Package com.opengamma.financial.analytics.curve

Examples of com.opengamma.financial.analytics.curve.InterpolatedCurveDefinition

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      for (final FudgeField nodeField : nodesFields) {
        final Object obj = deserializer.fieldValueToObject(nodeField);
        nodes.add((CurveNode) obj);
      }
      final String interpolatorName = message.getString(INTERPOLATOR_NAME_FIELD);
      final InterpolatedCurveDefinition curveDefinition;
      if (message.hasField(RIGHT_EXTRAPOLATOR_NAME_FIELD)) {
        final String rightExtrapolatorName = message.getString(RIGHT_EXTRAPOLATOR_NAME_FIELD);
        final String leftExtrapolatorName = message.getString(LEFT_EXTRAPOLATOR_NAME_FIELD);
        curveDefinition = new InterpolatedCurveDefinition(name, nodes, interpolatorName, rightExtrapolatorName, leftExtrapolatorName);
      } else {
        curveDefinition = new InterpolatedCurveDefinition(name, nodes, interpolatorName);
      }
      final FudgeField uniqueId = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueId != null) {
        curveDefinition.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueId));
      }
      return curveDefinition;
    }
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    nodes.add(swap10y);
    final String interpolatorName = "interpolator name";
    final String leftExtrapolatorName = "left extrapolator name";
    final String rightExtrapolatorName = "right extrapolator name";
    final String curveName = "NAME";
    InterpolatedCurveDefinition definition = new InterpolatedCurveDefinition(curveName, nodes, interpolatorName);
    definition.setUniqueId(UniqueId.of("test", "id1"));
    assertEquals(definition, cycleObject(InterpolatedCurveDefinition.class, definition));
    definition = new InterpolatedCurveDefinition(curveName, nodes, interpolatorName, rightExtrapolatorName);
    definition.setUniqueId(UniqueId.of("test", "id2"));
    assertEquals(definition, cycleObject(InterpolatedCurveDefinition.class, definition));
    definition = new InterpolatedCurveDefinition(curveName, nodes, interpolatorName, rightExtrapolatorName, leftExtrapolatorName);
    definition.setUniqueId(UniqueId.of("test", "id3"));
    assertEquals(definition, cycleObject(InterpolatedCurveDefinition.class, definition));
    final List<LocalDate> fixedDates = Arrays.asList(LocalDate.of(2013, 10, 1), LocalDate.of(2013, 11, 1), LocalDate.of(2014, 1, 1));
    FixedDateInterpolatedCurveDefinition fixedDateDefinition = new FixedDateInterpolatedCurveDefinition(curveName, nodes, interpolatorName, fixedDates);
    assertEquals(fixedDateDefinition, cycleObject(FixedDateInterpolatedCurveDefinition.class, fixedDateDefinition));
    fixedDateDefinition = new FixedDateInterpolatedCurveDefinition(curveName, nodes, interpolatorName, rightExtrapolatorName, fixedDates);
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    }

    @Override
    protected GeneratorPriceIndexCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        return new GeneratorPriceIndexCurveInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
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      if (definition == null) {
        throw new OpenGammaRuntimeException("Could not get definition for " + fxForwardCurveName);
      }
      final String interpolatorName, leftExtrapolatorName, rightExtrapolatorName;
      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        interpolatorName = interpolatedDefinition.getInterpolatorName();
        if (interpolatedDefinition.getLeftExtrapolatorName() != null) {
          leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
          rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        } else {
          leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
          rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
        }
      } else {
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    }

    @Override
    protected GeneratorYDCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
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    }

    @Override
    protected GeneratorYDCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
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    }

    @Override
    protected GeneratorYDCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        if (definition instanceof FixedDateInterpolatedCurveDefinition) {
          final FixedDateInterpolatedCurveDefinition fixedDateDefinition = (FixedDateInterpolatedCurveDefinition) definition;
          final List<LocalDate> fixedDates = fixedDateDefinition.getFixedDates();
          final DoubleArrayList nodePoints = new DoubleArrayList(fixedDates.size()); //TODO what about equal node points?
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Related Classes of com.opengamma.financial.analytics.curve.InterpolatedCurveDefinition

  • com.opengamma.financial.analytics.model.curve.HullWhiteOneFactorDiscountingCurveFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.curve.IssuerProviderDiscountingFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.curve.MultiCurveDiscountingFunction$MyCompiledFunctionDefinition
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsFunction$FXForwardPointsCompiledFunction
  • com.opengamma.financial.fudgemsg.CurveDefinitionBuilders$InterpolatedCurveDefinitionFudgeBuilder
  • com.opengamma.financial.fudgemsg.CurveDefinitionBuildersTest
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