com.opengamma.strata.market.surface.InterpolatedNodalSurface Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.surface;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import java.io.Serializable;
import java.util.Arrays;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.Map.Entry;
import java.util.NoSuchElementException;
import java.util.TreeMap;
import java.util.stream.IntStream;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableConstructor;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.tuple.DoublesPair;
import com.opengamma.strata.collect.tuple.ObjDoublePair;
import com.opengamma.strata.market.param.CurrencyParameterSensitivity;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
import com.opengamma.strata.market.surface.interpolator.BoundSurfaceInterpolator;
import com.opengamma.strata.market.surface.interpolator.SurfaceInterpolator;
/**
* A surface based on interpolation between a number of nodal points.
*
* This class defines a surface in terms of a fixed number of nodes, referred to as parameters.
*
* Each node has an x-value and a y-value.
* The interface is focused on finding the z-value for a given x-value and y-value.
* An interpolator is used to find z-values for x-values and y-values between two nodes.
*/
@BeanDefinition
public final class InterpolatedNodalSurface
implements NodalSurface, ImmutableBean, Serializable {
/**
* The surface metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this surface.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SurfaceMetadata metadata;
/**
* The array of x-values, one for each point.
*
* This array will contains at least two elements.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DoubleArray xValues;
/**
* The array of y-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DoubleArray yValues;
/**
* The array of z-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final DoubleArray zValues;
/**
* The underlying interpolator.
*/
@PropertyDefinition(validate = "notNull")
private final SurfaceInterpolator interpolator;
/**
* The bound interpolator.
*/
private final transient BoundSurfaceInterpolator boundInterpolator; // derived and cached, not a property
/**
* The parameter metadata.
*/
private final transient List parameterMetadata; // derived, not a property
//-------------------------------------------------------------------------
/**
* Creates an interpolated surface with metadata.
*
* The value arrays must be sorted, by x-values then y-values.
* An exception is thrown if they are not sorted.
*
* @param metadata the surface metadata
* @param xValues the x-values, must be sorted from low to high
* @param yValues the y-values, must be sorted from low to high within x
* @param zValues the z-values
* @param interpolator the interpolator
* @return the surface
*/
public static InterpolatedNodalSurface of(
SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator) {
return new InterpolatedNodalSurface(metadata, xValues, yValues, zValues, interpolator);
}
/**
* Creates an interpolated surface with metadata, where the values are not sorted.
*
* The value arrays will be sorted, by x-values then y-values.
* Both the z-values and parameter metadata will be sorted along with the x and y values.
*
* @param metadata the surface metadata
* @param xValues the x-values
* @param yValues the y-values
* @param zValues the z-values
* @param interpolator the interpolator
* @return the surface
*/
public static InterpolatedNodalSurface ofUnsorted(
SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator) {
return new InterpolatedNodalSurface(metadata, xValues, yValues, zValues, interpolator, true);
}
//-------------------------------------------------------------------------
// restricted constructor
@ImmutableConstructor
private InterpolatedNodalSurface(
SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator) {
validateInputs(metadata, xValues, yValues, zValues, interpolator);
for (int i = 1; i < xValues.size(); i++) {
if (xValues.get(i) < xValues.get(i - 1)) {
throw new IllegalArgumentException("Array of x-values must be sorted");
}
if (xValues.get(i) == xValues.get(i - 1) && yValues.get(i) <= yValues.get(i - 1)) {
throw new IllegalArgumentException("Array of y-values must be sorted and unique within x-values");
}
}
this.metadata = metadata;
this.xValues = xValues;
this.yValues = yValues;
this.zValues = zValues;
this.interpolator = interpolator;
this.boundInterpolator = interpolator.bind(xValues, yValues, zValues);
this.parameterMetadata = IntStream.range(0, getParameterCount())
.mapToObj(i -> metadata.getParameterMetadata(i))
.collect(toImmutableList());
}
// constructor that sorts (artificial boolean flag)
private InterpolatedNodalSurface(
SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator,
boolean sort) {
validateInputs(metadata, xValues, yValues, zValues, interpolator);
// sort inputs
Map> sorted = new TreeMap<>();
for (int i = 0; i < xValues.size(); i++) {
ParameterMetadata pm = metadata.getParameterMetadata(i);
sorted.put(DoublesPair.of(xValues.get(i), yValues.get(i)), ObjDoublePair.of(pm, zValues.get(i)));
}
double[] sortedX = new double[sorted.size()];
double[] sortedY = new double[sorted.size()];
double[] sortedZ = new double[sorted.size()];
ParameterMetadata[] sortedPm = new ParameterMetadata[sorted.size()];
int pos = 0;
for (Entry> entry : sorted.entrySet()) {
sortedX[pos] = entry.getKey().getFirst();
sortedY[pos] = entry.getKey().getSecond();
sortedZ[pos] = entry.getValue().getSecond();
sortedPm[pos] = entry.getValue().getFirst();
pos++;
}
// assign
SurfaceMetadata sortedMetadata = metadata.withParameterMetadata(Arrays.asList(sortedPm));
this.metadata = sortedMetadata;
this.xValues = DoubleArray.ofUnsafe(sortedX);
this.yValues = DoubleArray.ofUnsafe(sortedY);
this.zValues = DoubleArray.ofUnsafe(sortedZ);
Map pairs = new HashMap<>();
for (int i = 0; i < xValues.size(); i++) {
pairs.put(DoublesPair.of(xValues.get(i), yValues.get(i)), zValues.get(i));
}
this.interpolator = interpolator;
this.boundInterpolator = interpolator.bind(this.xValues, this.yValues, this.zValues);
this.parameterMetadata = IntStream.range(0, getParameterCount())
.mapToObj(i -> sortedMetadata.getParameterMetadata(i))
.collect(toImmutableList());
}
// basic validation
private void validateInputs(
SurfaceMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
DoubleArray zValues,
SurfaceInterpolator interpolator) {
ArgChecker.notNull(metadata, "metadata");
ArgChecker.notNull(xValues, "times");
ArgChecker.notNull(yValues, "values");
ArgChecker.notNull(interpolator, "interpolator");
if (xValues.size() < 2) {
throw new IllegalArgumentException("Length of x-values must be at least 2");
}
if (xValues.size() != yValues.size()) {
throw new IllegalArgumentException("Length of x-values and y-values must match");
}
if (xValues.size() != zValues.size()) {
throw new IllegalArgumentException("Length of x-values and z-values must match");
}
metadata.getParameterMetadata().ifPresent(params -> {
if (xValues.size() != params.size()) {
throw new IllegalArgumentException("Length of x-values and parameter metadata must match when metadata present");
}
});
}
// ensure standard constructor is invoked
private Object readResolve() {
return new InterpolatedNodalSurface(metadata, xValues, yValues, zValues, interpolator);
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return zValues.size();
}
@Override
public double getParameter(int parameterIndex) {
return zValues.get(parameterIndex);
}
@Override
public InterpolatedNodalSurface withParameter(int parameterIndex, double newValue) {
return withZValues(zValues.with(parameterIndex, newValue));
}
@Override
public InterpolatedNodalSurface withPerturbation(ParameterPerturbation perturbation) {
int size = zValues.size();
DoubleArray perturbedValues = DoubleArray.of(
size, i -> perturbation.perturbParameter(i, zValues.get(i), getParameterMetadata(i)));
return withZValues(perturbedValues);
}
//-------------------------------------------------------------------------
@Override
public double zValue(double x, double y) {
return boundInterpolator.interpolate(x, y);
}
@Override
public UnitParameterSensitivity zValueParameterSensitivity(double x, double y) {
DoubleArray sensitivityValues = boundInterpolator.parameterSensitivity(x, y);
return createParameterSensitivity(sensitivityValues);
}
//-------------------------------------------------------------------------
@Override
public InterpolatedNodalSurface withMetadata(SurfaceMetadata metadata) {
return new InterpolatedNodalSurface(metadata, xValues, yValues, zValues, interpolator);
}
@Override
public InterpolatedNodalSurface withZValues(DoubleArray zValues) {
return new InterpolatedNodalSurface(metadata, xValues, yValues, zValues, interpolator);
}
//-------------------------------------------------------------------------
@Override
public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities) {
return UnitParameterSensitivity.of(getName(), parameterMetadata, sensitivities);
}
@Override
public CurrencyParameterSensitivity createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivity.of(getName(), parameterMetadata, currency, sensitivities);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code InterpolatedNodalSurface}.
* @return the meta-bean, not null
*/
public static InterpolatedNodalSurface.Meta meta() {
return InterpolatedNodalSurface.Meta.INSTANCE;
}
static {
MetaBean.register(InterpolatedNodalSurface.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static InterpolatedNodalSurface.Builder builder() {
return new InterpolatedNodalSurface.Builder();
}
@Override
public InterpolatedNodalSurface.Meta metaBean() {
return InterpolatedNodalSurface.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the surface metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this surface.
* @return the value of the property, not null
*/
@Override
public SurfaceMetadata getMetadata() {
return metadata;
}
//-----------------------------------------------------------------------
/**
* Gets the array of x-values, one for each point.
*
* This array will contains at least two elements.
* @return the value of the property, not null
*/
@Override
public DoubleArray getXValues() {
return xValues;
}
//-----------------------------------------------------------------------
/**
* Gets the array of y-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
* @return the value of the property, not null
*/
@Override
public DoubleArray getYValues() {
return yValues;
}
//-----------------------------------------------------------------------
/**
* Gets the array of z-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
* @return the value of the property, not null
*/
@Override
public DoubleArray getZValues() {
return zValues;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying interpolator.
* @return the value of the property, not null
*/
public SurfaceInterpolator getInterpolator() {
return interpolator;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
InterpolatedNodalSurface other = (InterpolatedNodalSurface) obj;
return JodaBeanUtils.equal(metadata, other.metadata) &&
JodaBeanUtils.equal(xValues, other.xValues) &&
JodaBeanUtils.equal(yValues, other.yValues) &&
JodaBeanUtils.equal(zValues, other.zValues) &&
JodaBeanUtils.equal(interpolator, other.interpolator);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(metadata);
hash = hash * 31 + JodaBeanUtils.hashCode(xValues);
hash = hash * 31 + JodaBeanUtils.hashCode(yValues);
hash = hash * 31 + JodaBeanUtils.hashCode(zValues);
hash = hash * 31 + JodaBeanUtils.hashCode(interpolator);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("InterpolatedNodalSurface{");
buf.append("metadata").append('=').append(metadata).append(',').append(' ');
buf.append("xValues").append('=').append(xValues).append(',').append(' ');
buf.append("yValues").append('=').append(yValues).append(',').append(' ');
buf.append("zValues").append('=').append(zValues).append(',').append(' ');
buf.append("interpolator").append('=').append(JodaBeanUtils.toString(interpolator));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code InterpolatedNodalSurface}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code metadata} property.
*/
private final MetaProperty metadata = DirectMetaProperty.ofImmutable(
this, "metadata", InterpolatedNodalSurface.class, SurfaceMetadata.class);
/**
* The meta-property for the {@code xValues} property.
*/
private final MetaProperty xValues = DirectMetaProperty.ofImmutable(
this, "xValues", InterpolatedNodalSurface.class, DoubleArray.class);
/**
* The meta-property for the {@code yValues} property.
*/
private final MetaProperty yValues = DirectMetaProperty.ofImmutable(
this, "yValues", InterpolatedNodalSurface.class, DoubleArray.class);
/**
* The meta-property for the {@code zValues} property.
*/
private final MetaProperty zValues = DirectMetaProperty.ofImmutable(
this, "zValues", InterpolatedNodalSurface.class, DoubleArray.class);
/**
* The meta-property for the {@code interpolator} property.
*/
private final MetaProperty interpolator = DirectMetaProperty.ofImmutable(
this, "interpolator", InterpolatedNodalSurface.class, SurfaceInterpolator.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"metadata",
"xValues",
"yValues",
"zValues",
"interpolator");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return metadata;
case 1681280954: // xValues
return xValues;
case -1726182661: // yValues
return yValues;
case -838678980: // zValues
return zValues;
case 2096253127: // interpolator
return interpolator;
}
return super.metaPropertyGet(propertyName);
}
@Override
public InterpolatedNodalSurface.Builder builder() {
return new InterpolatedNodalSurface.Builder();
}
@Override
public Class beanType() {
return InterpolatedNodalSurface.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code metadata} property.
* @return the meta-property, not null
*/
public MetaProperty metadata() {
return metadata;
}
/**
* The meta-property for the {@code xValues} property.
* @return the meta-property, not null
*/
public MetaProperty xValues() {
return xValues;
}
/**
* The meta-property for the {@code yValues} property.
* @return the meta-property, not null
*/
public MetaProperty yValues() {
return yValues;
}
/**
* The meta-property for the {@code zValues} property.
* @return the meta-property, not null
*/
public MetaProperty zValues() {
return zValues;
}
/**
* The meta-property for the {@code interpolator} property.
* @return the meta-property, not null
*/
public MetaProperty interpolator() {
return interpolator;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return ((InterpolatedNodalSurface) bean).getMetadata();
case 1681280954: // xValues
return ((InterpolatedNodalSurface) bean).getXValues();
case -1726182661: // yValues
return ((InterpolatedNodalSurface) bean).getYValues();
case -838678980: // zValues
return ((InterpolatedNodalSurface) bean).getZValues();
case 2096253127: // interpolator
return ((InterpolatedNodalSurface) bean).getInterpolator();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code InterpolatedNodalSurface}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SurfaceMetadata metadata;
private DoubleArray xValues;
private DoubleArray yValues;
private DoubleArray zValues;
private SurfaceInterpolator interpolator;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(InterpolatedNodalSurface beanToCopy) {
this.metadata = beanToCopy.getMetadata();
this.xValues = beanToCopy.getXValues();
this.yValues = beanToCopy.getYValues();
this.zValues = beanToCopy.getZValues();
this.interpolator = beanToCopy.getInterpolator();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return metadata;
case 1681280954: // xValues
return xValues;
case -1726182661: // yValues
return yValues;
case -838678980: // zValues
return zValues;
case 2096253127: // interpolator
return interpolator;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
this.metadata = (SurfaceMetadata) newValue;
break;
case 1681280954: // xValues
this.xValues = (DoubleArray) newValue;
break;
case -1726182661: // yValues
this.yValues = (DoubleArray) newValue;
break;
case -838678980: // zValues
this.zValues = (DoubleArray) newValue;
break;
case 2096253127: // interpolator
this.interpolator = (SurfaceInterpolator) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public InterpolatedNodalSurface build() {
return new InterpolatedNodalSurface(
metadata,
xValues,
yValues,
zValues,
interpolator);
}
//-----------------------------------------------------------------------
/**
* Sets the surface metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this surface.
* @param metadata the new value, not null
* @return this, for chaining, not null
*/
public Builder metadata(SurfaceMetadata metadata) {
JodaBeanUtils.notNull(metadata, "metadata");
this.metadata = metadata;
return this;
}
/**
* Sets the array of x-values, one for each point.
*
* This array will contains at least two elements.
* @param xValues the new value, not null
* @return this, for chaining, not null
*/
public Builder xValues(DoubleArray xValues) {
JodaBeanUtils.notNull(xValues, "xValues");
this.xValues = xValues;
return this;
}
/**
* Sets the array of y-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
* @param yValues the new value, not null
* @return this, for chaining, not null
*/
public Builder yValues(DoubleArray yValues) {
JodaBeanUtils.notNull(yValues, "yValues");
this.yValues = yValues;
return this;
}
/**
* Sets the array of z-values, one for each point.
*
* This array will contains at least two elements and be of the same length as x-values.
* @param zValues the new value, not null
* @return this, for chaining, not null
*/
public Builder zValues(DoubleArray zValues) {
JodaBeanUtils.notNull(zValues, "zValues");
this.zValues = zValues;
return this;
}
/**
* Sets the underlying interpolator.
* @param interpolator the new value, not null
* @return this, for chaining, not null
*/
public Builder interpolator(SurfaceInterpolator interpolator) {
JodaBeanUtils.notNull(interpolator, "interpolator");
this.interpolator = interpolator;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("InterpolatedNodalSurface.Builder{");
buf.append("metadata").append('=').append(JodaBeanUtils.toString(metadata)).append(',').append(' ');
buf.append("xValues").append('=').append(JodaBeanUtils.toString(xValues)).append(',').append(' ');
buf.append("yValues").append('=').append(JodaBeanUtils.toString(yValues)).append(',').append(' ');
buf.append("zValues").append('=').append(JodaBeanUtils.toString(zValues)).append(',').append(' ');
buf.append("interpolator").append('=').append(JodaBeanUtils.toString(interpolator));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}