Examples of com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction

com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction

Constructs yield curves and the Jacobian from {@link YieldCurveDefinition}s. Multiple curves can be constructed simultaneously using root-finding. The configuration object that control the construction is {@link MultiCurveCalculationConfig}. The root-finder uses present value = 0 as its target. @deprecated This function uses configuration objects that have been superseded. Use functionsthat descend from {@link MultiCurveFunction}.

    final FunctionCompilationContext compContext = createFunctionCompilationContext();
    final CompiledFunctionDefinition payYieldCurveSpecificationFunction = createFunction(compContext, execContext, new YieldCurveSpecificationFunction(payCurrency, getCurrencyCurveName()));
    final CompiledFunctionDefinition payYieldCurveMarketDataFunction = createFunction(compContext, execContext, new YieldCurveMarketDataFunction(payCurrency, getCurrencyCurveName()));
    final CompiledFunctionDefinition receiveYieldCurveSpecificationFunction = createFunction(compContext, execContext, new YieldCurveSpecificationFunction(receiveCurrency, getCurrencyCurveName()));
    final CompiledFunctionDefinition receiveYieldCurveMarketDataFunction = createFunction(compContext, execContext, new YieldCurveMarketDataFunction(receiveCurrency, getCurrencyCurveName()));
    final CompiledFunctionDefinition yieldCurveFunction = createFunction(compContext, execContext, new MultiYieldCurvePresentValueMethodFunction());
    final CompiledFunctionDefinition fxForwardCurveFromYieldCurveFunction = createFunction(compContext, execContext, new FXForwardCurveFromYieldCurvesFunction());
    ComputationTarget target;
    // PAY
    target = new ComputationTarget(ComputationTargetType.CURRENCY, payCurrency);
    // PAY - YieldCurveMarketDataFunction

Examples of com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction

Related Classes of com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction