com.opengamma.strata.market.param.ParameterizedDataCombiner Maven / Gradle / Ivy
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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.util.List;
import com.google.common.base.Preconditions;
import com.google.common.collect.ImmutableList;
import com.opengamma.strata.collect.ArgChecker;
/**
* Helper that can be used to combine two or more underlying instances of {@code ParameterizedData}.
*
* This is used by implementations of {@link ParameterizedData} that are based on more
* than one underlying {@code ParameterizedData} instance.
*
* This helper should be created in the constructor of the combined instance.
* In each of the five {@code ParameterizedData} methods of the combined instance,
* this helper should be invoked. See {@code DiscountFxForwardRates} for sample usage.
*/
public final class ParameterizedDataCombiner {
/**
* The underlying instances.
*/
private final ParameterizedData[] underlyings;
/**
* The lookup array.
*/
private final int[] lookup;
/**
* The count of parameters.
*/
private final int paramCount;
//-------------------------------------------------------------------------
/**
* Obtains an instance that can combine the specified underlying instances.
*
* @param instances the underlying instances to combine
* @return the combiner
*/
public static ParameterizedDataCombiner of(ParameterizedData... instances) {
return new ParameterizedDataCombiner(instances);
}
/**
* Obtains an instance that can combine the specified underlying instances.
*
* @param instances the underlying instances to combine
* @return the combiner
*/
public static ParameterizedDataCombiner of(List instances) {
return new ParameterizedDataCombiner((ParameterizedData[]) instances.toArray(new ParameterizedData[0]));
}
//-------------------------------------------------------------------------
// creates an instance
private ParameterizedDataCombiner(ParameterizedData[] underlyings) {
ArgChecker.notEmpty(underlyings, "underlyings");
int size = underlyings.length;
this.underlyings = underlyings;
int[] lookup = new int[size];
for (int i = 1; i < size; i++) {
lookup[i] = lookup[i - 1] + underlyings[i - 1].getParameterCount();
}
this.lookup = lookup;
this.paramCount = lookup[size - 1] + underlyings[size - 1].getParameterCount();
}
//-------------------------------------------------------------------------
/**
* Gets the number of parameters.
*
* This returns the total parameter count of all the instances.
*
* @return the number of parameters
*/
public int getParameterCount() {
return paramCount;
}
/**
* Gets the value of the parameter at the specified index.
*
* This gets the parameter from the correct instance.
*
* @param parameterIndex the zero-based index of the parameter to get
* @return the value of the parameter
* @throws IndexOutOfBoundsException if the index is invalid
*/
public double getParameter(int parameterIndex) {
int underlyingIndex = findUnderlyingIndex(parameterIndex);
int adjustment = lookup[underlyingIndex];
return underlyings[underlyingIndex].getParameter(parameterIndex - adjustment);
}
/**
* Gets the metadata of the parameter at the specified index.
*
* This gets the parameter metadata from the correct instance.
*
* @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) {
int underlyingIndex = findUnderlyingIndex(parameterIndex);
int adjustment = lookup[underlyingIndex];
return underlyings[underlyingIndex].getParameterMetadata(parameterIndex - adjustment);
}
//-------------------------------------------------------------------------
/**
* Updates a parameter on the specified underlying.
*
* This should be invoked once for each of the underlying instances.
* It is intended to be used to pass the result of each invocation to the
* constructor of the combined instance.
*
* If the parameter index applies to the underlying, it is updated.
* If the parameter index does not apply to the underlying, no error occurs.
*
* @param the type of the underlying
* @param underlyingIndex the index of the underlying instance
* @param underlyingType the type of the parameterized data at the specified index
* @param parameterIndex the zero-based index of the parameter to change
* @param newValue the new value for the specified parameter
* @return a parameterized data instance based on this with the specified parameter altered
* @throws IndexOutOfBoundsException if the index is invalid
*/
public R underlyingWithParameter(
int underlyingIndex,
Class underlyingType,
int parameterIndex,
double newValue) {
ParameterizedData perturbed = underlyings[underlyingIndex];
if (findUnderlyingIndex(parameterIndex) == underlyingIndex) {
int adjustment = lookup[underlyingIndex];
perturbed = perturbed.withParameter(parameterIndex - adjustment, newValue);
}
return underlyingType.cast(perturbed);
}
/**
* Applies a perturbation to the specified underlying.
*
* This should be invoked once for each of the underlying instances.
* It is intended to be used to pass the result of each invocation to the
* constructor of the combined instance.
*
* @param the type of the underlying
* @param underlyingIndex the index of the underlying instance
* @param underlyingType the type of the parameterized data at the specified index
* @param perturbation the perturbation to apply
* @return a parameterized data instance based on this with the specified perturbation applied
*/
public R underlyingWithPerturbation(
int underlyingIndex,
Class underlyingType,
ParameterPerturbation perturbation) {
ParameterizedData underlying = underlyings[underlyingIndex];
// perturb using a derived perturbation that adjusts the index
int adjustment = lookup[underlyingIndex];
ParameterizedData perturbed = underlying.withPerturbation(
(idx, value, meta) -> perturbation.perturbParameter(idx + adjustment, value, meta));
return underlyingType.cast(perturbed);
}
//-------------------------------------------------------------------------
/**
* Updates a parameter on the specified list of underlying instances.
*
* The correct underlying is identified and updated, with the list returned.
*
* @param the type of the underlying
* @param underlyingType the type of the parameterized data at the specified index
* @param parameterIndex the zero-based index of the parameter to change
* @param newValue the new value for the specified parameter
* @return a parameterized data instance based on this with the specified parameter altered
* @throws IndexOutOfBoundsException if the index is invalid
*/
public List withParameter(
Class underlyingType,
int parameterIndex,
double newValue) {
int underlyingIndex = findUnderlyingIndex(parameterIndex);
ImmutableList.Builder builder = ImmutableList.builder();
for (int i = 0; i < underlyings.length; i++) {
ParameterizedData underlying = underlyings[i];
if (i == underlyingIndex) {
int adjustment = lookup[underlyingIndex];
ParameterizedData perturbed = underlying.withParameter(parameterIndex - adjustment, newValue);
builder.add(underlyingType.cast(perturbed));
} else {
builder.add(underlyingType.cast(underlying));
}
}
return builder.build();
}
/**
* Applies a perturbation to each underlying.
*
* The updated list of underlying instances is returned.
*
* @param the type of the underlying
* @param underlyingType the type of the parameterized data at the specified index
* @param perturbation the perturbation to apply
* @return a parameterized data instance based on this with the specified parameter altered
* @throws IndexOutOfBoundsException if the index is invalid
*/
public List withPerturbation(
Class underlyingType,
ParameterPerturbation perturbation) {
ImmutableList.Builder builder = ImmutableList.builder();
for (int i = 0; i < underlyings.length; i++) {
builder.add(underlyingWithPerturbation(i, underlyingType, perturbation));
}
return builder.build();
}
//-------------------------------------------------------------------------
// convert parameter index to underlying index
private int findUnderlyingIndex(int parameterIndex) {
Preconditions.checkElementIndex(parameterIndex, paramCount);
for (int i = 1; i < lookup.length; i++) {
if (parameterIndex < lookup[i]) {
return i - 1;
}
}
return lookup.length - 1;
}
}