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/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.param;
import java.io.Serializable;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.function.DoubleUnaryOperator;
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.ImmutableValidator;
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.ComparisonChain;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.FxConvertible;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.Curve;
/**
* The second order parameter sensitivity for parameterized market data.
*
* Parameter sensitivity is the sensitivity of a value to the parameters of a
* {@linkplain ParameterizedData parameterized market data} object that is used to determine the value.
* The main application of this class is the parameter sensitivities for curves.
* Thus {@code ParameterizedData} is typically {@link Curve}.
*
* The sensitivity is expressed as a matrix.
* The {@code (i,j)} component is the sensitivity of the {@code i}-th component of the {@code parameterMetadata} delta to
* the {@code j}-th parameter in {@code order}.
*
* The sensitivity represents a monetary value in the specified currency.
*/
@BeanDefinition(builderScope = "private")
public final class CrossGammaParameterSensitivity
implements FxConvertible, ImmutableBean, Serializable {
/**
* The market data name.
*
* This name is used in the market data system to identify the data that the sensitivities refer to.
*/
@PropertyDefinition(validate = "notNull")
private final MarketDataName marketDataName;
/**
* The list of parameter metadata.
*
* There is one entry for each parameter.
*/
@PropertyDefinition(validate = "notNull", builderType = "List")
private final ImmutableList parameterMetadata;
/**
* The sensitivity order.
*
* This defines the order of sensitivity values, which can be used as a key to interpret {@code sensitivity}.
*/
@PropertyDefinition(validate = "notNull", builderType = "List, List>>")
private final ImmutableList, List>> order;
/**
* The currency of the sensitivity.
*/
@PropertyDefinition(validate = "notNull")
private final Currency currency;
/**
* The parameter sensitivity values.
*
* The curve delta sensitivities to parameterized market data.
* This is a {@code n x m} matrix, where {@code n} must agree with the size of {@code parameterMetadata} and
* {@code m} must be the sum of parameter count in {@code order}.
*/
@PropertyDefinition(validate = "notNull")
private final DoubleMatrix sensitivity;
//-------------------------------------------------------------------------
/**
* Obtains an instance from the market data name, metadata, currency and sensitivity.
*
* This creates a sensitivity instance which stores the second order sensitivity values to a single market data, i.e.,
* the block diagonal part of the full second order sensitivity matrix.
*
* The market data name identifies the {@link ParameterizedData} instance that was queried.
* The parameter metadata provides information on each parameter.
* The size of the parameter metadata list must match the size of the sensitivity array.
*
* @param marketDataName the name of the market data that the sensitivity refers to
* @param parameterMetadata the parameter metadata
* @param currency the currency of the sensitivity
* @param sensitivity the sensitivity values, one for each parameter
* @return the sensitivity object
*/
public static CrossGammaParameterSensitivity of(
MarketDataName marketDataName,
List parameterMetadata,
Currency currency,
DoubleMatrix sensitivity) {
return of(marketDataName, parameterMetadata, marketDataName, parameterMetadata, currency, sensitivity);
}
/**
* Obtains an instance from the market data names, metadatas, currency and sensitivity.
*
* This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data
* to another market data. The first market data and the second market data can be the same.
*
* The market data name identifies the {@link ParameterizedData} instance that was queried.
* The parameter metadata provides information on each parameter.
*
* @param marketDataName the name of the first market data that the sensitivity refers to
* @param parameterMetadata the first parameter metadata
* @param marketDataNameOther the name of the second market data that the sensitivity refers to
* @param parameterMetadataOther the second parameter metadata
* @param currency the currency of the sensitivity
* @param sensitivity the sensitivity values, one for each parameter
* @return the sensitivity object
*/
public static CrossGammaParameterSensitivity of(
MarketDataName marketDataName,
List parameterMetadata,
MarketDataName marketDataNameOther,
List parameterMetadataOther,
Currency currency,
DoubleMatrix sensitivity) {
return new CrossGammaParameterSensitivity(marketDataName, parameterMetadata,
ImmutableList.of(Pair.of(marketDataNameOther, parameterMetadataOther)), currency, sensitivity);
}
/**
* Obtains an instance from the market data names, metadatas, currency and sensitivity.
*
* This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data
* to a set of other market data.
* The market data set is represented in terms of {@code List, List>>}.
* which defines the order of the sensitivity values.
*
* The market data name identifies the {@link ParameterizedData} instance that was queried.
* The parameter metadata provides information on each parameter.
*
* @param marketDataName the name of the market data that the sensitivity refers to
* @param parameterMetadata the parameter metadata
* @param order the order
* @param currency the currency of the sensitivity
* @param sensitivity the sensitivity values, one for each parameter
* @return the sensitivity object
*/
public static CrossGammaParameterSensitivity of(
MarketDataName marketDataName,
List parameterMetadata,
List, List>> order,
Currency currency,
DoubleMatrix sensitivity) {
return new CrossGammaParameterSensitivity(marketDataName, parameterMetadata,
order, currency, sensitivity);
}
@ImmutableValidator
private void validate() {
int col = sensitivity.columnCount();
int row = sensitivity.rowCount();
if (row != parameterMetadata.size()) {
throw new IllegalArgumentException("row count of sensitivity and parameter metadata size must match");
}
int nParamsTotal = 0;
for (Pair, List> entry : order) {
nParamsTotal += entry.getSecond().size();
}
if (col != nParamsTotal) {
throw new IllegalArgumentException("column count of sensitivity and total parameter metadata size of order must match");
}
}
//-------------------------------------------------------------------------
/**
* Gets the number of parameters.
*
* This returns the number of parameters in the {@link ParameterizedData} instance
* which is the same size as the sensitivity array.
*
* @return the number of parameters
*/
public int getParameterCount() {
return sensitivity.rowCount();
}
/**
* Gets the parameter metadata at the specified index.
*
* If there is no specific parameter metadata, an empty instance will be returned.
*
* @param parameterIndex the zero-based index of the parameter to get
* @return the metadata of the parameter
* @throws IndexOutOfBoundsException if the index is invalid
*/
public ParameterMetadata getParameterMetadata(int parameterIndex) {
return parameterMetadata.get(parameterIndex);
}
/**
* Compares the key of two sensitivity objects, excluding the parameter sensitivity values.
*
* @param other the other sensitivity object
* @return positive if greater, zero if equal, negative if less
*/
public int compareKey(CrossGammaParameterSensitivity other) {
return ComparisonChain.start()
.compare(marketDataName, other.marketDataName)
.compare(order.toString(), other.order.toString())
.compare(currency, other.currency)
.result();
}
//-------------------------------------------------------------------------
/**
* Converts this sensitivity to an equivalent in the specified currency.
*
* Any FX conversion that is required will use rates from the provider.
*
* @param resultCurrency the currency of the result
* @param rateProvider the provider of FX rates
* @return the sensitivity object expressed in terms of the result currency
* @throws RuntimeException if no FX rate could be found
*/
@Override
public CrossGammaParameterSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider) {
if (currency.equals(resultCurrency)) {
return this;
}
double fxRate = rateProvider.fxRate(currency, resultCurrency);
return mapSensitivity(s -> s * fxRate, resultCurrency);
}
//-------------------------------------------------------------------------
/**
* Returns an instance with the sensitivity values multiplied by the specified factor.
*
* Each value in the sensitivity array will be multiplied by the factor.
*
* @param factor the multiplicative factor
* @return an instance based on this one, with each sensitivity multiplied by the factor
*/
public CrossGammaParameterSensitivity multipliedBy(double factor) {
return mapSensitivity(s -> s * factor);
}
/**
* Returns an instance with the specified operation applied to the sensitivity values.
*
* Each value in the sensitivity array will be operated on.
* For example, the operator could multiply the sensitivities by a constant, or take the inverse.
*
* inverse = base.mapSensitivity(value -> 1 / value);
*
*
* @param operator the operator to be applied to the sensitivities
* @return an instance based on this one, with the operator applied to the sensitivity values
*/
public CrossGammaParameterSensitivity mapSensitivity(DoubleUnaryOperator operator) {
return mapSensitivity(operator, currency);
}
// maps the sensitivities and potentially changes the currency
private CrossGammaParameterSensitivity mapSensitivity(DoubleUnaryOperator operator, Currency currency) {
return new CrossGammaParameterSensitivity(marketDataName, parameterMetadata, order, currency, sensitivity.map(operator));
}
/**
* Returns an instance with new parameter sensitivity values.
*
* @param sensitivity the new sensitivity values
* @return an instance based on this one, with the specified sensitivity values
*/
public CrossGammaParameterSensitivity withSensitivity(DoubleMatrix sensitivity) {
return new CrossGammaParameterSensitivity(marketDataName, parameterMetadata, order, currency, sensitivity);
}
//-------------------------------------------------------------------------
/**
* Returns the total of the sensitivity values.
*
* @return the total sensitivity values
*/
public CurrencyAmount total() {
return CurrencyAmount.of(currency, sensitivity.total());
}
/**
* Returns the diagonal part of the sensitivity as {@code CurrencyParameterSensitivity}.
*
* @return the diagonal part
*/
public CurrencyParameterSensitivity diagonal() {
CrossGammaParameterSensitivity blockDiagonal = getSensitivity(getMarketDataName());
int size = getParameterCount();
return CurrencyParameterSensitivity.of(
getMarketDataName(),
getParameterMetadata(),
getCurrency(),
DoubleArray.of(size, i -> blockDiagonal.getSensitivity().get(i, i)));
}
/**
* Returns the sensitivity to the market data specified by {@code name}.
*
* This returns a sensitivity instance which stores the sensitivity of the {@code marketDataName} delta to another
* market data of {@code name}.
*
* @param name the name
* @return the sensitivity
* @throws IllegalArgumentException if the name does not match an entry
*/
public CrossGammaParameterSensitivity getSensitivity(MarketDataName name) {
Pair> indexAndMetadata = findStartIndexAndMetadata(name);
int startIndex = indexAndMetadata.getFirst();
int rowCt = getParameterCount();
int colCt = indexAndMetadata.getSecond().size();
double[][] sensi = new double[rowCt][colCt];
for (int i = 0; i < rowCt; ++i) {
System.arraycopy(getSensitivity().rowArray(i), startIndex, sensi[i], 0, colCt);
}
return CrossGammaParameterSensitivity.of(
getMarketDataName(), getParameterMetadata(), name, indexAndMetadata.getSecond(), getCurrency(),
DoubleMatrix.ofUnsafe(sensi));
}
private Pair> findStartIndexAndMetadata(MarketDataName name) {
int startIndex = 0;
for (Pair, List> entry : order) {
if (entry.getFirst().equals(name)) {
return Pair.of(startIndex, entry.getSecond());
}
startIndex += entry.getSecond().size();
}
throw new IllegalArgumentException(Messages.format("Unable to find sensitivity: {} and {}", marketDataName, name));
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code CrossGammaParameterSensitivity}.
* @return the meta-bean, not null
*/
public static CrossGammaParameterSensitivity.Meta meta() {
return CrossGammaParameterSensitivity.Meta.INSTANCE;
}
static {
MetaBean.register(CrossGammaParameterSensitivity.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private CrossGammaParameterSensitivity(
MarketDataName marketDataName,
List parameterMetadata,
List, List>> order,
Currency currency,
DoubleMatrix sensitivity) {
JodaBeanUtils.notNull(marketDataName, "marketDataName");
JodaBeanUtils.notNull(parameterMetadata, "parameterMetadata");
JodaBeanUtils.notNull(order, "order");
JodaBeanUtils.notNull(currency, "currency");
JodaBeanUtils.notNull(sensitivity, "sensitivity");
this.marketDataName = marketDataName;
this.parameterMetadata = ImmutableList.copyOf(parameterMetadata);
this.order = ImmutableList.copyOf(order);
this.currency = currency;
this.sensitivity = sensitivity;
validate();
}
@Override
public CrossGammaParameterSensitivity.Meta metaBean() {
return CrossGammaParameterSensitivity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the market data name.
*
* This name is used in the market data system to identify the data that the sensitivities refer to.
* @return the value of the property, not null
*/
public MarketDataName getMarketDataName() {
return marketDataName;
}
//-----------------------------------------------------------------------
/**
* Gets the list of parameter metadata.
*
* There is one entry for each parameter.
* @return the value of the property, not null
*/
public ImmutableList getParameterMetadata() {
return parameterMetadata;
}
//-----------------------------------------------------------------------
/**
* Gets the sensitivity order.
*
* This defines the order of sensitivity values, which can be used as a key to interpret {@code sensitivity}.
* @return the value of the property, not null
*/
public ImmutableList, List>> getOrder() {
return order;
}
//-----------------------------------------------------------------------
/**
* Gets the currency of the sensitivity.
* @return the value of the property, not null
*/
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the parameter sensitivity values.
*
* The curve delta sensitivities to parameterized market data.
* This is a {@code n x m} matrix, where {@code n} must agree with the size of {@code parameterMetadata} and
* {@code m} must be the sum of parameter count in {@code order}.
* @return the value of the property, not null
*/
public DoubleMatrix getSensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
CrossGammaParameterSensitivity other = (CrossGammaParameterSensitivity) obj;
return JodaBeanUtils.equal(marketDataName, other.marketDataName) &&
JodaBeanUtils.equal(parameterMetadata, other.parameterMetadata) &&
JodaBeanUtils.equal(order, other.order) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(sensitivity, other.sensitivity);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(marketDataName);
hash = hash * 31 + JodaBeanUtils.hashCode(parameterMetadata);
hash = hash * 31 + JodaBeanUtils.hashCode(order);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(sensitivity);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("CrossGammaParameterSensitivity{");
buf.append("marketDataName").append('=').append(JodaBeanUtils.toString(marketDataName)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata)).append(',').append(' ');
buf.append("order").append('=').append(JodaBeanUtils.toString(order)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code CrossGammaParameterSensitivity}.
*/
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 marketDataName} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> marketDataName = DirectMetaProperty.ofImmutable(
this, "marketDataName", CrossGammaParameterSensitivity.class, (Class) MarketDataName.class);
/**
* The meta-property for the {@code parameterMetadata} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> parameterMetadata = DirectMetaProperty.ofImmutable(
this, "parameterMetadata", CrossGammaParameterSensitivity.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code order} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty, List>>> order = DirectMetaProperty.ofImmutable(
this, "order", CrossGammaParameterSensitivity.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", CrossGammaParameterSensitivity.class, Currency.class);
/**
* The meta-property for the {@code sensitivity} property.
*/
private final MetaProperty sensitivity = DirectMetaProperty.ofImmutable(
this, "sensitivity", CrossGammaParameterSensitivity.class, DoubleMatrix.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"marketDataName",
"parameterMetadata",
"order",
"currency",
"sensitivity");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 842855857: // marketDataName
return marketDataName;
case -1169106440: // parameterMetadata
return parameterMetadata;
case 106006350: // order
return order;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new CrossGammaParameterSensitivity.Builder();
}
@Override
public Class beanType() {
return CrossGammaParameterSensitivity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code marketDataName} property.
* @return the meta-property, not null
*/
public MetaProperty> marketDataName() {
return marketDataName;
}
/**
* 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 order} property.
* @return the meta-property, not null
*/
public MetaProperty, List>>> order() {
return order;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code sensitivity} property.
* @return the meta-property, not null
*/
public MetaProperty sensitivity() {
return sensitivity;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 842855857: // marketDataName
return ((CrossGammaParameterSensitivity) bean).getMarketDataName();
case -1169106440: // parameterMetadata
return ((CrossGammaParameterSensitivity) bean).getParameterMetadata();
case 106006350: // order
return ((CrossGammaParameterSensitivity) bean).getOrder();
case 575402001: // currency
return ((CrossGammaParameterSensitivity) bean).getCurrency();
case 564403871: // sensitivity
return ((CrossGammaParameterSensitivity) bean).getSensitivity();
}
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 CrossGammaParameterSensitivity}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private MarketDataName marketDataName;
private List parameterMetadata = ImmutableList.of();
private List, List>> order = ImmutableList.of();
private Currency currency;
private DoubleMatrix sensitivity;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 842855857: // marketDataName
return marketDataName;
case -1169106440: // parameterMetadata
return parameterMetadata;
case 106006350: // order
return order;
case 575402001: // currency
return currency;
case 564403871: // sensitivity
return sensitivity;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 842855857: // marketDataName
this.marketDataName = (MarketDataName) newValue;
break;
case -1169106440: // parameterMetadata
this.parameterMetadata = (List) newValue;
break;
case 106006350: // order
this.order = (List, List>>) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 564403871: // sensitivity
this.sensitivity = (DoubleMatrix) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public CrossGammaParameterSensitivity build() {
return new CrossGammaParameterSensitivity(
marketDataName,
parameterMetadata,
order,
currency,
sensitivity);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
buf.append("CrossGammaParameterSensitivity.Builder{");
buf.append("marketDataName").append('=').append(JodaBeanUtils.toString(marketDataName)).append(',').append(' ');
buf.append("parameterMetadata").append('=').append(JodaBeanUtils.toString(parameterMetadata)).append(',').append(' ');
buf.append("order").append('=').append(JodaBeanUtils.toString(order)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("sensitivity").append('=').append(JodaBeanUtils.toString(sensitivity));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}