//------------------------------------------------------------------------- // constructs an interpolated nodal curve internal InterpolatedNodalCurve createCurve(LocalDate date, IList <LoadedCurveNode> curveNodes) { // copy and sort IList <LoadedCurveNode> nodes = new List <LoadedCurveNode>(curveNodes); nodes.sort(System.Collections.IComparer.naturalOrder()); // build each node double[] xValues = new double[nodes.Count]; double[] yValues = new double[nodes.Count]; IList <ParameterMetadata> pointsMetadata = new List <ParameterMetadata>(nodes.Count); for (int i = 0; i < nodes.Count; i++) { LoadedCurveNode point = nodes[i]; double yearFraction = dayCount.yearFraction(date, point.Date); xValues[i] = yearFraction; yValues[i] = point.Value; ParameterMetadata pointMetadata = LabelDateParameterMetadata.of(point.Date, point.Label); pointsMetadata.Add(pointMetadata); } // create metadata CurveMetadata curveMetadata = DefaultCurveMetadata.builder().curveName(curveName).xValueType(xValueType).yValueType(yValueType).dayCount(dayCount).parameterMetadata(pointsMetadata).build(); return(InterpolatedNodalCurve.builder().metadata(curveMetadata).xValues(DoubleArray.copyOf(xValues)).yValues(DoubleArray.copyOf(yValues)).interpolator(interpolator).extrapolatorLeft(extrapolatorLeft).extrapolatorRight(extrapolatorRight).build()); }
static CurveSensitivityUtilsJacobianTest() { Tenor[] tenors = new Tenor[] { Tenor.TENOR_1D, Tenor.TENOR_1M, Tenor.TENOR_3M, Tenor.TENOR_6M, Tenor.TENOR_1Y, Tenor.TENOR_2Y, Tenor.TENOR_3Y, Tenor.TENOR_4Y, Tenor.TENOR_5Y, Tenor.TENOR_7Y, Tenor.TENOR_10Y, Tenor.TENOR_15Y, Tenor.TENOR_20Y, Tenor.TENOR_30Y }; IList <TenorParameterMetadata> metadataList = new List <TenorParameterMetadata>(); for (int looptenor = 0; looptenor < tenors.Length; looptenor++) { metadataList.Add(TenorParameterMetadata.of(tenors[looptenor])); } DoubleArray rate_eur = DoubleArray.of(0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0150, 0.0160, 0.0165, 0.0155, 0.0155, 0.0155, 0.0150, 0.0140); InterpolatedNodalCurve curve_single_eur = InterpolatedNodalCurve.builder().metadata(DefaultCurveMetadata.builder().curveName(EUR_SINGLE_NAME).parameterMetadata(metadataList).dayCount(ACT_365F).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).build()).xValues(TIME_EUR).yValues(rate_eur).extrapolatorLeft(CurveExtrapolators.FLAT).extrapolatorRight(CurveExtrapolators.FLAT).interpolator(CurveInterpolators.LINEAR).build(); MULTICURVE_EUR_SINGLE_INPUT = ImmutableRatesProvider.builder(VALUATION_DATE).discountCurve(EUR, curve_single_eur).iborIndexCurve(EUR_EURIBOR_6M, curve_single_eur).build(); LIST_CURVE_NAMES_1.Add(CurveParameterSize.of(EUR_SINGLE_NAME, TIME_EUR.size())); }