Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.ContinuousInterestRate.toPeriodic()

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   * @return The rate in the requested composition.
   */
  public double getPeriodicInterestRate(final double t, final int compoundingPeriodsPerYear) {
    final double rcc = getInterestRate(t);
    final ContinuousInterestRate cont = new ContinuousInterestRate(rcc);
    return cont.toPeriodic(compoundingPeriodsPerYear).getRate();
  }

  /**
   * Returns the sensitivity (derivative) of the interest rate at a given time with respect to the parameters defining the curve.
   * @param time The time.
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    final int nbYields = yields.length;
    ArgumentChecker.isTrue(nodePoints.length == nbYields, "Yields array of incorrect length");
    final double[] yieldPeriodic = new double[nbYields];
    for (int loopy = 0; loopy < nbYields; loopy++) {
      final InterestRate continous = new ContinuousInterestRate(yields[loopy]);
      yieldPeriodic[loopy] = continous.toPeriodic(compoundingPeriodsPerYear).getRate();
    }
    final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(nodePoints, yieldPeriodic, interpolator, false);
    return new YieldPeriodicCurve(name, compoundingPeriodsPerYear, curve);
  }
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