Package com.opengamma.analytics.math.curve

Examples of com.opengamma.analytics.math.curve.DoublesCurve

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          final Forex forex, final FXMatrix fxMatrix, final ZonedDateTime now) {
        final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final String fxForwardCurveName = desiredValue.getConstraint(FORWARD_CURVE_NAME);
        final DoublesCurve forwardPoints = getForwardPoints(inputs, fxForwardCurveName, now);
        final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
        final Pair<Currency, Currency> ccyPair;
        final Currency currency1 = forex.getCurrency1();
        final Currency currency2 = forex.getCurrency2();
        if (currency1.equals(pairs.getCurrencyPair(currency1, currency2).getBase())) {
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      @Override
      protected Set<ComputedValue> getValues(final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
          final Forex forex, final FXMatrix fxMatrix, final ZonedDateTime now) {
        final String fxForwardCurveName = desiredValues.iterator().next().getConstraint(FORWARD_CURVE_NAME);
        final DoublesCurve forwardPoints = getForwardPoints(inputs, fxForwardCurveName, now);
        final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
        final Pair<Currency, Currency> ccyPair;
        final Currency currency1 = forex.getCurrency1();
        final Currency currency2 = forex.getCurrency2();
        if (currency1.equals(pairs.getCurrencyPair(currency1, currency2).getBase())) {
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      final int spotLag = iborIndexConvention.getSettlementDays();
      final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final DoublesCurve shiftCurve = (DoublesCurve) inputs.getValue(LOGNORMAL_SURFACE_SHIFTS);
      final BlackSmileShiftCapParameters parameters = new BlackSmileShiftCapParameters(volatilitySurface.getSurface(), shiftCurve, iborIndex);
      final BlackSmileShiftCapProviderInterface blackData = new BlackSmileShiftCapProvider(data, parameters);
      return blackData;
    }
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  }

  @Override
  public List<Double[]> formatCell(ISDADateCurve value, ValueSpecification valueSpec, Object inlineKey) {
    List<Double[]> data = new ArrayList<>();
    DoublesCurve curve = value.getCurve();
    if (curve instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve;
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < xData.length; i++) {
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  • com.opengamma.financial.analytics.fudgemsg.ForexOptionDataBundleBuilders$BlackForexTermStructureParametersBuilder
  • com.opengamma.financial.analytics.fudgemsg.ForexOptionDataBundleBuildersTest
  • com.opengamma.financial.analytics.fudgemsg.ISDACurveBuilder
  • com.opengamma.financial.analytics.fudgemsg.ISDAResultsBuilder$ISDADateCurveBuilder
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