com.opengamma.strata.pricer.curve

Class ImmutableRatesProviderGenerator

java.lang.Object

com.opengamma.strata.pricer.curve.ImmutableRatesProviderGenerator

All Implemented Interfaces:

RatesProviderGenerator

public final class ImmutableRatesProviderGenerator
extends Object
implements RatesProviderGenerator

Generates a rates provider based on an existing provider.

This takes a base ImmutableRatesProvider and list of curve definitions to generate a child provider.

Method Summary

Modifier and Type	Method and Description
ImmutableRatesProvider	generate(DoubleArray parameters, Map<CurveName,JacobianCalibrationMatrix> jacobians, Map<CurveName,DoubleArray> sensitivitiesMarketQuote) Generates a rates provider from a set of parameters and calibration information.
static ImmutableRatesProviderGenerator	of(ImmutableRatesProvider knownProvider, RatesCurveGroupDefinition groupDefn, ReferenceData refData) Obtains a generator from an existing provider and definition.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface com.opengamma.strata.pricer.curve.RatesProviderGenerator

generate, generate

Method Detail

of

public static ImmutableRatesProviderGenerator of(ImmutableRatesProvider knownProvider,
                                                 RatesCurveGroupDefinition groupDefn,
                                                 ReferenceData refData)

Obtains a generator from an existing provider and definition.

Parameters:

knownProvider - the underlying known provider

groupDefn - the curve group definition

refData - the reference data to use

Returns:

the generator

generate

public ImmutableRatesProvider generate(DoubleArray parameters,
                                       Map<CurveName,JacobianCalibrationMatrix> jacobians,
                                       Map<CurveName,DoubleArray> sensitivitiesMarketQuote)

Description copied from interface: RatesProviderGenerator

Generates a rates provider from a set of parameters and calibration information.

The number of parameters passed has to match the total number of parameters in all the curves generated.

Specified by:

generate in interface RatesProviderGenerator

Parameters:

parameters - the parameters describing the provider

jacobians - the curve calibration info

sensitivitiesMarketQuote - the PV sensitivities

Returns:

the provider