com.opengamma.strata.market.curve.InflationNodalCurve Maven / Gradle / Ivy
Show all versions of strata-market Show documentation
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import static java.time.temporal.ChronoUnit.MONTHS;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.YearMonth;
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.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.market.ShiftType;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
/**
* Curve specifically designed for inflation, with features for seasonality and initial point.
*
* The curve details with the initial point and the total seasonal adjustment for each month can be directly provided.
* Alternatively, the curve without the initial point and the seasonality as a month-on-month can be provided and the
* final curve computed from there.
*/
@BeanDefinition(builderScope = "private")
public final class InflationNodalCurve
implements NodalCurve, ImmutableBean, Serializable {
/**
* The underlying curve, before the seasonality adjustment.
* This includes the fixed initial value, which is not treated as a parameter.
*/
@PropertyDefinition(validate = "notNull")
private final NodalCurve underlying;
/**
* Describes the monthly seasonal adjustments.
* The array has a dimension of 12, one element for each month.
* The adjustments are described as a perturbation to the existing values.
* No adjustment to the fixing value.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray seasonality;
/**
* The shift type applied to the unadjusted value and the adjustment.
* (value, seasonality) -> adjustmentType.applyShift(value, seasonality).
*/
@PropertyDefinition(validate = "notNull")
private final ShiftType adjustmentType;
/**
* The first x-value, from the curve.
*/
private final transient double xFixing; // cached, not a property
/**
* The first y-value from the curve.
*/
private final transient double yFixing; // cached, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance of the curve.
*
* The seasonal adjustment is the total adjustment for each month, starting with January.
*
* See {@link #of(NodalCurve, LocalDate, YearMonth, double, SeasonalityDefinition)} for
* month-on-month adjustments and the adjustment starting point, including locking the last fixing.
*
* @param curve the curve with initial fixing
* @param seasonality the total seasonal adjustment for each month, with the first element the January adjustment
* @param adjustmentType the adjustment type
* @return the seasonal curve instance
*/
public static InflationNodalCurve of(
NodalCurve curve,
DoubleArray seasonality,
ShiftType adjustmentType) {
return new InflationNodalCurve(curve, seasonality, adjustmentType);
}
/**
* Obtains an instance from a curve without initial fixing point and month-on-month seasonal adjustment.
*
* The total adjustment is computed by accumulation of the monthly adjustment, starting with no adjustment for the
* last fixing month.
*
* @param curveWithoutFixing the curve without the fixing
* @param valuationDate the valuation date of the curve
* @param lastMonth the last month for which the fixing is known
* @param lastFixingValue the value of the last fixing
* @param seasonalityDefinition the seasonality definition, which is made of month-on-month adjustment
* and the adjustment type
* @return the seasonal curve instance
*/
public static InflationNodalCurve of(
NodalCurve curveWithoutFixing,
LocalDate valuationDate,
YearMonth lastMonth,
double lastFixingValue,
SeasonalityDefinition seasonalityDefinition) {
YearMonth valuationMonth = YearMonth.from(valuationDate);
ArgChecker.isTrue(
lastMonth.isBefore(valuationMonth),
"Last fixing month {} for curve '{}' must be before valuation date {}",
lastMonth,
curveWithoutFixing.getName().getName(),
valuationDate);
double nbMonth = valuationMonth.until(lastMonth, MONTHS);
DoubleArray x = curveWithoutFixing.getXValues();
ArgChecker.isTrue(
nbMonth < x.get(0),
"First estimation month for curve '{}' must be after the last fixing month {}",
curveWithoutFixing.getName().getName(),
lastMonth);
NodalCurve extendedCurve = curveWithoutFixing.withNode(nbMonth, lastFixingValue, ParameterMetadata.empty());
double[] seasonalityCompoundedArray = new double[12];
int lastMonthIndex = lastMonth.getMonth().getValue() - 1;
seasonalityCompoundedArray[(int) ((nbMonth + 12 + 1) % 12)] =
seasonalityDefinition.getSeasonalityMonthOnMonth().get(lastMonthIndex % 12);
for (int i = 1; i < 12; i++) {
int j = (int) ((nbMonth + 12 + 1 + i) % 12);
seasonalityCompoundedArray[j] = seasonalityDefinition.getAdjustmentType().applyShift(
seasonalityCompoundedArray[(j - 1 + 12) % 12],
seasonalityDefinition.getSeasonalityMonthOnMonth().get((lastMonthIndex + i) % 12));
}
return new InflationNodalCurve(
extendedCurve,
DoubleArray.ofUnsafe(seasonalityCompoundedArray),
seasonalityDefinition.getAdjustmentType());
}
//-------------------------------------------------------------------------
// restricted constructor
@ImmutableConstructor
private InflationNodalCurve(
NodalCurve curve,
DoubleArray seasonality,
ShiftType adjustmentType) {
this.underlying = curve;
this.seasonality = seasonality;
this.xFixing = curve.getXValues().get(0);
this.yFixing = curve.getYValues().get(0);
int i = seasonalityIndex(xFixing);
ArgChecker.isTrue(
Math.abs(adjustmentType.applyShift(yFixing, seasonality.get(i)) - yFixing) < 1e-12,
"Fixing value should be unadjusted");
this.adjustmentType = adjustmentType;
}
// ensure standard constructor is invoked
private Object readResolve() {
return new InflationNodalCurve(underlying, seasonality, adjustmentType);
}
//-------------------------------------------------------------------------
@Override
public CurveMetadata getMetadata() {
return underlying.getMetadata();
}
@Override
public double yValue(double x) {
int i = seasonalityIndex(x);
double adjustment = seasonality.get(i);
return adjustmentType.applyShift(underlying.yValue(x), adjustment);
}
// The index on the seasonality vector associated to a time (nb months).
private int seasonalityIndex(double x) {
long xLong = Math.round(x);
return (int) (((xLong % 12) + 12) % 12); // Shift by 12 has java compute the remainder of negative numbers as negative
}
@Override
public int getParameterCount() {
return underlying.getParameterCount() - 1;
}
@Override
public double getParameter(int parameterIndex) {
return underlying.getParameter(parameterIndex + 1);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return underlying.getParameterMetadata(parameterIndex + 1);
}
@Override
public DoubleArray getXValues() {
return underlying.getXValues().subArray(1);
}
@Override
public DoubleArray getYValues() {
return underlying.getYValues().subArray(1);
}
@Override
public UnitParameterSensitivity yValueParameterSensitivity(double x) {
int i = seasonalityIndex(x);
double adjustment = seasonality.get(i);
double derivativeFactor = 0d;
if (adjustmentType.equals(ShiftType.ABSOLUTE)) {
derivativeFactor = 1d;
} else if (adjustmentType.equals(ShiftType.SCALED)) {
derivativeFactor = adjustment;
} else {
throw new IllegalArgumentException("ShiftType " + adjustmentType + " is not supported for sensitivities");
}
// remove the first point from the underlying sensitivity
UnitParameterSensitivity u = underlying.yValueParameterSensitivity(x);
UnitParameterSensitivity u2 = UnitParameterSensitivity.of(
u.getMarketDataName(),
u.getParameterMetadata().subList(1, u.getParameterMetadata().size()),
u.getSensitivity().subArray(1));
return u2.multipliedBy(derivativeFactor);
}
@Override
public double firstDerivative(double x) {
throw new UnsupportedOperationException("Value implemented only at discrete (monthly) values; no derivative available");
}
@Override
public InflationNodalCurve withMetadata(CurveMetadata metadata) {
return new InflationNodalCurve(underlying.withMetadata(metadata), seasonality, adjustmentType);
}
@Override
public InflationNodalCurve withYValues(DoubleArray values) {
DoubleArray yExtended = DoubleArray.of(yFixing).concat(values);
return new InflationNodalCurve(underlying.withYValues(yExtended), seasonality, adjustmentType);
}
@Override
public InflationNodalCurve withValues(DoubleArray xValues, DoubleArray yValues) {
DoubleArray xExtended = DoubleArray.of(xFixing).concat(xValues);
DoubleArray yExtended = DoubleArray.of(yFixing).concat(yValues);
return new InflationNodalCurve(underlying.withValues(xExtended, yExtended), seasonality, adjustmentType);
}
@Override
public InflationNodalCurve withParameter(int parameterIndex, double newValue) {
return new InflationNodalCurve(underlying.withParameter(parameterIndex + 1, newValue), seasonality, adjustmentType);
}
@Override
public InflationNodalCurve withNode(double x, double y, ParameterMetadata paramMetadata) {
ArgChecker.isTrue(xFixing < x, "node can be added only after the fixing anchor");
return new InflationNodalCurve(underlying.withNode(x, y, paramMetadata), seasonality, adjustmentType);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code InflationNodalCurve}.
* @return the meta-bean, not null
*/
public static InflationNodalCurve.Meta meta() {
return InflationNodalCurve.Meta.INSTANCE;
}
static {
MetaBean.register(InflationNodalCurve.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
@Override
public InflationNodalCurve.Meta metaBean() {
return InflationNodalCurve.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve, before the seasonality adjustment.
* This includes the fixed initial value, which is not treated as a parameter.
* @return the value of the property, not null
*/
public NodalCurve getUnderlying() {
return underlying;
}
//-----------------------------------------------------------------------
/**
* Gets describes the monthly seasonal adjustments.
* The array has a dimension of 12, one element for each month.
* The adjustments are described as a perturbation to the existing values.
* No adjustment to the fixing value.
* @return the value of the property, not null
*/
public DoubleArray getSeasonality() {
return seasonality;
}
//-----------------------------------------------------------------------
/**
* Gets the shift type applied to the unadjusted value and the adjustment.
* (value, seasonality) -> adjustmentType.applyShift(value, seasonality).
* @return the value of the property, not null
*/
public ShiftType getAdjustmentType() {
return adjustmentType;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
InflationNodalCurve other = (InflationNodalCurve) obj;
return JodaBeanUtils.equal(underlying, other.underlying) &&
JodaBeanUtils.equal(seasonality, other.seasonality) &&
JodaBeanUtils.equal(adjustmentType, other.adjustmentType);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(underlying);
hash = hash * 31 + JodaBeanUtils.hashCode(seasonality);
hash = hash * 31 + JodaBeanUtils.hashCode(adjustmentType);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("InflationNodalCurve{");
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying)).append(',').append(' ');
buf.append("seasonality").append('=').append(JodaBeanUtils.toString(seasonality)).append(',').append(' ');
buf.append("adjustmentType").append('=').append(JodaBeanUtils.toString(adjustmentType));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code InflationNodalCurve}.
*/
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 underlying} property.
*/
private final MetaProperty underlying = DirectMetaProperty.ofImmutable(
this, "underlying", InflationNodalCurve.class, NodalCurve.class);
/**
* The meta-property for the {@code seasonality} property.
*/
private final MetaProperty seasonality = DirectMetaProperty.ofImmutable(
this, "seasonality", InflationNodalCurve.class, DoubleArray.class);
/**
* The meta-property for the {@code adjustmentType} property.
*/
private final MetaProperty adjustmentType = DirectMetaProperty.ofImmutable(
this, "adjustmentType", InflationNodalCurve.class, ShiftType.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"underlying",
"seasonality",
"adjustmentType");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1770633379: // underlying
return underlying;
case -857898080: // seasonality
return seasonality;
case -1002343865: // adjustmentType
return adjustmentType;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new InflationNodalCurve.Builder();
}
@Override
public Class beanType() {
return InflationNodalCurve.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code underlying} property.
* @return the meta-property, not null
*/
public MetaProperty underlying() {
return underlying;
}
/**
* The meta-property for the {@code seasonality} property.
* @return the meta-property, not null
*/
public MetaProperty seasonality() {
return seasonality;
}
/**
* The meta-property for the {@code adjustmentType} property.
* @return the meta-property, not null
*/
public MetaProperty adjustmentType() {
return adjustmentType;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1770633379: // underlying
return ((InflationNodalCurve) bean).getUnderlying();
case -857898080: // seasonality
return ((InflationNodalCurve) bean).getSeasonality();
case -1002343865: // adjustmentType
return ((InflationNodalCurve) bean).getAdjustmentType();
}
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 InflationNodalCurve}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private NodalCurve underlying;
private DoubleArray seasonality;
private ShiftType adjustmentType;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1770633379: // underlying
return underlying;
case -857898080: // seasonality
return seasonality;
case -1002343865: // adjustmentType
return adjustmentType;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1770633379: // underlying
this.underlying = (NodalCurve) newValue;
break;
case -857898080: // seasonality
this.seasonality = (DoubleArray) newValue;
break;
case -1002343865: // adjustmentType
this.adjustmentType = (ShiftType) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public InflationNodalCurve build() {
return new InflationNodalCurve(
underlying,
seasonality,
adjustmentType);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("InflationNodalCurve.Builder{");
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying)).append(',').append(' ');
buf.append("seasonality").append('=').append(JodaBeanUtils.toString(seasonality)).append(',').append(' ');
buf.append("adjustmentType").append('=').append(JodaBeanUtils.toString(adjustmentType));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}