List of curveToNodeSensitivities() Examples

Examples of curveToNodeSensitivities()

com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivities()
Computes the sensitivity to the yield at the node points from the sensitivities to the yield at arbitrary points. @param curveSensitivities The sensitivity to the yield at arbitrary points on the different curves. @param interpolatedCurves The curve bundle. The curves should be YieldCurve based on InterpolatedDoublesCurve. @return The yield sensitivities to the node points.

Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivities()

    //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    // What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
    final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();
    curveSensMap.put(fundingCurveName, Lists.newArrayList(new DoublesPair(settle, rhoSettle)));
    sensVector = distributor.curveToNodeSensitivities(curveSensMap, curveBundle);


    // Build up InstrumentLabelledSensitivities for the Curve
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Curve specification was null");

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Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivities()

      //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
      final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
      // What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
      final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();
      curveSensMap.put(fundingCurveName, Lists.newArrayList(new DoublesPair(settlementTime, rhoSettle)));
      sensVector = distributor.curveToNodeSensitivities(curveSensMap, curveBundle);
    } else {
      throw new IllegalArgumentException("YieldCurveNodeSensitivities currently available only for Funding Curve backed by a InterpolatedDoublesCurve");
    }
    // Build up InstrumentLabelledSensitivities for the Curve
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);

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