com.opengamma.strata.pricer.curve.CalibrationValue Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.curve;
import java.util.List;
import java.util.function.Function;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
import com.opengamma.strata.product.ResolvedTrade;
/**
* Provides the calibration value.
*
* This provides the value from the specified {@link CalibrationMeasures} instance
* in matrix form suitable for use in curve calibration root finding.
* The value will typically be par spread or converted present value.
*/
class CalibrationValue
implements Function {
/**
* The trades.
*/
private final List trades;
/**
* The calibration measures.
*/
private final CalibrationMeasures measures;
/**
* The provider generator, used to create child providers.
*/
private final RatesProviderGenerator providerGenerator;
/**
* Creates an instance.
*
* @param trades the trades
* @param measures the calibration measures
* @param providerGenerator the provider generator, used to create child providers
*/
CalibrationValue(
List trades,
CalibrationMeasures measures,
RatesProviderGenerator providerGenerator) {
this.trades = trades;
this.measures = measures;
this.providerGenerator = providerGenerator;
}
//-------------------------------------------------------------------------
@Override
public DoubleArray apply(DoubleArray x) {
// create child provider from matrix
ImmutableRatesProvider childProvider = providerGenerator.generate(x);
// calculate value for each trade using the child provider
return DoubleArray.of(trades.size(), i -> measures.value(trades.get(i), childProvider));
}
}