com.opengamma.strata.market.curve.HybridNodalCurve Maven / Gradle / Ivy
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/*
* Copyright (C) 2021 - 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.List;
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.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.collect.ArgChecker;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.market.curve.interpolator.CurveExtrapolator;
import com.opengamma.strata.market.curve.interpolator.CurveInterpolator;
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 hybrid curve which combines two underlying nodal curves,
* allowing different interpolators to be used for different parts of the curve.
*
* The left curve is used for all points up to and including a certain x-value, the right curve is used for higher x-values.
*/
@BeanDefinition(builderScope = "private")
public final class HybridNodalCurve
implements NodalCurve, ImmutableBean, Serializable {
/**
* The left nodal curve.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurve leftCurve;
/**
* The right nodal curve.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurve rightCurve;
/**
* The x axis index where the two curves are joined.
*/
private final transient int spliceIndex;
/**
* The x axis splice; the x value where the two curves are joined.
*/
private final transient double xSplice;
/**
* The metadata for the combined curve.
*/
private final transient CurveMetadata combinedMetadata;
//-------------------------------------------------------------------------
/**
* Create a new hybrid nodal curve.
*
* @param metadata the common metadata, containing parameter metadata for all of the values
* @param xValues the full set of x values
* @param yValues the full set of y values
* @param spliceIndex the x index at which the curves should be split
* @param interpolatorLeft the interpolator for the left curve
* @param interpolatorRight the interpolator for the right curve
* @param extrapolatorLeft the extrapolator for x-values less than the smallest defined x-value
* @param extrapolatorRight the extrapolator for x-values greater than the largest defined x-value
* @return the hybrid nodal curve
*/
public static HybridNodalCurve of(
CurveMetadata metadata,
DoubleArray xValues,
DoubleArray yValues,
int spliceIndex,
CurveInterpolator interpolatorLeft,
CurveInterpolator interpolatorRight,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight) {
if (spliceIndex > xValues.size() - 1 || spliceIndex < 0) {
throw new IllegalArgumentException(Messages.format(
"Hybrid curve splice index [{}] must be less than number of parameters [{}] and non-negative",
spliceIndex,
xValues.size()));
}
// splice value present in both curves to keep correct interpolation
DoubleArray xLeft = xValues.subArray(0, spliceIndex + 1);
DoubleArray yLeft = yValues.subArray(0, spliceIndex + 1);
DoubleArray xRight = xValues.subArray(spliceIndex, xValues.size());
DoubleArray yRight = yValues.subArray(spliceIndex, yValues.size());
Pair splicedMetaData = splicedMetaData(metadata, spliceIndex);
InterpolatedNodalCurve leftCurve = InterpolatedNodalCurve.builder()
.metadata(splicedMetaData.getFirst())
.xValues(xLeft)
.yValues(yLeft)
.interpolator(interpolatorLeft)
.extrapolatorLeft(extrapolatorLeft)
.extrapolatorRight(extrapolatorRight)
.build();
InterpolatedNodalCurve rightCurve = InterpolatedNodalCurve.builder()
.metadata(splicedMetaData.getSecond())
.xValues(xRight)
.yValues(yRight)
.interpolator(interpolatorRight)
.extrapolatorLeft(extrapolatorLeft)
.extrapolatorRight(extrapolatorRight)
.build();
return new HybridNodalCurve(leftCurve, rightCurve);
}
//-------------------------------------------------------------------------
@ImmutableConstructor
private HybridNodalCurve(NodalCurve leftCurve, NodalCurve rightCurve) {
this.leftCurve = ArgChecker.notNull(leftCurve, "leftCurve");
this.rightCurve = ArgChecker.notNull(rightCurve, "rightCurve");
this.xSplice = rightCurve.getXValues().get(0);
this.spliceIndex = leftCurve.getParameterCount() - 1;
ImmutableList.Builder combinedMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < leftCurve.getParameterCount(); i++) {
combinedMetadataBuilder.add(leftCurve.getParameterMetadata(i));
}
// start from 1 as splice index present in both curves
for (int i = 1; i < rightCurve.getParameterCount(); i++) {
combinedMetadataBuilder.add(rightCurve.getParameterMetadata(i));
}
this.combinedMetadata = leftCurve.getMetadata().withParameterMetadata(combinedMetadataBuilder.build());
}
private static Pair splicedMetaData(CurveMetadata curveMetadata, int spliceIndex) {
CurveMetadata leftMetadata;
CurveMetadata rightMetadata;
if (curveMetadata.getParameterMetadata().isPresent()) {
List parameterMetadata = curveMetadata.getParameterMetadata().get();
leftMetadata = curveMetadata.withParameterMetadata(parameterMetadata.subList(0, spliceIndex + 1));
rightMetadata = curveMetadata.withParameterMetadata(
parameterMetadata.subList(spliceIndex, parameterMetadata.size()));
} else {
leftMetadata = curveMetadata;
rightMetadata = curveMetadata;
}
return Pair.of(leftMetadata, rightMetadata);
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return getYValues().size();
}
@Override
public DoubleArray getXValues() {
// splice value present in both curves, ignore from left
return leftCurve.getXValues().subArray(0, spliceIndex)
.concat(rightCurve.getXValues());
}
@Override
public DoubleArray getYValues() {
// splice value present in both curves, ignore from left
return leftCurve.getYValues().subArray(0, spliceIndex)
.concat(rightCurve.getYValues());
}
@Override
public CurveMetadata getMetadata() {
return combinedMetadata;
}
@Override
public double getParameter(int parameterIndex) {
if (parameterIndex < 0 || parameterIndex > getYValues().size()) {
throw new IllegalArgumentException(Messages.format(
"Parameter index [] out of bounds of yValues array of size []",
parameterIndex,
getYValues().size()));
} else {
return getYValues().get(parameterIndex);
}
}
@Override
public double yValue(double x) {
return x < xSplice ? leftCurve.yValue(x) : rightCurve.yValue(x);
}
//-------------------------------------------------------------------------
/**
* Computes the sensitivity of the y-value with respect to the curve parameters
*
* The result will be UnitParameterSensitivity, which stores the
* sensitivity in a DoubleArray of size getParameterCount()
*
* If x<= xSplice, then sensitive to all nodes from 0 to spliceIndex,
* with zero sensitivity to all nodes from spliceIndex+1 to getParameterCount()-1
*
* If x > xSplice, then sensitive to all nodes from spliceIndex to getParameterCount()-1,
* with zero sensitivity to all nodes from 0 to spliceIndex-1
*
*
* @param x the new x-value
* @return the unit parameter sensitivity
*/
@Override
public UnitParameterSensitivity yValueParameterSensitivity(double x) {
if (x <= this.xSplice) {
UnitParameterSensitivity leftSensi = leftCurve.yValueParameterSensitivity(x);
DoubleArray rightArray = DoubleArray.filled(rightCurve.getXValues().size() - 1);
return UnitParameterSensitivity.of(getName(), leftSensi.getSensitivity().concat(rightArray));
} else {
DoubleArray leftArray = DoubleArray.filled(leftCurve.getXValues().size() - 1);
UnitParameterSensitivity rightSensi = rightCurve.yValueParameterSensitivity(x);
return UnitParameterSensitivity.of(getName(), leftArray.concat(rightSensi.getSensitivity()));
}
}
@Override
public double firstDerivative(double x) {
if (x < xSplice) {
return leftCurve.firstDerivative(x);
} else if (x > xSplice) {
return rightCurve.firstDerivative(x);
} else {
// at the splice location take the average of the first derivatives
return 0.5 * (leftCurve.firstDerivative(x) + rightCurve.firstDerivative(x));
}
}
@Override
public HybridNodalCurve withNode(double x, double y, ParameterMetadata paramMetadata) {
throw new IllegalArgumentException(Messages.format(
"{} does not support withNode()",
this.getClass().getSimpleName()));
}
@Override
public HybridNodalCurve withYValues(DoubleArray yValues) {
if (yValues.size() != getYValues().size()) {
throw new IllegalArgumentException(Messages.format(
"Size of new y values [] does not match current size []",
yValues.size(),
getYValues().size()));
}
NodalCurve updatedLeftCurve = leftCurve.withYValues(yValues.subArray(0, spliceIndex + 1));
NodalCurve updatedRightCurve = rightCurve.withYValues(yValues.subArray(spliceIndex, yValues.size()));
return new HybridNodalCurve(updatedLeftCurve, updatedRightCurve);
}
@Override
public HybridNodalCurve withMetadata(CurveMetadata metadata) {
Pair splicedMetaData = splicedMetaData(metadata, this.spliceIndex);
NodalCurve updatedLeftCurve = leftCurve.withMetadata(splicedMetaData.getFirst());
NodalCurve updatedRightCurve = rightCurve.withMetadata(splicedMetaData.getSecond());
return new HybridNodalCurve(updatedLeftCurve, updatedRightCurve);
}
@Override
public HybridNodalCurve withParameter(int parameterIndex, double newValue) {
NodalCurve updatedLeftCurve = parameterIndex <= spliceIndex ?
leftCurve.withParameter(parameterIndex, newValue) :
leftCurve;
NodalCurve updatedRightCurve = parameterIndex >= spliceIndex ?
rightCurve.withParameter(parameterIndex - spliceIndex, newValue) :
rightCurve;
return new HybridNodalCurve(updatedLeftCurve, updatedRightCurve);
}
@Override
public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities) {
return UnitParameterSensitivity.of(
getName(),
combinedMetadata.getParameterMetadata().orElse(ImmutableList.of()),
sensitivities);
}
@Override
public CurrencyParameterSensitivity createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivity.of(
getName(),
combinedMetadata.getParameterMetadata().orElse(ImmutableList.of()),
currency,
sensitivities);
}
@Override
public HybridNodalCurve withPerturbation(ParameterPerturbation perturbation) {
int size = getYValues().size();
DoubleArray perturbedValues = DoubleArray.of(
size, i -> perturbation.perturbParameter(i, getYValues().get(i), getParameterMetadata(i)));
return withYValues(perturbedValues);
}
@Override
public HybridNodalCurve withValues(DoubleArray xValues, DoubleArray yValues) {
if (xValues.size() == getXValues().size()) {
DoubleArray xValuesLeft = xValues.subArray(0, this.spliceIndex + 1);
DoubleArray yValuesLeft = yValues.subArray(0, this.spliceIndex + 1);
DoubleArray xValuesRight = xValues.subArray(this.spliceIndex, getXValues().size());
DoubleArray yValuesRight = yValues.subArray(this.spliceIndex, getXValues().size());
NodalCurve updatedLeftCurve = this.leftCurve.withValues(xValuesLeft, yValuesLeft);
NodalCurve updatedRightCurve = this.rightCurve.withValues(xValuesRight, yValuesRight);
return new HybridNodalCurve(updatedLeftCurve, updatedRightCurve);
} else {
throw new IllegalArgumentException(Messages.format(
"{} does not support withValues() when the size of new x values [] does not match current size []; " +
"in this case a splice index must also be provided",
this.getClass().getSimpleName(),
xValues.size(),
getXValues().size()));
}
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code HybridNodalCurve}.
* @return the meta-bean, not null
*/
public static HybridNodalCurve.Meta meta() {
return HybridNodalCurve.Meta.INSTANCE;
}
static {
MetaBean.register(HybridNodalCurve.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public HybridNodalCurve.Meta metaBean() {
return HybridNodalCurve.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the left nodal curve.
* @return the value of the property, not null
*/
public NodalCurve getLeftCurve() {
return leftCurve;
}
//-----------------------------------------------------------------------
/**
* Gets the right nodal curve.
* @return the value of the property, not null
*/
public NodalCurve getRightCurve() {
return rightCurve;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
HybridNodalCurve other = (HybridNodalCurve) obj;
return JodaBeanUtils.equal(leftCurve, other.leftCurve) &&
JodaBeanUtils.equal(rightCurve, other.rightCurve);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(leftCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(rightCurve);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("HybridNodalCurve{");
buf.append("leftCurve").append('=').append(JodaBeanUtils.toString(leftCurve)).append(',').append(' ');
buf.append("rightCurve").append('=').append(JodaBeanUtils.toString(rightCurve));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code HybridNodalCurve}.
*/
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 leftCurve} property.
*/
private final MetaProperty leftCurve = DirectMetaProperty.ofImmutable(
this, "leftCurve", HybridNodalCurve.class, NodalCurve.class);
/**
* The meta-property for the {@code rightCurve} property.
*/
private final MetaProperty rightCurve = DirectMetaProperty.ofImmutable(
this, "rightCurve", HybridNodalCurve.class, NodalCurve.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"leftCurve",
"rightCurve");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1716149544: // leftCurve
return leftCurve;
case -1413464013: // rightCurve
return rightCurve;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new HybridNodalCurve.Builder();
}
@Override
public Class beanType() {
return HybridNodalCurve.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code leftCurve} property.
* @return the meta-property, not null
*/
public MetaProperty leftCurve() {
return leftCurve;
}
/**
* The meta-property for the {@code rightCurve} property.
* @return the meta-property, not null
*/
public MetaProperty rightCurve() {
return rightCurve;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1716149544: // leftCurve
return ((HybridNodalCurve) bean).getLeftCurve();
case -1413464013: // rightCurve
return ((HybridNodalCurve) bean).getRightCurve();
}
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 HybridNodalCurve}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private NodalCurve leftCurve;
private NodalCurve rightCurve;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1716149544: // leftCurve
return leftCurve;
case -1413464013: // rightCurve
return rightCurve;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1716149544: // leftCurve
this.leftCurve = (NodalCurve) newValue;
break;
case -1413464013: // rightCurve
this.rightCurve = (NodalCurve) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public HybridNodalCurve build() {
return new HybridNodalCurve(
leftCurve,
rightCurve);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("HybridNodalCurve.Builder{");
buf.append("leftCurve").append('=').append(JodaBeanUtils.toString(leftCurve)).append(',').append(' ');
buf.append("rightCurve").append('=').append(JodaBeanUtils.toString(rightCurve));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}