com.opengamma.strata.market.curve.ParallelShiftedCurve 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 com.opengamma.strata.market.ShiftType;
import com.opengamma.strata.market.param.LabelParameterMetadata;
import com.opengamma.strata.market.param.ParameterMetadata;
import com.opengamma.strata.market.param.ParameterPerturbation;
import com.opengamma.strata.market.param.UnitParameterSensitivity;
/**
* A curve with a parallel shift applied to its y-values.
*
* This class decorates another curve and applies an adjustment to the y-values when they are queried.
* The shift is either absolute or relative.
*
* When the shift is absolute the shift amount is added to the y-value.
*
* When the shift is relative the y-value is scaled by the shift amount.
* The shift amount is interpreted as a 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.
*
* The parameters consist of the parameters of the underlying curve, followed by the shift.
*/
@BeanDefinition(builderScope = "private")
public final class ParallelShiftedCurve
implements Curve, ImmutableBean, Serializable {
/**
* The underlying curve.
*/
@PropertyDefinition(validate = "notNull")
private final Curve underlyingCurve;
/**
* The type of shift to apply to the y-values of the curve.
* The amount of the shift is determined by {@code #getShiftAmount()}.
*/
@PropertyDefinition(validate = "notNull")
private final ShiftType shiftType;
/**
* The amount by which y-values are shifted.
* The meaning of this amount is determined by {@code #getShiftType()}.
*/
@PropertyDefinition(validate = "notNull")
private final double shiftAmount;
//-------------------------------------------------------------------------
/**
* Returns a curve based on an underlying curve with a fixed amount added to the Y values.
*
* @param curve the underlying curve
* @param shiftAmount the amount added to the Y values of the curve
* @return a curve based on an underlying curve with a fixed amount added to the Y values.
*/
public static ParallelShiftedCurve absolute(Curve curve, double shiftAmount) {
return new ParallelShiftedCurve(curve, ShiftType.ABSOLUTE, shiftAmount);
}
/**
* Returns a curve based on an underlying curve with a scaling applied to the Y values.
*
* The shift amount is interpreted as a 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 curve the underlying curve
* @param shiftAmount the percentage by which the Y values are scaled
* @return a curve based on an underlying curve with a scaling applied to the Y values.
*/
public static ParallelShiftedCurve relative(Curve curve, double shiftAmount) {
return new ParallelShiftedCurve(curve, ShiftType.RELATIVE, shiftAmount);
}
/**
* Returns a curve based on an underlying curve with a parallel shift applied to the Y values.
*
* @param curve the underlying curve
* @param shiftType the type of shift which specifies how the shift amount is applied to the Y values
* @param shiftAmount the magnitude of the shift
* @return a curve based on an underlying curve with a parallel shift applied to the Y values
*/
public static ParallelShiftedCurve of(Curve curve, ShiftType shiftType, double shiftAmount) {
return new ParallelShiftedCurve(curve, shiftType, shiftAmount);
}
//-------------------------------------------------------------------------
@Override
public CurveMetadata getMetadata() {
return underlyingCurve.getMetadata();
}
@Override
public ParallelShiftedCurve withMetadata(CurveMetadata metadata) {
return new ParallelShiftedCurve(underlyingCurve.withMetadata(metadata), shiftType, shiftAmount);
}
@Override
public CurveName getName() {
return underlyingCurve.getName();
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return underlyingCurve.getParameterCount() + 1;
}
@Override
public double getParameter(int parameterIndex) {
if (parameterIndex == underlyingCurve.getParameterCount()) {
return shiftAmount;
}
return underlyingCurve.getParameter(parameterIndex);
}
@Override
public ParameterMetadata getParameterMetadata(int parameterIndex) {
if (parameterIndex == underlyingCurve.getParameterCount()) {
return LabelParameterMetadata.of(shiftType + "Shift");
}
return underlyingCurve.getParameterMetadata(parameterIndex);
}
@Override
public ParallelShiftedCurve withParameter(int parameterIndex, double newValue) {
if (parameterIndex == underlyingCurve.getParameterCount()) {
return new ParallelShiftedCurve(underlyingCurve, shiftType, newValue);
}
return new ParallelShiftedCurve(underlyingCurve.withParameter(parameterIndex, newValue), shiftType, shiftAmount);
}
@Override
public ParallelShiftedCurve withPerturbation(ParameterPerturbation perturbation) {
Curve bumpedCurve = underlyingCurve.withPerturbation(perturbation);
int shiftIndex = underlyingCurve.getParameterCount();
double bumpedShift = perturbation.perturbParameter(shiftIndex, shiftAmount, getParameterMetadata(shiftIndex));
return new ParallelShiftedCurve(bumpedCurve, shiftType, bumpedShift);
}
//-------------------------------------------------------------------------
@Override
public double yValue(double x) {
return shiftType.applyShift(underlyingCurve.yValue(x), shiftAmount);
}
@Override
public UnitParameterSensitivity yValueParameterSensitivity(double x) {
return underlyingCurve.yValueParameterSensitivity(x);
}
@Override
public double firstDerivative(double x) {
double firstDerivative = underlyingCurve.firstDerivative(x);
switch (shiftType) {
case ABSOLUTE:
// If all Y values have been shifted the same amount the derivative is unaffected
return firstDerivative;
case RELATIVE:
// If all Y values have been scaled by the same factor the first derivative is scaled in the same way
return shiftType.applyShift(firstDerivative, shiftAmount);
default:
throw new IllegalArgumentException("Unsupported shift type " + shiftType);
}
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ParallelShiftedCurve}.
* @return the meta-bean, not null
*/
public static ParallelShiftedCurve.Meta meta() {
return ParallelShiftedCurve.Meta.INSTANCE;
}
static {
MetaBean.register(ParallelShiftedCurve.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private ParallelShiftedCurve(
Curve underlyingCurve,
ShiftType shiftType,
double shiftAmount) {
JodaBeanUtils.notNull(underlyingCurve, "underlyingCurve");
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notNull(shiftAmount, "shiftAmount");
this.underlyingCurve = underlyingCurve;
this.shiftType = shiftType;
this.shiftAmount = shiftAmount;
}
@Override
public ParallelShiftedCurve.Meta metaBean() {
return ParallelShiftedCurve.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying curve.
* @return the value of the property, not null
*/
public Curve getUnderlyingCurve() {
return underlyingCurve;
}
//-----------------------------------------------------------------------
/**
* Gets the type of shift to apply to the y-values of the curve.
* The amount of the shift is determined by {@code #getShiftAmount()}.
* @return the value of the property, not null
*/
public ShiftType getShiftType() {
return shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the amount by which y-values are shifted.
* The meaning of this amount is determined by {@code #getShiftType()}.
* @return the value of the property, not null
*/
public double getShiftAmount() {
return shiftAmount;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ParallelShiftedCurve other = (ParallelShiftedCurve) obj;
return JodaBeanUtils.equal(underlyingCurve, other.underlyingCurve) &&
JodaBeanUtils.equal(shiftType, other.shiftType) &&
JodaBeanUtils.equal(shiftAmount, other.shiftAmount);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(underlyingCurve);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftType);
hash = hash * 31 + JodaBeanUtils.hashCode(shiftAmount);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ParallelShiftedCurve{");
buf.append("underlyingCurve").append('=').append(JodaBeanUtils.toString(underlyingCurve)).append(',').append(' ');
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(shiftAmount));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ParallelShiftedCurve}.
*/
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 underlyingCurve} property.
*/
private final MetaProperty underlyingCurve = DirectMetaProperty.ofImmutable(
this, "underlyingCurve", ParallelShiftedCurve.class, Curve.class);
/**
* The meta-property for the {@code shiftType} property.
*/
private final MetaProperty shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", ParallelShiftedCurve.class, ShiftType.class);
/**
* The meta-property for the {@code shiftAmount} property.
*/
private final MetaProperty shiftAmount = DirectMetaProperty.ofImmutable(
this, "shiftAmount", ParallelShiftedCurve.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"underlyingCurve",
"shiftType",
"shiftAmount");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -839394414: // underlyingCurve
return underlyingCurve;
case 893345500: // shiftType
return shiftType;
case -1043480710: // shiftAmount
return shiftAmount;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new ParallelShiftedCurve.Builder();
}
@Override
public Class beanType() {
return ParallelShiftedCurve.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code underlyingCurve} property.
* @return the meta-property, not null
*/
public MetaProperty underlyingCurve() {
return underlyingCurve;
}
/**
* 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 shiftAmount} property.
* @return the meta-property, not null
*/
public MetaProperty shiftAmount() {
return shiftAmount;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -839394414: // underlyingCurve
return ((ParallelShiftedCurve) bean).getUnderlyingCurve();
case 893345500: // shiftType
return ((ParallelShiftedCurve) bean).getShiftType();
case -1043480710: // shiftAmount
return ((ParallelShiftedCurve) bean).getShiftAmount();
}
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 ParallelShiftedCurve}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private Curve underlyingCurve;
private ShiftType shiftType;
private double shiftAmount;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -839394414: // underlyingCurve
return underlyingCurve;
case 893345500: // shiftType
return shiftType;
case -1043480710: // shiftAmount
return shiftAmount;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -839394414: // underlyingCurve
this.underlyingCurve = (Curve) newValue;
break;
case 893345500: // shiftType
this.shiftType = (ShiftType) newValue;
break;
case -1043480710: // shiftAmount
this.shiftAmount = (Double) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public ParallelShiftedCurve build() {
return new ParallelShiftedCurve(
underlyingCurve,
shiftType,
shiftAmount);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(128);
buf.append("ParallelShiftedCurve.Builder{");
buf.append("underlyingCurve").append('=').append(JodaBeanUtils.toString(underlyingCurve)).append(',').append(' ');
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(shiftAmount));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}