com.opengamma.strata.market.curve.CurveParallelShifts 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.curve;
import java.io.Serializable;
import java.util.Map;
import java.util.NoSuchElementException;
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.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 org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.data.scenario.MarketDataBox;
import com.opengamma.strata.data.scenario.ScenarioPerturbation;
import com.opengamma.strata.market.ShiftType;
/**
* Perturbation which applies a parallel shift to a curve.
*
* The shift can be absolute or relative.
* An absolute shift adds the shift amount to each point on the curve.
* A relative shift applies a scaling to each point on the curve.
*
* For example, a relative shift of 0.1 (10%) multiplies each value on the curve by 1.1, and a shift of -0.2 (-20%)
* multiplies the value by 0.8. So for relative shifts the shifted value is {@code (value x (1 + shift))}.
*/
@BeanDefinition(builderScope = "private")
public final class CurveParallelShifts
implements ScenarioPerturbation, ImmutableBean, Serializable {
/** Logger. */
private static final Logger log = LoggerFactory.getLogger(CurveParallelShifts.class);
/**
* The type of shift to apply to the y-values of the curve.
*/
@PropertyDefinition(validate = "notNull")
private final ShiftType shiftType;
/**
* The amount by which the y-values are shifted.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray shiftAmounts;
//-------------------------------------------------------------------------
/**
* Creates a shift that adds a fixed amount to the value at every node in the curve.
*
* @param shiftAmounts the amount to add to each node value in the curve
* @return a shift that adds a fixed amount to the value at every node in the curve
*/
public static CurveParallelShifts absolute(double... shiftAmounts) {
return new CurveParallelShifts(ShiftType.ABSOLUTE, DoubleArray.copyOf(shiftAmounts));
}
/**
* Creates a shift that multiplies the values at each curve node by a scaling factor.
*
* The shift amount is a decimal percentage. For example, a shift amount of 0.1 is a
* shift of +10% which multiplies the value by 1.1. A shift amount of -0.2 is a shift
* of -20% which multiplies the value by 0.8.
*
* @param shiftAmounts the factor to multiply the value at each curve node by
* @return a shift that multiplies the values at each curve node by a scaling factor
*/
public static CurveParallelShifts relative(double... shiftAmounts) {
return new CurveParallelShifts(ShiftType.RELATIVE, DoubleArray.copyOf(shiftAmounts));
}
//-------------------------------------------------------------------------
@Override
public MarketDataBox applyTo(MarketDataBox curve, ReferenceData refData) {
return curve.mapWithIndex(getScenarioCount(), this::applyShift);
}
private Curve applyShift(Curve curve, int scenarioIndex) {
double shiftAmount = shiftAmounts.get(scenarioIndex);
log.debug("Applying {} parallel shift of {} to curve '{}'", shiftType, shiftAmount, curve.getName());
return ParallelShiftedCurve.of(curve, shiftType, shiftAmount);
}
@Override
public int getScenarioCount() {
return shiftAmounts.size();
}
@Override
public Class getMarketDataType() {
return Curve.class;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CurveParallelShifts}.
* @return the meta-bean, not null
*/
public static CurveParallelShifts.Meta meta() {
return CurveParallelShifts.Meta.INSTANCE;
}
static {
MetaBean.register(CurveParallelShifts.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private CurveParallelShifts(
ShiftType shiftType,
DoubleArray shiftAmounts) {
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notNull(shiftAmounts, "shiftAmounts");
this.shiftType = shiftType;
this.shiftAmounts = shiftAmounts;
}
@Override
public CurveParallelShifts.Meta metaBean() {
return CurveParallelShifts.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the type of shift to apply to the y-values of the curve.
* @return the value of the property, not null
*/
public ShiftType getShiftType() {
return shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the amount by which the y-values are shifted.
* @return the value of the property, not null
*/
public DoubleArray getShiftAmounts() {
return shiftAmounts;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
CurveParallelShifts other = (CurveParallelShifts) obj;
return JodaBeanUtils.equal(shiftType, other.shiftType) &&
JodaBeanUtils.equal(shiftAmounts, other.shiftAmounts);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(shiftType);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftAmounts);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CurveParallelShifts{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmounts").append('=').append(JodaBeanUtils.toString(shiftAmounts));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CurveParallelShifts}.
*/
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 shiftType} property.
*/
private final MetaProperty shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", CurveParallelShifts.class, ShiftType.class);
/**
* The meta-property for the {@code shiftAmounts} property.
*/
private final MetaProperty shiftAmounts = DirectMetaProperty.ofImmutable(
this, "shiftAmounts", CurveParallelShifts.class, DoubleArray.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shiftAmounts");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return shiftType;
case 2011836473: // shiftAmounts
return shiftAmounts;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new CurveParallelShifts.Builder();
}
@Override
public Class beanType() {
return CurveParallelShifts.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shiftType} property.
* @return the meta-property, not null
*/
public MetaProperty shiftType() {
return shiftType;
}
/**
* The meta-property for the {@code shiftAmounts} property.
* @return the meta-property, not null
*/
public MetaProperty shiftAmounts() {
return shiftAmounts;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((CurveParallelShifts) bean).getShiftType();
case 2011836473: // shiftAmounts
return ((CurveParallelShifts) bean).getShiftAmounts();
}
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 CurveParallelShifts}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private ShiftType shiftType;
private DoubleArray shiftAmounts;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return shiftType;
case 2011836473: // shiftAmounts
return shiftAmounts;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this.shiftType = (ShiftType) newValue;
break;
case 2011836473: // shiftAmounts
this.shiftAmounts = (DoubleArray) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public CurveParallelShifts build() {
return new CurveParallelShifts(
shiftType,
shiftAmounts);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("CurveParallelShifts.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmounts").append('=').append(JodaBeanUtils.toString(shiftAmounts));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}