com.opengamma.strata.market.sensitivity.PointSensitivityBuilder 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.sensitivity;
import java.util.Arrays;
import java.util.List;
import java.util.function.DoubleUnaryOperator;
import com.opengamma.strata.basics.currency.Currency;
/**
* Builder used to create point sensitivities.
*
* The sensitivity to a single point on a curve is known as point sensitivity.
* This builder allows the individual sensitivities to be built into a combined result.
*
* Implementations may be mutable, however the methods are intended to be used in an immutable style.
* Once a method is called, code should refer and use only the result, not the original instance.
*/
public interface PointSensitivityBuilder {
/**
* Returns a builder representing no sensitivity.
*
* This would be used if the rate was fixed, or if the rate was obtained from a historic
* time-series rather than a forward curve.
*
* @return the empty builder
*/
public static PointSensitivityBuilder none() {
return NoPointSensitivity.INSTANCE;
}
/**
* Returns a builder with the specified sensitivities.
*
* @param sensitivities the list of sensitivities, which is copied
* @return the builder
*/
public static PointSensitivityBuilder of(PointSensitivity... sensitivities) {
switch (sensitivities.length) {
case 0:
return PointSensitivityBuilder.none();
case 1:
PointSensitivity sens = sensitivities[0];
if (sens instanceof PointSensitivityBuilder) {
return (PointSensitivityBuilder) sens;
}
return new MutablePointSensitivities(sens);
default:
return new MutablePointSensitivities(Arrays.asList(sensitivities));
}
}
/**
* Returns a builder with the specified sensitivities.
*
* @param sensitivities the list of sensitivities, which is copied
* @return the builder
*/
public static PointSensitivityBuilder of(List sensitivities) {
switch (sensitivities.size()) {
case 0:
return PointSensitivityBuilder.none();
case 1:
PointSensitivity sens = sensitivities.get(0);
if (sens instanceof PointSensitivityBuilder) {
return (PointSensitivityBuilder) sens;
}
return new MutablePointSensitivities(sens);
default:
return new MutablePointSensitivities(sensitivities);
}
}
//-------------------------------------------------------------------------
/**
* Returns an instance with the specified currency applied to the sensitivities in this builder.
*
* The result will consists of the same points, but with the sensitivity currency assigned.
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
* Instead, the result of the method must be used.
*
* @param currency the currency to be applied to the sensitivities
* @return the resulting builder, replacing this builder
*/
public abstract PointSensitivityBuilder withCurrency(Currency currency);
/**
* Multiplies the sensitivities in this builder by the specified factor.
*
* The result will consist of the same points, but with each sensitivity multiplied.
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
* Instead, the result of the method must be used.
*
* @param factor the multiplicative factor
* @return the resulting builder, replacing this builder
*/
public default PointSensitivityBuilder multipliedBy(double factor) {
return mapSensitivity(s -> s * factor);
}
/**
* Returns an instance with the specified operation applied to the sensitivities in this builder.
*
* The result will consist of the same points, but with the operator applied to each sensitivity.
*
* This is used to apply a mathematical operation to the sensitivities.
* For example, the operator could multiply the sensitivities by a constant, or take the inverse.
*
* inverse = base.mapSensitivities(value -> 1 / value);
*
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
* Instead, the result of the method must be used.
*
* @param operator the operator to be applied to the sensitivities
* @return the resulting builder, replacing this builder
*/
public abstract PointSensitivityBuilder mapSensitivity(DoubleUnaryOperator operator);
/**
* Normalizes the point sensitivities by sorting and merging.
*
* The sensitivities in the builder are sorted and then merged.
* Any two entries that represent the same curve query are merged.
* For example, if there are two point sensitivities that were created based on the same curve,
* currency and fixing date, then the entries are combined, summing the sensitivity value.
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
* Instead, the result of the method must be used.
*
* @return the resulting builder, replacing this builder
*/
public abstract PointSensitivityBuilder normalize();
//-------------------------------------------------------------------------
/**
* Combines this sensitivity with another instance.
*
* This returns an instance with a combined list of point sensitivities.
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
* Instead, the result of the method must be used.
*
* @param other the other sensitivity builder
* @return the combined builder, replacing this builder and the specified builder
*/
public default PointSensitivityBuilder combinedWith(PointSensitivityBuilder other) {
if (other instanceof MutablePointSensitivities) {
MutablePointSensitivities otherCombination = (MutablePointSensitivities) other;
return buildInto(otherCombination);
}
MutablePointSensitivities combination = new MutablePointSensitivities();
return other.buildInto(this.buildInto(combination));
}
/**
* Builds the point sensitivity, adding to the specified mutable instance.
*
* @param combination the combination object to add to
* @return the specified mutable point sensitivities instance is returned, for method chaining
*/
public abstract MutablePointSensitivities buildInto(MutablePointSensitivities combination);
/**
* Builds the resulting point sensitivity.
*
* This returns a {@link PointSensitivities} instance.
*
* Builders may be mutable.
* Once this method is called, this instance must not be used.
*
* @return the built combined sensitivity
*/
public default PointSensitivities build() {
return buildInto(new MutablePointSensitivities()).toImmutable();
}
/**
* Clones the point sensitivity builder.
*
* This returns a {@link PointSensitivityBuilder} instance that is independent
* from the original. Immutable implementations may return themselves.
*
* Builders may be mutable. Using this method allows a copy of the original
* to be obtained, so both the original and the clone can be used.
*
* @return the built combined sensitivity
*/
public abstract PointSensitivityBuilder cloned();
}