com.opengamma.strata.market.curve.CombinedCurve Maven / Gradle / Ivy
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/*
* Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import java.io.Serializable;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.stream.IntStream;
import java.util.stream.Stream;
import org.joda.beans.Bean;
import org.joda.beans.BeanBuilder;
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.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
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;
/**
* A curve formed from two curves, the base curve and the spread curve.
*
* The parameters of this curve are the combination of the base curve parameters and spread curve parameters.
* The node sensitivities are calculated in terms of the nodes on the base curve and spread curve.
*
* If one of the two curves must be fixed, use {@link AddFixedCurve}.
*/
@BeanDefinition(builderScope = "private")
public final class CombinedCurve
implements Curve, ImmutableBean, Serializable {
/**
* The base curve.
*/
@PropertyDefinition(validate = "notNull")
private final Curve baseCurve;
/**
* The spread curve.
*/
@PropertyDefinition(validate = "notNull")
private final Curve spreadCurve;
/**
* The curve metadata.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurveMetadata metadata;
//-------------------------------------------------------------------------
/**
* Creates a curve as the sum of a base curve and a spread curve with a specified curve metadata.
*
* @param baseCurve the base curve
* @param spreadCurve the spread curve
* @param metadata the metadata
* @return the combined curve
*/
public static CombinedCurve of(Curve baseCurve, Curve spreadCurve, CurveMetadata metadata) {
return new CombinedCurve(baseCurve, spreadCurve, metadata);
}
/**
* Creates a curve as the sum of a base curve and a spread curve.
*
* The metadata of the combined curve will be created form the base curve and spread curve.
*
* @param baseCurve the base curve
* @param spreadCurve the spread curve
* @return the combined curve
*/
public static CombinedCurve of(Curve baseCurve, Curve spreadCurve) {
CurveMetadata baseMetadata = baseCurve.getMetadata();
CurveMetadata spreadMetadata = spreadCurve.getMetadata();
List paramMeta = Stream.concat(
IntStream.range(0, baseCurve.getParameterCount())
.mapToObj(i -> baseCurve.getParameterMetadata(i)),
IntStream.range(0, spreadCurve.getParameterCount())
.mapToObj(i -> spreadCurve.getParameterMetadata(i)))
.collect(toImmutableList());
DefaultCurveMetadataBuilder metadataBuilder = DefaultCurveMetadata.builder()
.curveName(baseCurve.getName().getName() + "+" + spreadMetadata.getCurveName().getName())
.xValueType(baseMetadata.getXValueType())
.yValueType(baseMetadata.getYValueType())
.parameterMetadata(paramMeta);
if (baseMetadata.findInfo(CurveInfoType.DAY_COUNT).isPresent()) {
metadataBuilder.addInfo(
CurveInfoType.DAY_COUNT, baseMetadata.getInfo(CurveInfoType.DAY_COUNT));
}
return of(baseCurve, spreadCurve, metadataBuilder.build());
}
@ImmutableConstructor
private CombinedCurve(
Curve baseCurve,
Curve spreadCurve,
CurveMetadata metadata) {
JodaBeanUtils.notNull(baseCurve, "baseCurve");
JodaBeanUtils.notNull(spreadCurve, "spreadCurve");
JodaBeanUtils.notNull(metadata, "metadata");
CurveMetadata baseMetadata = baseCurve.getMetadata();
CurveMetadata spreadMetadata = spreadCurve.getMetadata();
// check value type
if (!baseMetadata.getXValueType().equals(metadata.getXValueType())) {
throw new IllegalArgumentException(Messages.format(
"xValueType is {} in baseCurve, but {} in CombinedCurve",
baseMetadata.getXValueType(),
metadata.getXValueType()));
}
if (!spreadMetadata.getXValueType().equals(metadata.getXValueType())) {
throw new IllegalArgumentException(Messages.format(
"xValueType is {} in spreadCurve, but {} in CombinedCurve",
spreadMetadata.getXValueType(),
metadata.getXValueType()));
}
if (!baseMetadata.getYValueType().equals(metadata.getYValueType())) {
throw new IllegalArgumentException(Messages.format(
"yValueType is {} in baseCurve, but {} in CombinedCurve",
baseMetadata.getYValueType(),
metadata.getYValueType()));
}
if (!spreadMetadata.getYValueType().equals(metadata.getYValueType())) {
throw new IllegalArgumentException(Messages.format(
"yValueType is {} in spreadCurve, but {} in CombinedCurve",
spreadMetadata.getYValueType(),
metadata.getYValueType()));
}
// check day count
Optional dccOpt = metadata.findInfo(CurveInfoType.DAY_COUNT);
if (dccOpt.isPresent()) {
DayCount dcc = dccOpt.get();
if (!baseMetadata.findInfo(CurveInfoType.DAY_COUNT).isPresent() ||
!baseMetadata.getInfo(CurveInfoType.DAY_COUNT).equals(dcc)) {
throw new IllegalArgumentException(
Messages.format("DayCount in baseCurve should be {}", dcc));
}
if (!spreadMetadata.findInfo(CurveInfoType.DAY_COUNT).isPresent() ||
!spreadMetadata.getInfo(CurveInfoType.DAY_COUNT).equals(dcc)) {
throw new IllegalArgumentException(
Messages.format("DayCount in spreadCurve should be {}", dcc));
}
}
this.metadata = metadata;
this.baseCurve = baseCurve;
this.spreadCurve = spreadCurve;
}
//-------------------------------------------------------------------------
@Override
public CombinedCurve withMetadata(CurveMetadata metadata) {
return new CombinedCurve(baseCurve, spreadCurve, metadata);
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return baseCurve.getParameterCount() + spreadCurve.getParameterCount();
}
@Override
public double getParameter(int parameterIndex) {
if (parameterIndex < baseCurve.getParameterCount()) {
return baseCurve.getParameter(parameterIndex);
}
return spreadCurve.getParameter(parameterIndex - baseCurve.getParameterCount());
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
if (parameterIndex < baseCurve.getParameterCount()) {
return baseCurve.getParameterMetadata(parameterIndex);
}
return spreadCurve.getParameterMetadata(parameterIndex - baseCurve.getParameterCount());
}
@Override
public CombinedCurve withParameter(int parameterIndex, double newValue) {
if (parameterIndex < baseCurve.getParameterCount()) {
return new CombinedCurve(
baseCurve.withParameter(parameterIndex, newValue),
spreadCurve,
metadata);
}
return new CombinedCurve(
baseCurve,
spreadCurve.withParameter(parameterIndex - baseCurve.getParameterCount(), newValue),
metadata);
}
@Override
public CombinedCurve withPerturbation(ParameterPerturbation perturbation) {
Curve newBaseCurve = baseCurve.withPerturbation(
(idx, value, meta) -> perturbation.perturbParameter(
idx,
baseCurve.getParameter(idx),
baseCurve.getParameterMetadata(idx)));
int offset = baseCurve.getParameterCount();
Curve newSpreadCurve = spreadCurve.withPerturbation(
(idx, value, meta) -> perturbation.perturbParameter(
idx + offset,
spreadCurve.getParameter(idx),
spreadCurve.getParameterMetadata(idx)));
List newParamMeta = Stream.concat(
IntStream.range(0, newBaseCurve.getParameterCount())
.mapToObj(i -> newBaseCurve.getParameterMetadata(i)),
IntStream.range(0, newSpreadCurve.getParameterCount())
.mapToObj(i -> newSpreadCurve.getParameterMetadata(i)))
.collect(toImmutableList());
return CombinedCurve.of(
newBaseCurve,
newSpreadCurve,
metadata.withParameterMetadata(newParamMeta));
}
//-------------------------------------------------------------------------
@Override
public double yValue(double x) {
return baseCurve.yValue(x) + spreadCurve.yValue(x);
}
@Override
public UnitParameterSensitivity yValueParameterSensitivity(double x) {
UnitParameterSensitivity baseSens = baseCurve.yValueParameterSensitivity(x);
UnitParameterSensitivity spreadSens = spreadCurve.yValueParameterSensitivity(x);
return UnitParameterSensitivity.combine(getName(), baseSens, spreadSens);
}
@Override
public double firstDerivative(double x) {
return baseCurve.firstDerivative(x) + spreadCurve.firstDerivative(x);
}
//-------------------------------------------------------------------------
@Override
public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities) {
UnitParameterSensitivity baseSens = baseCurve.createParameterSensitivity(
sensitivities.subArray(0, baseCurve.getParameterCount()));
UnitParameterSensitivity spreadSens = spreadCurve.createParameterSensitivity(
sensitivities.subArray(baseCurve.getParameterCount(), sensitivities.size()));
return UnitParameterSensitivity.combine(getName(), baseSens, spreadSens);
}
@Override
public CurrencyParameterSensitivity createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
CurrencyParameterSensitivity baseSensi = baseCurve.createParameterSensitivity(
currency, sensitivities.subArray(0, baseCurve.getParameterCount()));
CurrencyParameterSensitivity spreadSensi = spreadCurve.createParameterSensitivity(
currency, sensitivities.subArray(baseCurve.getParameterCount(), sensitivities.size()));
return CurrencyParameterSensitivity.combine(getName(), baseSensi, spreadSensi);
}
//-------------------------------------------------------------------------
@Override
public ImmutableList split() {
return ImmutableList.of(baseCurve, spreadCurve);
}
@Override
public CombinedCurve withUnderlyingCurve(int curveIndex, Curve curve) {
if (curveIndex == 0) {
return new CombinedCurve(curve, spreadCurve, metadata);
}
if (curveIndex == 1) {
return new CombinedCurve(baseCurve, curve, metadata);
}
throw new IllegalArgumentException("curveIndex is outside the range");
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CombinedCurve}.
* @return the meta-bean, not null
*/
public static CombinedCurve.Meta meta() {
return CombinedCurve.Meta.INSTANCE;
}
static {
MetaBean.register(CombinedCurve.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public CombinedCurve.Meta metaBean() {
return CombinedCurve.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the base curve.
* @return the value of the property, not null
*/
public Curve getBaseCurve() {
return baseCurve;
}
//-----------------------------------------------------------------------
/**
* Gets the spread curve.
* @return the value of the property, not null
*/
public Curve getSpreadCurve() {
return spreadCurve;
}
//-----------------------------------------------------------------------
/**
* Gets the curve metadata.
* @return the value of the property, not null
*/
@Override
public CurveMetadata getMetadata() {
return metadata;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
CombinedCurve other = (CombinedCurve) obj;
return JodaBeanUtils.equal(baseCurve, other.baseCurve) &&
JodaBeanUtils.equal(spreadCurve, other.spreadCurve) &&
JodaBeanUtils.equal(metadata, other.metadata);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(baseCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(spreadCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(metadata);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("CombinedCurve{");
buf.append("baseCurve").append('=').append(JodaBeanUtils.toString(baseCurve)).append(',').append(' ');
buf.append("spreadCurve").append('=').append(JodaBeanUtils.toString(spreadCurve)).append(',').append(' ');
buf.append("metadata").append('=').append(JodaBeanUtils.toString(metadata));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CombinedCurve}.
*/
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 baseCurve} property.
*/
private final MetaProperty baseCurve = DirectMetaProperty.ofImmutable(
this, "baseCurve", CombinedCurve.class, Curve.class);
/**
* The meta-property for the {@code spreadCurve} property.
*/
private final MetaProperty spreadCurve = DirectMetaProperty.ofImmutable(
this, "spreadCurve", CombinedCurve.class, Curve.class);
/**
* The meta-property for the {@code metadata} property.
*/
private final MetaProperty metadata = DirectMetaProperty.ofImmutable(
this, "metadata", CombinedCurve.class, CurveMetadata.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"baseCurve",
"spreadCurve",
"metadata");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1842240354: // baseCurve
return baseCurve;
case 2130054972: // spreadCurve
return spreadCurve;
case -450004177: // metadata
return metadata;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new CombinedCurve.Builder();
}
@Override
public Class beanType() {
return CombinedCurve.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code baseCurve} property.
* @return the meta-property, not null
*/
public MetaProperty baseCurve() {
return baseCurve;
}
/**
* The meta-property for the {@code spreadCurve} property.
* @return the meta-property, not null
*/
public MetaProperty spreadCurve() {
return spreadCurve;
}
/**
* The meta-property for the {@code metadata} property.
* @return the meta-property, not null
*/
public MetaProperty metadata() {
return metadata;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1842240354: // baseCurve
return ((CombinedCurve) bean).getBaseCurve();
case 2130054972: // spreadCurve
return ((CombinedCurve) bean).getSpreadCurve();
case -450004177: // metadata
return ((CombinedCurve) bean).getMetadata();
}
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 CombinedCurve}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private Curve baseCurve;
private Curve spreadCurve;
private CurveMetadata metadata;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1842240354: // baseCurve
return baseCurve;
case 2130054972: // spreadCurve
return spreadCurve;
case -450004177: // metadata
return metadata;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1842240354: // baseCurve
this.baseCurve = (Curve) newValue;
break;
case 2130054972: // spreadCurve
this.spreadCurve = (Curve) newValue;
break;
case -450004177: // metadata
this.metadata = (CurveMetadata) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public CombinedCurve build() {
return new CombinedCurve(
baseCurve,
spreadCurve,
metadata);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("CombinedCurve.Builder{");
buf.append("baseCurve").append('=').append(JodaBeanUtils.toString(baseCurve)).append(',').append(' ');
buf.append("spreadCurve").append('=').append(JodaBeanUtils.toString(spreadCurve)).append(',').append(' ');
buf.append("metadata").append('=').append(JodaBeanUtils.toString(metadata));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}