Hi Team,
We are getting below error while evaluating rootfinder for Jacobbian function through NewtonVectorRootFinder.
com.opengamma.strata.collect.result.FailureException: Matrix contains a NaN
at com.opengamma.strata.calc.marketdata.BuiltScenarioMarketData.getValue(BuiltScenarioMarketData.java:141)
at com.opengamma.strata.calc.marketdata.BuiltMarketData.getValue(BuiltMarketData.java:71)
at com.opengamma.strata.measure.rate.DefaultLookupRatesProvider.iborIndexRates(DefaultLookupRatesProvider.java:205)
at com.j2fe.quantintegration.MultiCurveCalibration.calculateDiscountFactor(MultiCurveCalibration.java:364)
at com.j2fe.quantintegration.MultiCurveCalibration.execute(MultiCurveCalibration.java:505)
at com.j2fe.quantintegration.MultiCurveCalibration.runCustom(MultiCurveCalibration.java:536)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(Unknown Source)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(Unknown Source)
at java.lang.reflect.Method.invoke(Unknown Source)
at com.j2fe.pricing.configrule.factory.RulesFactoryImpl.getRule(RulesFactoryImpl.java:188)
at com.j2fe.activities.ConfigurableRuleInvoker.runLibRule(ConfigurableRuleInvoker.java:351)
at com.j2fe.activities.ConfigurableRuleInvoker.invoke(ConfigurableRuleInvoker.java:180)
at j2fe.Fincad.Custom.TestCustomActivityCheck.testConfigurableRuleInvoker(TestCustomActivityCheck.java:2296)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(Unknown Source)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(Unknown Source)
at java.lang.reflect.Method.invoke(Unknown Source)
at junit.framework.TestCase.runTest(TestCase.java:176)
at junit.framework.TestCase.runBare(TestCase.java:141)
at junit.framework.TestResult$1.protect(TestResult.java:122)
at junit.framework.TestResult.runProtected(TestResult.java:142)
at junit.framework.TestResult.run(TestResult.java:125)
at junit.framework.TestCase.run(TestCase.java:129)
at junit.framework.TestSuite.runTest(TestSuite.java:252)
at junit.framework.TestSuite.run(TestSuite.java:247)
at org.junit.internal.runners.JUnit38ClassRunner.run(JUnit38ClassRunner.java:86)
at org.eclipse.jdt.internal.junit4.runner.JUnit4TestReference.run(JUnit4TestReference.java:86)
at org.eclipse.jdt.internal.junit.runner.TestExecution.run(TestExecution.java:38)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.runTests(RemoteTestRunner.java:459)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.runTests(RemoteTestRunner.java:678)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.run(RemoteTestRunner.java:382)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.main(RemoteTestRunner.java:192)
Additionally,please find the below quote.csv file.
| Valuation Date | Symbology | Ticker | Field Name | Value |
|---|---|---|---|---|
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_ON | MarketValue | 0.65 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_TN | MarketValue | 0.65 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_1M | MarketValue | 0.775 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_2M | MarketValue | 0.79 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_3M | MarketValue | 0.82 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_6M | MarketValue | 0.88 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_9M | MarketValue | 0.93 |
| 13-Mar-20 | GS-INSTRUMENT | MM_THB_1Y | MarketValue | 1.025 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_2Y | MarketValue | 0.745 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_3Y | MarketValue | 0.765 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_4Y | MarketValue | 0.835 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_5Y | MarketValue | 0.895 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_7Y | MarketValue | 1.015 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_10Y | MarketValue | 1.07 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_12Y | MarketValue | 1.075 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_15Y | MarketValue | 1.055 |
| 13-Mar-20 | GS-INSTRUMENT | IRS_THB_THFX_6M_20Y | MarketValue | 1.05 |
Best Regards,
Surima