i++) {
      final DoublesPair pair = resultList.get(i);
      keys[i] = pair.first;
      values[i] = pair.second;
      labels[i] = s_formatter.format(pair.first);
      labelledMatrix = labelledMatrix.add(pair.first, s_formatter.format(pair.first), pair.second, 1e-16);
    }
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
View Full Code Here
176
177
178
179
180
181
182
183
    for (int i = 0; i < length; i++) {
      keys[i] = xData[i];
      labels[i] = curveInstrumentProvider.getInstrument(localNow, tenors[i]);
      values[i] = sensitivities.getEntry(i);
    }
    final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
View Full Code Here
82
83
84
85
86
87
88
89
90
91
92
                .with(CURVE, curveName)
                .get();
            final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
                ValueProperties.builder().with(CURVE, curveName).get()));
            final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
            final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
            return Collections.singleton(new ComputedValue(spec, ycns));
          }
        }
        s_logger.info("Could not get sensitivities to " + curveName + " for " + target.getName());
        return Collections.emptySet();
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
                .with(CURVE, curveName)
                .get();
            final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
                ValueProperties.builder().with(CURVE, curveName).get()));
            final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
            final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
            return Collections.singleton(new ComputedValue(spec, ycns));
          }
        }
        s_logger.info("Could not get sensitivities to " + curveName + " for " + target.getName());
        return Collections.emptySet();
View Full Code Here
TOP

Related Classes of com.opengamma.financial.analytics.DoubleLabelledMatrix1D

  • com.opengamma.financial.analytics.fixedincome.YieldCurveNodeSensitivityDataBundleTest
  • com.opengamma.financial.analytics.fudgemsg.LabelledMatrix1DBuilder$DoubleLabelledMatrix1DFudgeBuilder
  • com.opengamma.financial.analytics.fudgemsg.LabelledMatrix1DBuilderTest
  • com.opengamma.financial.analytics.fudgemsg.YieldCurveNodeSensitivityDataBundleBuilder
  • com.opengamma.financial.analytics.fudgemsg.YieldCurveNodeSensitivityDataBundleBuilderTest
  • com.opengamma.financial.analytics.model.black.BlackDiscountingYCNSCapFloorFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingYCNSFXOptionFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingYCNSIRFutureOptionFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingYCNSSwaptionFunction
  • com.opengamma.financial.analytics.model.black.ConstantBlackDiscountingYCNSSwaptionFunction
    • 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.