Examples of HullWhiteOneFactorProviderInterface

Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, data);
        final Set<ComputedValue> results = new HashSet<>();
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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    return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
        final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final double marketQuote = derivative.accept(CALCULATOR, data);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(MARKET_QUOTE, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, marketQuote));
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final HullWhiteOneFactorProviderInterface curves = getMergedProviders(inputs, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final MultipleCurrencyAmount mca = CALCULATOR.presentValue(derivative, currency, data);
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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    return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
        final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final double convexityAdjustment = derivative.accept(CALCULATOR, data);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(CONVEXITY_ADJUSTMENT, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, convexityAdjustment));
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data);
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
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