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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.param;

import static com.opengamma.strata.collect.Guavate.toImmutableMap;

import java.io.Serializable;
import java.util.List;
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 org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.collect.Guavate;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.collect.tuple.ObjIntPair;
import com.opengamma.strata.data.scenario.MarketDataBox;
import com.opengamma.strata.data.scenario.ScenarioPerturbation;
import com.opengamma.strata.market.ShiftType;

/**
 * A perturbation that applies different shifts to specific points in a parameterized data.
 * 

* Examples of parameterized data include curve, option volatilities and model parameters. *

* This class contains a set of shifts, each one associated with a different parameter in the data. * Each shift has an associated key that is matched against the parameterized data. * In order for this to work the parameterized data must have matching and unique parameter metadata. *

* When matching the shift to the parameterized data, either the identifier or label parameter may be used. * A shift is not applied if there is no point on the parameterized data with a matching identifier. * * @see ParameterMetadata#getIdentifier() */ @BeanDefinition(builderScope = "private", constructorScope = "package") public final class PointShifts implements ScenarioPerturbation, ImmutableBean, Serializable { /** Logger. */ private static final Logger log = LoggerFactory.getLogger(PointShifts.class); /** * The type of shift applied to the parameters. */ @PropertyDefinition(validate = "notNull") private final ShiftType shiftType; /** * The shift to apply to the rates. *

* There is one row in the matrix for each scenario and one column for each parameter in the data. * Node indices are found using {@code nodeIndices}. */ @PropertyDefinition(validate = "notNull") private final DoubleMatrix shifts; /** * Indices of each parameter, keyed by an object identifying the node. *

* The key is typically the node {@linkplain ParameterMetadata#getIdentifier() identifier}. * The key may also be the node {@linkplain ParameterMetadata#getLabel() label}. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap nodeIndices; //------------------------------------------------------------------------- /** * Returns a new mutable builder for building instances of {@code ParameterizedDataPointShifts}. * * @param shiftType the type of shift to apply to the rates * @return a new mutable builder for building instances of {@code ParameterizedDataPointShifts} */ public static PointShiftsBuilder builder(ShiftType shiftType) { return new PointShiftsBuilder(shiftType); } //-------------------------------------------------------------------------------------------------- /** * Creates a new set of point shifts. * * @param shiftType the type of the shift, absolute or relative * @param shifts the shifts, with one row per scenario and one column per parameter * @param nodeIdentifiers the node identifiers corresponding to the columns in the matrix of shifts */ PointShifts( ShiftType shiftType, DoubleMatrix shifts, List nodeIdentifiers) { this(shiftType, shifts, buildNodeMap(nodeIdentifiers)); } private static Map buildNodeMap(List nodeIdentifiers) { return Guavate.zipWithIndex(nodeIdentifiers.stream()) .collect(toImmutableMap(ObjIntPair::getFirst, ObjIntPair::getSecond)); } //------------------------------------------------------------------------- @Override public MarketDataBox applyTo( MarketDataBox marketData, ReferenceData refData) { log.debug("Applying {} point shift to ParameterizedData '{}'", shiftType, marketData.getValue(0).toString()); return marketData.mapWithIndex( shifts.rowCount(), (prams, scenarioIndex) -> applyShifts(scenarioIndex, prams)); } private ParameterizedData applyShifts(int scenarioIndex, ParameterizedData prams) { return prams.withPerturbation((index, value, meta) -> { double shiftAmount = shiftForNode(scenarioIndex, meta); return shiftType.applyShift(value, shiftAmount); }); } @Override public int getScenarioCount() { return shifts.rowCount(); } private double shiftForNode(int scenarioIndex, ParameterMetadata meta) { Integer nodeIndex = nodeIndices.get(meta.getIdentifier()); if (nodeIndex != null) { return shifts.get(scenarioIndex, nodeIndex); } nodeIndex = nodeIndices.get(meta.getLabel()); if (nodeIndex != null) { return shifts.get(scenarioIndex, nodeIndex); } return 0; } @Override public Class getMarketDataType() { return ParameterizedData.class; } //------------------------- AUTOGENERATED START ------------------------- /** * The meta-bean for {@code PointShifts}. * @return the meta-bean, not null */ public static PointShifts.Meta meta() { return PointShifts.Meta.INSTANCE; } static { MetaBean.register(PointShifts.Meta.INSTANCE); } /** * The serialization version id. */ private static final long serialVersionUID = 1L; /** * Creates an instance. * @param shiftType the value of the property, not null * @param shifts the value of the property, not null * @param nodeIndices the value of the property, not null */ PointShifts( ShiftType shiftType, DoubleMatrix shifts, Map nodeIndices) { JodaBeanUtils.notNull(shiftType, "shiftType"); JodaBeanUtils.notNull(shifts, "shifts"); JodaBeanUtils.notNull(nodeIndices, "nodeIndices"); this.shiftType = shiftType; this.shifts = shifts; this.nodeIndices = ImmutableMap.copyOf(nodeIndices); } @Override public PointShifts.Meta metaBean() { return PointShifts.Meta.INSTANCE; } //----------------------------------------------------------------------- /** * Gets the type of shift applied to the parameters. * @return the value of the property, not null */ public ShiftType getShiftType() { return shiftType; } //----------------------------------------------------------------------- /** * Gets the shift to apply to the rates. *

* There is one row in the matrix for each scenario and one column for each parameter in the data. * Node indices are found using {@code nodeIndices}. * @return the value of the property, not null */ public DoubleMatrix getShifts() { return shifts; } //----------------------------------------------------------------------- /** * Gets indices of each parameter, keyed by an object identifying the node. *

* The key is typically the node {@linkplain ParameterMetadata#getIdentifier() identifier}. * The key may also be the node {@linkplain ParameterMetadata#getLabel() label}. * @return the value of the property, not null */ public ImmutableMap getNodeIndices() { return nodeIndices; } //----------------------------------------------------------------------- @Override public boolean equals(Object obj) { if (obj == this) { return true; } if (obj != null && obj.getClass() == this.getClass()) { PointShifts other = (PointShifts) obj; return JodaBeanUtils.equal(shiftType, other.shiftType) && JodaBeanUtils.equal(shifts, other.shifts) && JodaBeanUtils.equal(nodeIndices, other.nodeIndices); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(shiftType); hash = hash * 31 + JodaBeanUtils.hashCode(shifts); hash = hash * 31 + JodaBeanUtils.hashCode(nodeIndices); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(128); buf.append("PointShifts{"); buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' '); buf.append("shifts").append('=').append(JodaBeanUtils.toString(shifts)).append(',').append(' '); buf.append("nodeIndices").append('=').append(JodaBeanUtils.toString(nodeIndices)); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code PointShifts}. */ 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 shiftType} property. */ private final MetaProperty shiftType = DirectMetaProperty.ofImmutable( this, "shiftType", PointShifts.class, ShiftType.class); /** * The meta-property for the {@code shifts} property. */ private final MetaProperty shifts = DirectMetaProperty.ofImmutable( this, "shifts", PointShifts.class, DoubleMatrix.class); /** * The meta-property for the {@code nodeIndices} property. */ @SuppressWarnings({"unchecked", "rawtypes" }) private final MetaProperty> nodeIndices = DirectMetaProperty.ofImmutable( this, "nodeIndices", PointShifts.class, (Class) ImmutableMap.class); /** * The meta-properties. */ private final Map> metaPropertyMap$ = new DirectMetaPropertyMap( this, null, "shiftType", "shifts", "nodeIndices"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case 893345500: // shiftType return shiftType; case -903338959: // shifts return shifts; case -1547874491: // nodeIndices return nodeIndices; } return super.metaPropertyGet(propertyName); } @Override public BeanBuilder builder() { return new PointShifts.Builder(); } @Override public Class beanType() { return PointShifts.class; } @Override public Map> metaPropertyMap() { return metaPropertyMap$; } //----------------------------------------------------------------------- /** * 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 shifts} property. * @return the meta-property, not null */ public MetaProperty shifts() { return shifts; } /** * The meta-property for the {@code nodeIndices} property. * @return the meta-property, not null */ public MetaProperty> nodeIndices() { return nodeIndices; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 893345500: // shiftType return ((PointShifts) bean).getShiftType(); case -903338959: // shifts return ((PointShifts) bean).getShifts(); case -1547874491: // nodeIndices return ((PointShifts) bean).getNodeIndices(); } 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 PointShifts}. */ private static final class Builder extends DirectPrivateBeanBuilder { private ShiftType shiftType; private DoubleMatrix shifts; private Map nodeIndices = ImmutableMap.of(); /** * Restricted constructor. */ private Builder() { } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case 893345500: // shiftType return shiftType; case -903338959: // shifts return shifts; case -1547874491: // nodeIndices return nodeIndices; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @SuppressWarnings("unchecked") @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case 893345500: // shiftType this.shiftType = (ShiftType) newValue; break; case -903338959: // shifts this.shifts = (DoubleMatrix) newValue; break; case -1547874491: // nodeIndices this.nodeIndices = (Map) newValue; break; default: throw new NoSuchElementException("Unknown property: " + propertyName); } return this; } @Override public PointShifts build() { return new PointShifts( shiftType, shifts, nodeIndices); } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(128); buf.append("PointShifts.Builder{"); buf.append("shiftType").append('=').append(JodaBeanUtils.toString(shiftType)).append(',').append(' '); buf.append("shifts").append('=').append(JodaBeanUtils.toString(shifts)).append(',').append(' '); buf.append("nodeIndices").append('=').append(JodaBeanUtils.toString(nodeIndices)); buf.append('}'); return buf.toString(); } } //-------------------------- AUTOGENERATED END -------------------------- }