com.opengamma.strata.market.curve.JacobianCalibrationMatrix 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.LinkedHashMap;
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.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.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
/**
* Jacobian matrix information produced during curve calibration.
*
* The inverse Jacobian matrix produced using curve calibration is stored here.
* The information is used to calculate market quote sensitivity.
*/
@BeanDefinition(builderScope = "private")
public final class JacobianCalibrationMatrix
implements ImmutableBean, Serializable {
/**
* The curve order.
* This defines the order of the curves during calibration, which can be used
* as a key to interpret the Jacobian matrix.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableList order;
/**
* The inverse Jacobian matrix produced during curve calibration.
* This is the derivative of the curve parameters with respect to the market quotes.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleMatrix jacobianMatrix;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the curve order and Jacobian matrix.
*
* This creates an instance from the inverse Jacobian matrix produced during curve calibration.
* This is the derivative of the curve parameters with respect to the market quotes.
* The curve order defines the order of the curves during calibration, which
* can be used as a key to interpret the matrix.
*
* @param order the order of the curves during calibration
* @param jacobianMatrix the inverse Jacobian matrix produced during curve calibration
* @return the info
*/
public static JacobianCalibrationMatrix of(List order, DoubleMatrix jacobianMatrix) {
return new JacobianCalibrationMatrix(order, jacobianMatrix);
}
//-------------------------------------------------------------------------
/**
* Gets the total number of curves.
*
* @return the number of curves
*/
public int getCurveCount() {
return order.size();
}
/**
* Gets the total number of parameters.
*
* @return the number of curves
*/
public int getTotalParameterCount() {
return order.stream()
.mapToInt(CurveParameterSize::getParameterCount)
.sum();
}
/**
* Checks if this info contains the specified curve.
*
* @param name the curve to find
* @return true if the curve is matched
*/
public boolean containsCurve(CurveName name) {
return order.stream().anyMatch(o -> o.getName().equals(name));
}
/**
* Splits the array according to the curve order.
*
* The input array must be of the same size as the total number of parameters.
* The result consists of a map of arrays, where each array is the appropriate
* section of the input array as defined by the curve order.
*
* @param array the array to split
* @return a map splitting the array by curve name
*/
public Map splitValues(DoubleArray array) {
LinkedHashMap result = new LinkedHashMap<>();
int start = 0;
for (CurveParameterSize paramSizes : order) {
int size = paramSizes.getParameterCount();
result.put(paramSizes.getName(), array.subArray(start, start + size));
start += size;
}
return result;
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code JacobianCalibrationMatrix}.
* @return the meta-bean, not null
*/
public static JacobianCalibrationMatrix.Meta meta() {
return JacobianCalibrationMatrix.Meta.INSTANCE;
}
static {
MetaBean.register(JacobianCalibrationMatrix.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private JacobianCalibrationMatrix(
List order,
DoubleMatrix jacobianMatrix) {
JodaBeanUtils.notNull(order, "order");
JodaBeanUtils.notNull(jacobianMatrix, "jacobianMatrix");
this.order = ImmutableList.copyOf(order);
this.jacobianMatrix = jacobianMatrix;
}
@Override
public JacobianCalibrationMatrix.Meta metaBean() {
return JacobianCalibrationMatrix.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the curve order.
* This defines the order of the curves during calibration, which can be used
* as a key to interpret the Jacobian matrix.
* @return the value of the property, not null
*/
public ImmutableList getOrder() {
return order;
}
//-----------------------------------------------------------------------
/**
* Gets the inverse Jacobian matrix produced during curve calibration.
* This is the derivative of the curve parameters with respect to the market quotes.
* @return the value of the property, not null
*/
public DoubleMatrix getJacobianMatrix() {
return jacobianMatrix;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
JacobianCalibrationMatrix other = (JacobianCalibrationMatrix) obj;
return JodaBeanUtils.equal(order, other.order) &&
JodaBeanUtils.equal(jacobianMatrix, other.jacobianMatrix);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(order);
hash = hash * 31 + JodaBeanUtils.hashCode(jacobianMatrix);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("JacobianCalibrationMatrix{");
buf.append("order").append('=').append(JodaBeanUtils.toString(order)).append(',').append(' ');
buf.append("jacobianMatrix").append('=').append(JodaBeanUtils.toString(jacobianMatrix));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code JacobianCalibrationMatrix}.
*/
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 order} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> order = DirectMetaProperty.ofImmutable(
this, "order", JacobianCalibrationMatrix.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code jacobianMatrix} property.
*/
private final MetaProperty jacobianMatrix = DirectMetaProperty.ofImmutable(
this, "jacobianMatrix", JacobianCalibrationMatrix.class, DoubleMatrix.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"order",
"jacobianMatrix");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 106006350: // order
return order;
case 1656240056: // jacobianMatrix
return jacobianMatrix;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new JacobianCalibrationMatrix.Builder();
}
@Override
public Class beanType() {
return JacobianCalibrationMatrix.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code order} property.
* @return the meta-property, not null
*/
public MetaProperty> order() {
return order;
}
/**
* The meta-property for the {@code jacobianMatrix} property.
* @return the meta-property, not null
*/
public MetaProperty jacobianMatrix() {
return jacobianMatrix;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 106006350: // order
return ((JacobianCalibrationMatrix) bean).getOrder();
case 1656240056: // jacobianMatrix
return ((JacobianCalibrationMatrix) bean).getJacobianMatrix();
}
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 JacobianCalibrationMatrix}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private List order = ImmutableList.of();
private DoubleMatrix jacobianMatrix;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 106006350: // order
return order;
case 1656240056: // jacobianMatrix
return jacobianMatrix;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 106006350: // order
this.order = (List) newValue;
break;
case 1656240056: // jacobianMatrix
this.jacobianMatrix = (DoubleMatrix) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public JacobianCalibrationMatrix build() {
return new JacobianCalibrationMatrix(
order,
jacobianMatrix);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("JacobianCalibrationMatrix.Builder{");
buf.append("order").append('=').append(JodaBeanUtils.toString(order)).append(',').append(' ');
buf.append("jacobianMatrix").append('=').append(JodaBeanUtils.toString(jacobianMatrix));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}