Class ParameterizedCurve
- java.lang.Object
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- com.opengamma.strata.math.impl.function.ParameterizedFunction<Double,DoubleArray,Double>
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- com.opengamma.strata.math.impl.function.ParameterizedCurve
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public abstract class ParameterizedCurve extends ParameterizedFunction<Double,DoubleArray,Double>
A parameterised curve that gives the both the curve (the function y=f(x) where x and y are scalars) and the curve sensitivity (dy/dp where p is one of the parameters) for given parameters.
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Constructor Summary
Constructors Constructor Description ParameterizedCurve()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Function<Double,DoubleArray>
getYParameterSensitivity(DoubleArray params)
For a scalar function (curve) that can be written as $y=f(x;\boldsymbol{\theta})$ where x & y are scalars and $\boldsymbol{\theta})$ is a vector of parameters (i.e.-
Methods inherited from class com.opengamma.strata.math.impl.function.ParameterizedFunction
asFunctionOfArguments, asFunctionOfParameters, evaluate, getNumberOfParameters
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Method Detail
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getYParameterSensitivity
public Function<Double,DoubleArray> getYParameterSensitivity(DoubleArray params)
For a scalar function (curve) that can be written as $y=f(x;\boldsymbol{\theta})$ where x & y are scalars and $\boldsymbol{\theta})$ is a vector of parameters (i.e. $x,y \in \mathbb{R}$ and $\boldsymbol{\theta} \in \mathbb{R}^n$) this returns the function $g : \mathbb{R} \to \mathbb{R}^n; x \mapsto g(x)$, which is the function's (curve's) sensitivity to its parameters, i.e. $g(x) = \frac{\partial f(x;\boldsymbol{\theta})}{\partial \boldsymbol{\theta}}$The default calculation is performed using finite difference (via
ScalarFieldFirstOrderDifferentiator
) but it is expected that this will be overridden by concrete subclasses.- Parameters:
params
- the value of the parameters ($\boldsymbol{\theta}$) at which the sensitivity is calculated- Returns:
- the sensitivity as a function with a Double (x) as its single argument and a vector as its return value
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