Examples of CurveDefinition

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

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          ccyPair = Pair.of(currency1, currency2);
        } else {
          ccyPair = Pair.of(currency2, currency1);
        }
        final double[] sensitivities = CALCULATOR.presentValueForwardPointsSensitivity(forex, data, forwardPoints, ccyPair);
        final CurveDefinition definition = (CurveDefinition) inputs.getValue(
            new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, ValueProperties.with(CURVE, fxForwardCurveName).get()));
        final DoubleLabelledMatrix1D matrix = MultiCurveUtils.getLabelledMatrix(new DoubleMatrix1D(sensitivities), definition);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(FX_FORWARD_POINTS_NODE_SENSITIVITIES, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, matrix));
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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          final List<IndexON> overnightIndex = new ArrayList<>();
          final String curveName = entry.getKey();
          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .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));
          }
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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

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          final List<IndexON> overnightIndex = new ArrayList<>();
          final String curveName = entry.getKey();
          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
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