Package com.opengamma.financial.analytics

Examples of com.opengamma.financial.analytics.TenorLabelledLocalDateDoubleTimeSeriesMatrix1D

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      }
      final LocalDateDoubleTimeSeries pnlSeries = getReturnSeries(ts.getTimeSeries(), desiredValue, executionContext);
      tenors[i] = curveNode.getCurveNode().getResolvedMaturity();
      returnSeries[i] = pnlSeries.multiply(sensitivity * position.getQuantity().doubleValue());
    }
    final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D matrix = new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, labels, returnSeries);
    final ValueProperties properties = desiredValue.getConstraints().copy()
        .withoutAny(CURRENCY)
        .with(CURRENCY, currency)
        .get();
    final ValueSpecification spec = new ValueSpecification(CURVE_PNL_SERIES, target.toSpecification(), properties);
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        pnlSeries = getReturnSeries(ts.getTimeSeries(), desiredValue, executionContext);
      }
      tenors[i] = curveNode.getCurveNode().getResolvedMaturity();
      returnSeries[i] = pnlSeries.multiply(sensitivity * position.getQuantity().doubleValue());
    }
    final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D matrix = new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, labels, returnSeries);
    final ValueProperties properties = desiredValue.getConstraints().copy()
        .withoutAny(CURRENCY)
        .with(CURRENCY, currency)
        .get();
    final ValueSpecification spec = new ValueSpecification(CURVE_PNL_SERIES, target.toSpecification(), properties);
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      sensitivityToRate = new boolean[tenors.length];
    } else {
      throw new OpenGammaRuntimeException("Yield curve specification and FX forward curve definition both missing. Expected one.");
    }

    final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeriesVector = getReturnSeriesVector(bundle, tenors,
        sensitivityToRate, schedule, samplingFunction, returnSeriesStart, includeStart, desiredValue);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_RETURN_SERIES, target.toSpecification(), desiredValue.getConstraints());
    return ImmutableSet.of(new ComputedValue(resultSpec, returnSeriesVector));
  }
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      // Clip the time-series to the range originally asked for
      returnSeries = returnSeries.subSeries(startDate, includeStart, returnSeries.getLatestTime(), true);

      returnSeriesArray[t] = returnSeries;
    }
    return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, returnSeriesArray);
  }
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Related Classes of com.opengamma.financial.analytics.TenorLabelledLocalDateDoubleTimeSeriesMatrix1D

  • com.opengamma.financial.analytics.fudgemsg.LabelledMatrix1DBuilder$TenorLabelledLocalDateDoubleTimeSeriesMatrix1DFudgeBuilder
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsFCNSPnLFunction
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsYCNSPnLFunction
  • com.opengamma.financial.analytics.model.pnl.FXForwardYieldCurveNodePnLFunction$Compiled
  • com.opengamma.financial.analytics.model.pnl.FXForwardYieldCurvePnLFunction
  • com.opengamma.financial.analytics.timeseries.FXForwardCurveNodeReturnSeriesFunction
  • com.opengamma.financial.analytics.timeseries.YieldCurveNodeReturnSeriesFunction
  • com.opengamma.financial.currency.CurrencySeriesConversionFunction
  • com.opengamma.financial.currency.CurrencySeriesConversionFunctionTest
  • com.opengamma.web.analytics.Inliner
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