com.opengamma.strata.market.curve.ParameterizedFunctionalCurve Maven / Gradle / Ivy
Show all versions of strata-market Show documentation
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import static com.opengamma.strata.collect.Guavate.toImmutableList;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.function.BiFunction;
import java.util.stream.IntStream;
import org.joda.beans.Bean;
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.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
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 curve based on a parameterized function.
*
* This class defines a curve in terms of a function and its parameters.
*/
@BeanDefinition
public final class ParameterizedFunctionalCurve
implements Curve, ImmutableBean {
/**
* The curve metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this curve.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurveMetadata metadata;
/**
* The array of parameters for the curve function.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleArray parameters;
/**
* The y-value function.
*
* The function takes {@code parameters} and x-value, then returns y-value.
*/
@PropertyDefinition(validate = "notNull")
private final BiFunction valueFunction;
/**
* The derivative function.
*
* The function takes {@code parameters} and x-value, then returns the first derivative of y-value with respective to x,
* i.e., the gradient of the curve.
*/
@PropertyDefinition(validate = "notNull")
private final BiFunction derivativeFunction;
/**
* The parameter sensitivity function.
*
* The function takes {@code parameters} and x-value, then returns the sensitivities of y-value to the parameters.
*/
@PropertyDefinition(validate = "notNull")
private final BiFunction sensitivityFunction;
/**
* The parameter metadata.
*/
private final transient List parameterMetadata; // derived, not a property
//-------------------------------------------------------------------------
/**
* Obtains an instance.
*
* @param metadata the metadata
* @param parameters the parameters
* @param valueFunction the value function
* @param derivativeFunction the derivative function
* @param sensitivityFunction the parameter sensitivity function
* @return the instance
*/
public static ParameterizedFunctionalCurve of(
CurveMetadata metadata,
DoubleArray parameters,
BiFunction valueFunction,
BiFunction derivativeFunction,
BiFunction sensitivityFunction) {
return ParameterizedFunctionalCurve.builder()
.metadata(metadata)
.parameters(parameters)
.valueFunction(valueFunction)
.derivativeFunction(derivativeFunction)
.sensitivityFunction(sensitivityFunction)
.build();
}
// restricted constructor
@ImmutableConstructor
private ParameterizedFunctionalCurve(
CurveMetadata metadata,
DoubleArray parameters,
BiFunction valueFunction,
BiFunction derivativeFunction,
BiFunction sensitivityFunction) {
JodaBeanUtils.notNull(metadata, "metadata");
JodaBeanUtils.notNull(parameters, "parameters");
JodaBeanUtils.notNull(valueFunction, "valueFunction");
JodaBeanUtils.notNull(derivativeFunction, "derivativeFunction");
JodaBeanUtils.notNull(sensitivityFunction, "sensitivityFunction");
this.metadata = metadata;
this.parameters = parameters;
this.valueFunction = valueFunction;
this.derivativeFunction = derivativeFunction;
this.sensitivityFunction = sensitivityFunction;
this.parameterMetadata = IntStream.range(0, getParameterCount())
.mapToObj(i -> getParameterMetadata(i))
.collect(toImmutableList());
}
//-------------------------------------------------------------------------
@Override
public int getParameterCount() {
return parameters.size();
}
@Override
public double getParameter(int parameterIndex) {
return parameters.get(parameterIndex);
}
@Override
public ParameterizedFunctionalCurve withParameter(int parameterIndex, double newValue) {
return withParameters(parameters.with(parameterIndex, newValue));
}
@Override
public ParameterizedFunctionalCurve withPerturbation(ParameterPerturbation perturbation) {
int size = parameters.size();
DoubleArray perturbedValues = DoubleArray.of(
size, i -> perturbation.perturbParameter(i, parameters.get(i), getParameterMetadata(i)));
return withParameters(perturbedValues);
}
//-------------------------------------------------------------------------
@Override
public double yValue(double x) {
return valueFunction.apply(parameters, x);
}
@Override
public UnitParameterSensitivity yValueParameterSensitivity(double x) {
return createParameterSensitivity(sensitivityFunction.apply(parameters, x));
}
@Override
public double firstDerivative(double x) {
return derivativeFunction.apply(parameters, x);
}
//-------------------------------------------------------------------------
@Override
public ParameterizedFunctionalCurve withMetadata(CurveMetadata metadata) {
return new ParameterizedFunctionalCurve(metadata, parameters, valueFunction, derivativeFunction, sensitivityFunction);
}
/**
* Returns a copy of the curve with all of the parameters altered.
*
* This instance is immutable and unaffected by this method call.
*
* @param parameters the new parameters
* @return the curve with the parameters altered
*/
public ParameterizedFunctionalCurve withParameters(DoubleArray parameters) {
ArgChecker.isTrue(parameters.size() == this.parameters.size(),
"the new parameters size must be the same as the initial parameter size");
return new ParameterizedFunctionalCurve(metadata, parameters, valueFunction, derivativeFunction, sensitivityFunction);
}
//-------------------------------------------------------------------------
@Override
public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities) {
return UnitParameterSensitivity.of(getName(), parameterMetadata, sensitivities);
}
@Override
public CurrencyParameterSensitivity createParameterSensitivity(Currency currency, DoubleArray sensitivities) {
return CurrencyParameterSensitivity.of(getName(), parameterMetadata, currency, sensitivities);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ParameterizedFunctionalCurve}.
* @return the meta-bean, not null
*/
public static ParameterizedFunctionalCurve.Meta meta() {
return ParameterizedFunctionalCurve.Meta.INSTANCE;
}
static {
MetaBean.register(ParameterizedFunctionalCurve.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static ParameterizedFunctionalCurve.Builder builder() {
return new ParameterizedFunctionalCurve.Builder();
}
@Override
public ParameterizedFunctionalCurve.Meta metaBean() {
return ParameterizedFunctionalCurve.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the curve metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this curve.
* @return the value of the property, not null
*/
@Override
public CurveMetadata getMetadata() {
return metadata;
}
//-----------------------------------------------------------------------
/**
* Gets the array of parameters for the curve function.
* @return the value of the property, not null
*/
public DoubleArray getParameters() {
return parameters;
}
//-----------------------------------------------------------------------
/**
* Gets the y-value function.
*
* The function takes {@code parameters} and x-value, then returns y-value.
* @return the value of the property, not null
*/
public BiFunction getValueFunction() {
return valueFunction;
}
//-----------------------------------------------------------------------
/**
* Gets the derivative function.
*
* The function takes {@code parameters} and x-value, then returns the first derivative of y-value with respective to x,
* i.e., the gradient of the curve.
* @return the value of the property, not null
*/
public BiFunction getDerivativeFunction() {
return derivativeFunction;
}
//-----------------------------------------------------------------------
/**
* Gets the parameter sensitivity function.
*
* The function takes {@code parameters} and x-value, then returns the sensitivities of y-value to the parameters.
* @return the value of the property, not null
*/
public BiFunction getSensitivityFunction() {
return sensitivityFunction;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
ParameterizedFunctionalCurve other = (ParameterizedFunctionalCurve) obj;
return JodaBeanUtils.equal(metadata, other.metadata) &&
JodaBeanUtils.equal(parameters, other.parameters) &&
JodaBeanUtils.equal(valueFunction, other.valueFunction) &&
JodaBeanUtils.equal(derivativeFunction, other.derivativeFunction) &&
JodaBeanUtils.equal(sensitivityFunction, other.sensitivityFunction);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(metadata);
hash = hash * 31 + JodaBeanUtils.hashCode(parameters);
hash = hash * 31 + JodaBeanUtils.hashCode(valueFunction);
hash = hash * 31 + JodaBeanUtils.hashCode(derivativeFunction);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivityFunction);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("ParameterizedFunctionalCurve{");
buf.append("metadata").append('=').append(JodaBeanUtils.toString(metadata)).append(',').append(' ');
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("valueFunction").append('=').append(JodaBeanUtils.toString(valueFunction)).append(',').append(' ');
buf.append("derivativeFunction").append('=').append(JodaBeanUtils.toString(derivativeFunction)).append(',').append(' ');
buf.append("sensitivityFunction").append('=').append(JodaBeanUtils.toString(sensitivityFunction));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ParameterizedFunctionalCurve}.
*/
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 metadata} property.
*/
private final MetaProperty metadata = DirectMetaProperty.ofImmutable(
this, "metadata", ParameterizedFunctionalCurve.class, CurveMetadata.class);
/**
* The meta-property for the {@code parameters} property.
*/
private final MetaProperty parameters = DirectMetaProperty.ofImmutable(
this, "parameters", ParameterizedFunctionalCurve.class, DoubleArray.class);
/**
* The meta-property for the {@code valueFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> valueFunction = DirectMetaProperty.ofImmutable(
this, "valueFunction", ParameterizedFunctionalCurve.class, (Class) BiFunction.class);
/**
* The meta-property for the {@code derivativeFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> derivativeFunction = DirectMetaProperty.ofImmutable(
this, "derivativeFunction", ParameterizedFunctionalCurve.class, (Class) BiFunction.class);
/**
* The meta-property for the {@code sensitivityFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> sensitivityFunction = DirectMetaProperty.ofImmutable(
this, "sensitivityFunction", ParameterizedFunctionalCurve.class, (Class) BiFunction.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"metadata",
"parameters",
"valueFunction",
"derivativeFunction",
"sensitivityFunction");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return metadata;
case 458736106: // parameters
return parameters;
case 636119145: // valueFunction
return valueFunction;
case 1663351423: // derivativeFunction
return derivativeFunction;
case -1353652329: // sensitivityFunction
return sensitivityFunction;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ParameterizedFunctionalCurve.Builder builder() {
return new ParameterizedFunctionalCurve.Builder();
}
@Override
public Class beanType() {
return ParameterizedFunctionalCurve.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code metadata} property.
* @return the meta-property, not null
*/
public MetaProperty metadata() {
return metadata;
}
/**
* The meta-property for the {@code parameters} property.
* @return the meta-property, not null
*/
public MetaProperty parameters() {
return parameters;
}
/**
* The meta-property for the {@code valueFunction} property.
* @return the meta-property, not null
*/
public MetaProperty> valueFunction() {
return valueFunction;
}
/**
* The meta-property for the {@code derivativeFunction} property.
* @return the meta-property, not null
*/
public MetaProperty> derivativeFunction() {
return derivativeFunction;
}
/**
* The meta-property for the {@code sensitivityFunction} property.
* @return the meta-property, not null
*/
public MetaProperty> sensitivityFunction() {
return sensitivityFunction;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return ((ParameterizedFunctionalCurve) bean).getMetadata();
case 458736106: // parameters
return ((ParameterizedFunctionalCurve) bean).getParameters();
case 636119145: // valueFunction
return ((ParameterizedFunctionalCurve) bean).getValueFunction();
case 1663351423: // derivativeFunction
return ((ParameterizedFunctionalCurve) bean).getDerivativeFunction();
case -1353652329: // sensitivityFunction
return ((ParameterizedFunctionalCurve) bean).getSensitivityFunction();
}
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 ParameterizedFunctionalCurve}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CurveMetadata metadata;
private DoubleArray parameters;
private BiFunction valueFunction;
private BiFunction derivativeFunction;
private BiFunction sensitivityFunction;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ParameterizedFunctionalCurve beanToCopy) {
this.metadata = beanToCopy.getMetadata();
this.parameters = beanToCopy.getParameters();
this.valueFunction = beanToCopy.getValueFunction();
this.derivativeFunction = beanToCopy.getDerivativeFunction();
this.sensitivityFunction = beanToCopy.getSensitivityFunction();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
return metadata;
case 458736106: // parameters
return parameters;
case 636119145: // valueFunction
return valueFunction;
case 1663351423: // derivativeFunction
return derivativeFunction;
case -1353652329: // sensitivityFunction
return sensitivityFunction;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -450004177: // metadata
this.metadata = (CurveMetadata) newValue;
break;
case 458736106: // parameters
this.parameters = (DoubleArray) newValue;
break;
case 636119145: // valueFunction
this.valueFunction = (BiFunction) newValue;
break;
case 1663351423: // derivativeFunction
this.derivativeFunction = (BiFunction) newValue;
break;
case -1353652329: // sensitivityFunction
this.sensitivityFunction = (BiFunction) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public ParameterizedFunctionalCurve build() {
return new ParameterizedFunctionalCurve(
metadata,
parameters,
valueFunction,
derivativeFunction,
sensitivityFunction);
}
//-----------------------------------------------------------------------
/**
* Sets the curve metadata.
*
* The metadata includes an optional list of parameter metadata.
* If present, the size of the parameter metadata list will match the number of parameters of this curve.
* @param metadata the new value, not null
* @return this, for chaining, not null
*/
public Builder metadata(CurveMetadata metadata) {
JodaBeanUtils.notNull(metadata, "metadata");
this.metadata = metadata;
return this;
}
/**
* Sets the array of parameters for the curve function.
* @param parameters the new value, not null
* @return this, for chaining, not null
*/
public Builder parameters(DoubleArray parameters) {
JodaBeanUtils.notNull(parameters, "parameters");
this.parameters = parameters;
return this;
}
/**
* Sets the y-value function.
*
* The function takes {@code parameters} and x-value, then returns y-value.
* @param valueFunction the new value, not null
* @return this, for chaining, not null
*/
public Builder valueFunction(BiFunction valueFunction) {
JodaBeanUtils.notNull(valueFunction, "valueFunction");
this.valueFunction = valueFunction;
return this;
}
/**
* Sets the derivative function.
*
* The function takes {@code parameters} and x-value, then returns the first derivative of y-value with respective to x,
* i.e., the gradient of the curve.
* @param derivativeFunction the new value, not null
* @return this, for chaining, not null
*/
public Builder derivativeFunction(BiFunction derivativeFunction) {
JodaBeanUtils.notNull(derivativeFunction, "derivativeFunction");
this.derivativeFunction = derivativeFunction;
return this;
}
/**
* Sets the parameter sensitivity function.
*
* The function takes {@code parameters} and x-value, then returns the sensitivities of y-value to the parameters.
* @param sensitivityFunction the new value, not null
* @return this, for chaining, not null
*/
public Builder sensitivityFunction(BiFunction sensitivityFunction) {
JodaBeanUtils.notNull(sensitivityFunction, "sensitivityFunction");
this.sensitivityFunction = sensitivityFunction;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("ParameterizedFunctionalCurve.Builder{");
buf.append("metadata").append('=').append(JodaBeanUtils.toString(metadata)).append(',').append(' ');
buf.append("parameters").append('=').append(JodaBeanUtils.toString(parameters)).append(',').append(' ');
buf.append("valueFunction").append('=').append(JodaBeanUtils.toString(valueFunction)).append(',').append(' ');
buf.append("derivativeFunction").append('=').append(JodaBeanUtils.toString(derivativeFunction)).append(',').append(' ');
buf.append("sensitivityFunction").append('=').append(JodaBeanUtils.toString(sensitivityFunction));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}