com.opengamma.strata.market.curve.ParameterizedFunctionalCurveDefinition Maven / Gradle / Ivy
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/*
* 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 static java.time.temporal.ChronoUnit.DAYS;
import static java.util.stream.Collectors.toCollection;
import java.time.LocalDate;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Optional;
import java.util.function.BiFunction;
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.ImmutablePreBuild;
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.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.date.DayCount;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.param.ParameterMetadata;
/**
* Provides the definition of how to calibrate a parameterized functional curve.
*
* A parameterized functional curve is built from a number of parameters and described by metadata.
* Calibration is based on a list of {@link CurveNode} instances that specify the underlying instruments.
*
* The number of the curve parameters is in general different from the number of the instruments.
* However, the number mismatch tends to cause the root-finding failure in the curve calibration.
*/
@BeanDefinition
public final class ParameterizedFunctionalCurveDefinition
implements CurveDefinition, ImmutableBean {
/**
* The curve name.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final CurveName name;
/**
* The x-value type, providing meaning to the x-values of the curve.
*
* This type provides meaning to the x-values. For example, the x-value might
* represent a year fraction, as represented using {@link ValueType#YEAR_FRACTION}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
*/
@PropertyDefinition(validate = "notNull")
private final ValueType xValueType;
/**
* The y-value type, providing meaning to the y-values of the curve.
*
* This type provides meaning to the y-values. For example, the y-value might
* represent a zero rate, as represented using {@link ValueType#ZERO_RATE}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ValueType yValueType;
/**
* The day count, optional.
*
* If the x-value of the curve represents time as a year fraction, the day count
* can be specified to define how the year fraction is calculated.
*/
@PropertyDefinition(get = "optional")
private final DayCount dayCount;
/**
* The nodes of the underlying instruments.
*
* The nodes are used to find the quoted values to which the curve is calibrated.
*/
@PropertyDefinition(validate = "notNull", builderType = "List", overrideGet = true)
private final ImmutableList nodes;
/**
* The initial guess values for the curve parameters.
*
* The size must be the same as the number of the curve parameters.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableList initialGuess;
/**
* The parameter metadata of the curve, defaulted to empty metadata instances.
*
* The size of the list must be the same as the number of the curve parameters.
*/
@PropertyDefinition(validate = "notNull", builderType = "List")
private final ImmutableList parameterMetadata;
/**
* 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;
//-------------------------------------------------------------------------
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.parameterMetadata.size() == 0) {
if (builder.initialGuess != null) {
builder.parameterMetadata = ParameterMetadata.listOfEmpty(builder.initialGuess.size());
}
}
}
//-------------------------------------------------------------------------
@Override
public ParameterizedFunctionalCurveDefinition filtered(LocalDate valuationDate, ReferenceData refData) {
// mutable list of date-node pairs
ArrayList> nodeDates = nodes.stream()
.map(node -> Pair.of(node.date(valuationDate, refData), node))
.collect(toCollection(ArrayList::new));
// delete nodes if clash, but don't throw exceptions yet
loop:
for (int i = 0; i < nodeDates.size(); i++) {
Pair pair = nodeDates.get(i);
CurveNodeDateOrder restriction = pair.getSecond().getDateOrder();
// compare node to previous node
if (i > 0) {
Pair pairBefore = nodeDates.get(i - 1);
if (DAYS.between(pairBefore.getFirst(), pair.getFirst()) < restriction.getMinGapInDays()) {
switch (restriction.getAction()) {
case DROP_THIS:
nodeDates.remove(i);
i = -1; // restart loop
continue loop;
case DROP_OTHER:
nodeDates.remove(i - 1);
i = -1; // restart loop
continue loop;
case EXCEPTION:
break; // do nothing yet
default:
throw new IllegalStateException("Unexpected enum value");
}
}
}
// compare node to next node
if (i < nodeDates.size() - 1) {
Pair pairAfter = nodeDates.get(i + 1);
if (DAYS.between(pair.getFirst(), pairAfter.getFirst()) < restriction.getMinGapInDays()) {
switch (restriction.getAction()) {
case DROP_THIS:
nodeDates.remove(i);
i = -1; // restart loop
continue loop;
case DROP_OTHER:
nodeDates.remove(i + 1);
i = -1; // restart loop
continue loop;
case EXCEPTION:
break; // do nothing yet
default:
throw new IllegalStateException("Unexpected enum value");
}
}
}
}
// throw exceptions if rules breached
for (int i = 0; i < nodeDates.size(); i++) {
Pair pair = nodeDates.get(i);
CurveNodeDateOrder restriction = pair.getSecond().getDateOrder();
// compare node to previous node
if (i > 0) {
Pair pairBefore = nodeDates.get(i - 1);
if (DAYS.between(pairBefore.getFirst(), pair.getFirst()) < restriction.getMinGapInDays()) {
throw new IllegalArgumentException(Messages.format(
"Curve node dates clash, node '{}' and '{}' resolved to dates '{}' and '{}' respectively",
pairBefore.getSecond().getLabel(),
pair.getSecond().getLabel(),
pairBefore.getFirst(),
pair.getFirst()));
}
}
// compare node to next node
if (i < nodeDates.size() - 1) {
Pair pairAfter = nodeDates.get(i + 1);
if (DAYS.between(pair.getFirst(), pairAfter.getFirst()) < restriction.getMinGapInDays()) {
throw new IllegalArgumentException(Messages.format(
"Curve node dates clash, node '{}' and '{}' resolved to dates '{}' and '{}' respectively",
pair.getSecond().getLabel(),
pairAfter.getSecond().getLabel(),
pair.getFirst(),
pairAfter.getFirst()));
}
}
}
// return the resolved definition
List filteredNodes = nodeDates.stream().map(p -> p.getSecond()).collect(toImmutableList());
return new ParameterizedFunctionalCurveDefinition(
name,
xValueType,
yValueType,
dayCount,
filteredNodes,
initialGuess,
parameterMetadata,
valueFunction,
derivativeFunction,
sensitivityFunction);
}
@Override
public CurveMetadata metadata(LocalDate valuationDate, ReferenceData refData) {
return DefaultCurveMetadata.builder()
.curveName(name)
.xValueType(xValueType)
.yValueType(yValueType)
.dayCount(dayCount)
.parameterMetadata(parameterMetadata)
.build();
}
@Override
public ParameterizedFunctionalCurve curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters) {
return ParameterizedFunctionalCurve.of(
metadata,
parameters,
valueFunction,
derivativeFunction,
sensitivityFunction);
}
@Override
public int getParameterCount() {
return initialGuess.size();
}
@Override
public ImmutableList initialGuess(MarketData marketData) {
return getInitialGuess();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ParameterizedFunctionalCurveDefinition}.
* @return the meta-bean, not null
*/
public static ParameterizedFunctionalCurveDefinition.Meta meta() {
return ParameterizedFunctionalCurveDefinition.Meta.INSTANCE;
}
static {
MetaBean.register(ParameterizedFunctionalCurveDefinition.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static ParameterizedFunctionalCurveDefinition.Builder builder() {
return new ParameterizedFunctionalCurveDefinition.Builder();
}
private ParameterizedFunctionalCurveDefinition(
CurveName name,
ValueType xValueType,
ValueType yValueType,
DayCount dayCount,
List nodes,
List initialGuess,
List parameterMetadata,
BiFunction valueFunction,
BiFunction derivativeFunction,
BiFunction sensitivityFunction) {
JodaBeanUtils.notNull(name, "name");
JodaBeanUtils.notNull(xValueType, "xValueType");
JodaBeanUtils.notNull(yValueType, "yValueType");
JodaBeanUtils.notNull(nodes, "nodes");
JodaBeanUtils.notNull(initialGuess, "initialGuess");
JodaBeanUtils.notNull(parameterMetadata, "parameterMetadata");
JodaBeanUtils.notNull(valueFunction, "valueFunction");
JodaBeanUtils.notNull(derivativeFunction, "derivativeFunction");
JodaBeanUtils.notNull(sensitivityFunction, "sensitivityFunction");
this.name = name;
this.xValueType = xValueType;
this.yValueType = yValueType;
this.dayCount = dayCount;
this.nodes = ImmutableList.copyOf(nodes);
this.initialGuess = ImmutableList.copyOf(initialGuess);
this.parameterMetadata = ImmutableList.copyOf(parameterMetadata);
this.valueFunction = valueFunction;
this.derivativeFunction = derivativeFunction;
this.sensitivityFunction = sensitivityFunction;
}
@Override
public ParameterizedFunctionalCurveDefinition.Meta metaBean() {
return ParameterizedFunctionalCurveDefinition.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the curve name.
* @return the value of the property, not null
*/
@Override
public CurveName getName() {
return name;
}
//-----------------------------------------------------------------------
/**
* Gets the x-value type, providing meaning to the x-values of the curve.
*
* This type provides meaning to the x-values. For example, the x-value might
* represent a year fraction, as represented using {@link ValueType#YEAR_FRACTION}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
* @return the value of the property, not null
*/
public ValueType getXValueType() {
return xValueType;
}
//-----------------------------------------------------------------------
/**
* Gets the y-value type, providing meaning to the y-values of the curve.
*
* This type provides meaning to the y-values. For example, the y-value might
* represent a zero rate, as represented using {@link ValueType#ZERO_RATE}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
* @return the value of the property, not null
*/
@Override
public ValueType getYValueType() {
return yValueType;
}
//-----------------------------------------------------------------------
/**
* Gets the day count, optional.
*
* If the x-value of the curve represents time as a year fraction, the day count
* can be specified to define how the year fraction is calculated.
* @return the optional value of the property, not null
*/
public Optional getDayCount() {
return Optional.ofNullable(dayCount);
}
//-----------------------------------------------------------------------
/**
* Gets the nodes of the underlying instruments.
*
* The nodes are used to find the quoted values to which the curve is calibrated.
* @return the value of the property, not null
*/
@Override
public ImmutableList getNodes() {
return nodes;
}
//-----------------------------------------------------------------------
/**
* Gets the initial guess values for the curve parameters.
*
* The size must be the same as the number of the curve parameters.
* @return the value of the property, not null
*/
public ImmutableList getInitialGuess() {
return initialGuess;
}
//-----------------------------------------------------------------------
/**
* Gets the parameter metadata of the curve, defaulted to empty metadata instances.
*
* The size of the list must be the same as the number of the curve parameters.
* @return the value of the property, not null
*/
public ImmutableList getParameterMetadata() {
return parameterMetadata;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ParameterizedFunctionalCurveDefinition other = (ParameterizedFunctionalCurveDefinition) obj;
return JodaBeanUtils.equal(name, other.name) &&
JodaBeanUtils.equal(xValueType, other.xValueType) &&
JodaBeanUtils.equal(yValueType, other.yValueType) &&
JodaBeanUtils.equal(dayCount, other.dayCount) &&
JodaBeanUtils.equal(nodes, other.nodes) &&
JodaBeanUtils.equal(initialGuess, other.initialGuess) &&
JodaBeanUtils.equal(parameterMetadata, other.parameterMetadata) &&
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(name);
hash = hash * 31 + JodaBeanUtils.hashCode(xValueType);
hash = hash * 31 + JodaBeanUtils.hashCode(yValueType);
hash = hash * 31 + JodaBeanUtils.hashCode(dayCount);
hash = hash * 31 + JodaBeanUtils.hashCode(nodes);
hash = hash * 31 + JodaBeanUtils.hashCode(initialGuess);
hash = hash * 31 + JodaBeanUtils.hashCode(parameterMetadata);
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(352);
buf.append("ParameterizedFunctionalCurveDefinition{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("xValueType").append('=').append(JodaBeanUtils.toString(xValueType)).append(',').append(' ');
buf.append("yValueType").append('=').append(JodaBeanUtils.toString(yValueType)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("nodes").append('=').append(JodaBeanUtils.toString(nodes)).append(',').append(' ');
buf.append("initialGuess").append('=').append(JodaBeanUtils.toString(initialGuess)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata)).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 ParameterizedFunctionalCurveDefinition}.
*/
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 name} property.
*/
private final MetaProperty name = DirectMetaProperty.ofImmutable(
this, "name", ParameterizedFunctionalCurveDefinition.class, CurveName.class);
/**
* The meta-property for the {@code xValueType} property.
*/
private final MetaProperty xValueType = DirectMetaProperty.ofImmutable(
this, "xValueType", ParameterizedFunctionalCurveDefinition.class, ValueType.class);
/**
* The meta-property for the {@code yValueType} property.
*/
private final MetaProperty yValueType = DirectMetaProperty.ofImmutable(
this, "yValueType", ParameterizedFunctionalCurveDefinition.class, ValueType.class);
/**
* The meta-property for the {@code dayCount} property.
*/
private final MetaProperty dayCount = DirectMetaProperty.ofImmutable(
this, "dayCount", ParameterizedFunctionalCurveDefinition.class, DayCount.class);
/**
* The meta-property for the {@code nodes} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> nodes = DirectMetaProperty.ofImmutable(
this, "nodes", ParameterizedFunctionalCurveDefinition.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code initialGuess} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> initialGuess = DirectMetaProperty.ofImmutable(
this, "initialGuess", ParameterizedFunctionalCurveDefinition.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code parameterMetadata} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> parameterMetadata = DirectMetaProperty.ofImmutable(
this, "parameterMetadata", ParameterizedFunctionalCurveDefinition.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code valueFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> valueFunction = DirectMetaProperty.ofImmutable(
this, "valueFunction", ParameterizedFunctionalCurveDefinition.class, (Class) BiFunction.class);
/**
* The meta-property for the {@code derivativeFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> derivativeFunction = DirectMetaProperty.ofImmutable(
this, "derivativeFunction", ParameterizedFunctionalCurveDefinition.class, (Class) BiFunction.class);
/**
* The meta-property for the {@code sensitivityFunction} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> sensitivityFunction = DirectMetaProperty.ofImmutable(
this, "sensitivityFunction", ParameterizedFunctionalCurveDefinition.class, (Class) BiFunction.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"name",
"xValueType",
"yValueType",
"dayCount",
"nodes",
"initialGuess",
"parameterMetadata",
"valueFunction",
"derivativeFunction",
"sensitivityFunction");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case -868509005: // xValueType
return xValueType;
case -1065022510: // yValueType
return yValueType;
case 1905311443: // dayCount
return dayCount;
case 104993457: // nodes
return nodes;
case -431632141: // initialGuess
return initialGuess;
case -1169106440: // parameterMetadata
return parameterMetadata;
case 636119145: // valueFunction
return valueFunction;
case 1663351423: // derivativeFunction
return derivativeFunction;
case -1353652329: // sensitivityFunction
return sensitivityFunction;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ParameterizedFunctionalCurveDefinition.Builder builder() {
return new ParameterizedFunctionalCurveDefinition.Builder();
}
@Override
public Class beanType() {
return ParameterizedFunctionalCurveDefinition.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code name} property.
* @return the meta-property, not null
*/
public MetaProperty name() {
return name;
}
/**
* The meta-property for the {@code xValueType} property.
* @return the meta-property, not null
*/
public MetaProperty xValueType() {
return xValueType;
}
/**
* The meta-property for the {@code yValueType} property.
* @return the meta-property, not null
*/
public MetaProperty yValueType() {
return yValueType;
}
/**
* The meta-property for the {@code dayCount} property.
* @return the meta-property, not null
*/
public MetaProperty dayCount() {
return dayCount;
}
/**
* The meta-property for the {@code nodes} property.
* @return the meta-property, not null
*/
public MetaProperty> nodes() {
return nodes;
}
/**
* The meta-property for the {@code initialGuess} property.
* @return the meta-property, not null
*/
public MetaProperty> initialGuess() {
return initialGuess;
}
/**
* The meta-property for the {@code parameterMetadata} property.
* @return the meta-property, not null
*/
public MetaProperty> parameterMetadata() {
return parameterMetadata;
}
/**
* 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 3373707: // name
return ((ParameterizedFunctionalCurveDefinition) bean).getName();
case -868509005: // xValueType
return ((ParameterizedFunctionalCurveDefinition) bean).getXValueType();
case -1065022510: // yValueType
return ((ParameterizedFunctionalCurveDefinition) bean).getYValueType();
case 1905311443: // dayCount
return ((ParameterizedFunctionalCurveDefinition) bean).dayCount;
case 104993457: // nodes
return ((ParameterizedFunctionalCurveDefinition) bean).getNodes();
case -431632141: // initialGuess
return ((ParameterizedFunctionalCurveDefinition) bean).getInitialGuess();
case -1169106440: // parameterMetadata
return ((ParameterizedFunctionalCurveDefinition) bean).getParameterMetadata();
case 636119145: // valueFunction
return ((ParameterizedFunctionalCurveDefinition) bean).getValueFunction();
case 1663351423: // derivativeFunction
return ((ParameterizedFunctionalCurveDefinition) bean).getDerivativeFunction();
case -1353652329: // sensitivityFunction
return ((ParameterizedFunctionalCurveDefinition) 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 ParameterizedFunctionalCurveDefinition}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private CurveName name;
private ValueType xValueType;
private ValueType yValueType;
private DayCount dayCount;
private List nodes = ImmutableList.of();
private List initialGuess = ImmutableList.of();
private List parameterMetadata = ImmutableList.of();
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(ParameterizedFunctionalCurveDefinition beanToCopy) {
this.name = beanToCopy.getName();
this.xValueType = beanToCopy.getXValueType();
this.yValueType = beanToCopy.getYValueType();
this.dayCount = beanToCopy.dayCount;
this.nodes = beanToCopy.getNodes();
this.initialGuess = beanToCopy.getInitialGuess();
this.parameterMetadata = beanToCopy.getParameterMetadata();
this.valueFunction = beanToCopy.getValueFunction();
this.derivativeFunction = beanToCopy.getDerivativeFunction();
this.sensitivityFunction = beanToCopy.getSensitivityFunction();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3373707: // name
return name;
case -868509005: // xValueType
return xValueType;
case -1065022510: // yValueType
return yValueType;
case 1905311443: // dayCount
return dayCount;
case 104993457: // nodes
return nodes;
case -431632141: // initialGuess
return initialGuess;
case -1169106440: // parameterMetadata
return parameterMetadata;
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 3373707: // name
this.name = (CurveName) newValue;
break;
case -868509005: // xValueType
this.xValueType = (ValueType) newValue;
break;
case -1065022510: // yValueType
this.yValueType = (ValueType) newValue;
break;
case 1905311443: // dayCount
this.dayCount = (DayCount) newValue;
break;
case 104993457: // nodes
this.nodes = (List) newValue;
break;
case -431632141: // initialGuess
this.initialGuess = (List) newValue;
break;
case -1169106440: // parameterMetadata
this.parameterMetadata = (List) 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 ParameterizedFunctionalCurveDefinition build() {
preBuild(this);
return new ParameterizedFunctionalCurveDefinition(
name,
xValueType,
yValueType,
dayCount,
nodes,
initialGuess,
parameterMetadata,
valueFunction,
derivativeFunction,
sensitivityFunction);
}
//-----------------------------------------------------------------------
/**
* Sets the curve name.
* @param name the new value, not null
* @return this, for chaining, not null
*/
public Builder name(CurveName name) {
JodaBeanUtils.notNull(name, "name");
this.name = name;
return this;
}
/**
* Sets the x-value type, providing meaning to the x-values of the curve.
*
* This type provides meaning to the x-values. For example, the x-value might
* represent a year fraction, as represented using {@link ValueType#YEAR_FRACTION}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
* @param xValueType the new value, not null
* @return this, for chaining, not null
*/
public Builder xValueType(ValueType xValueType) {
JodaBeanUtils.notNull(xValueType, "xValueType");
this.xValueType = xValueType;
return this;
}
/**
* Sets the y-value type, providing meaning to the y-values of the curve.
*
* This type provides meaning to the y-values. For example, the y-value might
* represent a zero rate, as represented using {@link ValueType#ZERO_RATE}.
*
* If using the builder, this defaults to {@link ValueType#UNKNOWN}.
* @param yValueType the new value, not null
* @return this, for chaining, not null
*/
public Builder yValueType(ValueType yValueType) {
JodaBeanUtils.notNull(yValueType, "yValueType");
this.yValueType = yValueType;
return this;
}
/**
* Sets the day count, optional.
*
* If the x-value of the curve represents time as a year fraction, the day count
* can be specified to define how the year fraction is calculated.
* @param dayCount the new value
* @return this, for chaining, not null
*/
public Builder dayCount(DayCount dayCount) {
this.dayCount = dayCount;
return this;
}
/**
* Sets the nodes of the underlying instruments.
*
* The nodes are used to find the quoted values to which the curve is calibrated.
* @param nodes the new value, not null
* @return this, for chaining, not null
*/
public Builder nodes(List nodes) {
JodaBeanUtils.notNull(nodes, "nodes");
this.nodes = nodes;
return this;
}
/**
* Sets the {@code nodes} property in the builder
* from an array of objects.
* @param nodes the new value, not null
* @return this, for chaining, not null
*/
public Builder nodes(CurveNode... nodes) {
return nodes(ImmutableList.copyOf(nodes));
}
/**
* Sets the initial guess values for the curve parameters.
*
* The size must be the same as the number of the curve parameters.
* @param initialGuess the new value, not null
* @return this, for chaining, not null
*/
public Builder initialGuess(List initialGuess) {
JodaBeanUtils.notNull(initialGuess, "initialGuess");
this.initialGuess = initialGuess;
return this;
}
/**
* Sets the {@code initialGuess} property in the builder
* from an array of objects.
* @param initialGuess the new value, not null
* @return this, for chaining, not null
*/
public Builder initialGuess(Double... initialGuess) {
return initialGuess(ImmutableList.copyOf(initialGuess));
}
/**
* Sets the parameter metadata of the curve, defaulted to empty metadata instances.
*
* The size of the list must be the same as the number of the curve parameters.
* @param parameterMetadata the new value, not null
* @return this, for chaining, not null
*/
public Builder parameterMetadata(List parameterMetadata) {
JodaBeanUtils.notNull(parameterMetadata, "parameterMetadata");
this.parameterMetadata = parameterMetadata;
return this;
}
/**
* Sets the {@code parameterMetadata} property in the builder
* from an array of objects.
* @param parameterMetadata the new value, not null
* @return this, for chaining, not null
*/
public Builder parameterMetadata(ParameterMetadata... parameterMetadata) {
return parameterMetadata(ImmutableList.copyOf(parameterMetadata));
}
/**
* 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(352);
buf.append("ParameterizedFunctionalCurveDefinition.Builder{");
buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
buf.append("xValueType").append('=').append(JodaBeanUtils.toString(xValueType)).append(',').append(' ');
buf.append("yValueType").append('=').append(JodaBeanUtils.toString(yValueType)).append(',').append(' ');
buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' ');
buf.append("nodes").append('=').append(JodaBeanUtils.toString(nodes)).append(',').append(' ');
buf.append("initialGuess").append('=').append(JodaBeanUtils.toString(initialGuess)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata)).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 --------------------------
}