/** * Converts this definition to the summary form. * <p> * The {@link CurveParameterSize} class provides a summary of this definition * consisting of the name and parameter size. * * @return the summary form */ public default CurveParameterSize toCurveParameterSize() { return CurveParameterSize.of(getName(), getParameterCount()); }
public void test_serialization() { CurveParameterSize test = CurveParameterSize.of(CURVE_NAME, 3); assertSerialization(test); }
public void test_toCurveParameterSize() { InflationNodalCurveDefinition test = new InflationNodalCurveDefinition( UNDERLYING_DEF, LAST_FIX_MONTH, LAST_FIX_VALUE, SEASONALITY_DEF); assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, NODES.size())); }
public void test_of() { CurveParameterSize test = CurveParameterSize.of(CURVE_NAME, 3); assertEquals(test.getName(), CURVE_NAME); assertEquals(test.getParameterCount(), 3); }
sensi = (DoubleMatrix) MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(diag), sensi); JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of( ImmutableList.of(CurveParameterSize.of(name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi)); nodalCurve = nodalCurve.withMetadata(nodalCurve.getMetadata().withInfo(CurveInfoType.JACOBIAN, jacobian));
public void test_toCurveParameterSize() { InterpolatedNodalCurveDefinition test = InterpolatedNodalCurveDefinition.builder() .name(CURVE_NAME) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .dayCount(ACT_365F) .nodes(NODES) .interpolator(CurveInterpolators.LINEAR) .extrapolatorLeft(CurveExtrapolators.FLAT) .extrapolatorRight(CurveExtrapolators.FLAT) .build(); assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, NODES.size())); }
public void test_toCurveParameterSize() { ParameterizedFunctionalCurveDefinition test = ParameterizedFunctionalCurveDefinition.builder() .dayCount(ACT_365F) .valueFunction(VALUE_FUNCTION) .derivativeFunction(DERIVATIVE_FUNCTION) .sensitivityFunction(SENSITIVITY_FUNCTION) .initialGuess(INITIAL_PARAMS) .name(CURVE_NAME) .nodes(NODES) .parameterMetadata(PARAM_METADATA) .xValueType(ValueType.YEAR_FRACTION) .yValueType(ValueType.ZERO_RATE) .build(); assertEquals(test.toCurveParameterSize(), CurveParameterSize.of(CURVE_NAME, INITIAL_PARAMS.size())); }
if (curveDefinition.isComputeJacobian()) { JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of( ImmutableList.of(CurveParameterSize.of(curveDefinition.getName(), nNodes)), MATRIX_ALGEBRA.getInverse(sensi)); NodalCurve curveWithParamMetadata = curve.withMetadata( curve.getMetadata().withInfo(CurveInfoType.JACOBIAN, jacobian).withParameterMetadata(parameterMetadata));
(DoubleMatrix) MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity)); JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of( ImmutableList.of(CurveParameterSize.of(curve.getName(), nNode)), jacobianMatrix); return curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)); (DoubleMatrix) MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity)); JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of( ImmutableList.of(CurveParameterSize.of(curve.getName(), nNode)), jacobianMatrix); return ConstantNodalCurve.of(curve.getMetadata().withInfo(CurveInfoType.JACOBIAN, jacobian), time, rate); (DoubleMatrix) MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity)); JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of( ImmutableList.of(CurveParameterSize.of(curve.getName(), nNode)), jacobianMatrix); return curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian));