com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.fxopt;
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 com.google.common.collect.ImmutableList;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
/**
* Recombining trinomial tree data.
*
* This includes state values and transition probabilities for all of the nodes,
* as well as discount factors and time (time from valuation date) for individual time steps.
*/
@BeanDefinition(builderScope = "private")
public final class RecombiningTrinomialTreeData implements ImmutableBean, Serializable {
/**
* The state value.
*
* The {@code (i,j)} component of this matrix represents the underlying asset price at the {@code j}-th lowest node
* at the {@code i}-th time layer.
*/
@PropertyDefinition
private final DoubleMatrix stateValue;
/**
* The transition probability.
*
* The {@code i}-th element of the list represents the transition probability values for the nodes
* at the {@code i}-th time layer.
* The matrix is {@code (2*i+1)} times {@code 3}, and its {@code j}-th row involves [0] down probability,
* [1] middle probability and [2] up probability for the {@code j}-th lowest node.
*/
@PropertyDefinition
private final ImmutableList transitionProbability;
/**
* The discount factor.
*
* The {@code i}-th element is the discount factor between the {@code i}-th layer and the {@code (i+1)}-th layer.
*/
@PropertyDefinition
private final DoubleArray discountFactor;
/**
* The time.
*
* The {@code i}-th element is the year fraction between the {@code 0}-th time layer and the {@code i}-th layer.
*/
@PropertyDefinition
private final DoubleArray time;
//-------------------------------------------------------------------------
/**
* Creates an instance.
*
* @param stateValue the state value
* @param transitionProbability the transition probability
* @param discountFactor the discount factor
* @param time the time
* @return the instance
*/
public static RecombiningTrinomialTreeData of(
DoubleMatrix stateValue,
List transitionProbability,
DoubleArray discountFactor,
DoubleArray time) {
int nSteps = discountFactor.size();
ArgChecker.isTrue(stateValue.rowCount() == nSteps + 1, "the number of rows of stateValue must be (nSteps + 1)");
ArgChecker.isTrue(transitionProbability.size() == nSteps, "the size of transitionProbability list must be nSteps");
ArgChecker.isTrue(time.size() == nSteps + 1, "the size of time must be (nSteps + 1)");
for (int i = 0; i < nSteps; ++i) {
ArgChecker.isTrue(stateValue.row(i).size() == 2 * i + 1,
"the i-th row of stateValue must have the size (2 * i + 1)");
ArgChecker.isTrue(transitionProbability.get(i).rowCount() == 2 * i + 1,
"the i-th element of transitionProbability list must have (2 * i + 1) rows");
ArgChecker.isTrue(transitionProbability.get(i).columnCount() == 3,
"the i-th element of transitionProbability list must have 3 columns");
}
ArgChecker.isTrue(stateValue.row(nSteps).size() == 2 * nSteps + 1);
return new RecombiningTrinomialTreeData(stateValue, transitionProbability, discountFactor, time);
}
//-------------------------------------------------------------------------
/**
* Obtains the number of time steps.
*
* @return the number of time steps
*/
public int getNumberOfSteps() {
return transitionProbability.size();
}
/**
* Obtains the state values at the {@code i}-th time layer.
*
* @param i the layer
* @return the state values
*/
public DoubleArray getStateValueAtLayer(int i) {
return stateValue.row(i);
}
/**
* Obtains the transition probability values at the {@code i}-th time layer.
*
* @param i the layer
* @return the transition probability
*/
public DoubleMatrix getProbabilityAtLayer(int i) {
return transitionProbability.get(i);
}
/**
* Obtains discount factor between the {@code i}-th layer to the {@code (i+1)}-th layer.
*
* @param i the layer
* @return the discount factor
*/
public double getDiscountFactorAtLayer(int i) {
return discountFactor.get(i);
}
/**
* Obtains the spot.
*
* @return the spot
*/
public double getSpot() {
return stateValue.get(0, 0);
}
/**
* Obtains the time for the {@code i}-th layer.
*
* The time is the year fraction between the {@code 0}-th layer and the {@code i}-th layer.
*
* @param i the layer
* @return the time
*/
public double getTime(int i) {
return time.get(i);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code RecombiningTrinomialTreeData}.
* @return the meta-bean, not null
*/
public static RecombiningTrinomialTreeData.Meta meta() {
return RecombiningTrinomialTreeData.Meta.INSTANCE;
}
static {
MetaBean.register(RecombiningTrinomialTreeData.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private RecombiningTrinomialTreeData(
DoubleMatrix stateValue,
List transitionProbability,
DoubleArray discountFactor,
DoubleArray time) {
this.stateValue = stateValue;
this.transitionProbability = (transitionProbability != null ? ImmutableList.copyOf(transitionProbability) : null);
this.discountFactor = discountFactor;
this.time = time;
}
@Override
public RecombiningTrinomialTreeData.Meta metaBean() {
return RecombiningTrinomialTreeData.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the state value.
*
* The {@code (i,j)} component of this matrix represents the underlying asset price at the {@code j}-th lowest node
* at the {@code i}-th time layer.
* @return the value of the property
*/
public DoubleMatrix getStateValue() {
return stateValue;
}
//-----------------------------------------------------------------------
/**
* Gets the transition probability.
*
* The {@code i}-th element of the list represents the transition probability values for the nodes
* at the {@code i}-th time layer.
* The matrix is {@code (2*i+1)} times {@code 3}, and its {@code j}-th row involves [0] down probability,
* [1] middle probability and [2] up probability for the {@code j}-th lowest node.
* @return the value of the property
*/
public ImmutableList getTransitionProbability() {
return transitionProbability;
}
//-----------------------------------------------------------------------
/**
* Gets the discount factor.
*
* The {@code i}-th element is the discount factor between the {@code i}-th layer and the {@code (i+1)}-th layer.
* @return the value of the property
*/
public DoubleArray getDiscountFactor() {
return discountFactor;
}
//-----------------------------------------------------------------------
/**
* Gets the time.
*
* The {@code i}-th element is the year fraction between the {@code 0}-th time layer and the {@code i}-th layer.
* @return the value of the property
*/
public DoubleArray getTime() {
return time;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
RecombiningTrinomialTreeData other = (RecombiningTrinomialTreeData) obj;
return JodaBeanUtils.equal(stateValue, other.stateValue) &&
JodaBeanUtils.equal(transitionProbability, other.transitionProbability) &&
JodaBeanUtils.equal(discountFactor, other.discountFactor) &&
JodaBeanUtils.equal(time, other.time);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(stateValue);
hash = hash * 31 + JodaBeanUtils.hashCode(transitionProbability);
hash = hash * 31 + JodaBeanUtils.hashCode(discountFactor);
hash = hash * 31 + JodaBeanUtils.hashCode(time);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("RecombiningTrinomialTreeData{");
buf.append("stateValue").append('=').append(JodaBeanUtils.toString(stateValue)).append(',').append(' ');
buf.append("transitionProbability").append('=').append(JodaBeanUtils.toString(transitionProbability)).append(',').append(' ');
buf.append("discountFactor").append('=').append(JodaBeanUtils.toString(discountFactor)).append(',').append(' ');
buf.append("time").append('=').append(JodaBeanUtils.toString(time));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code RecombiningTrinomialTreeData}.
*/
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 stateValue} property.
*/
private final MetaProperty stateValue = DirectMetaProperty.ofImmutable(
this, "stateValue", RecombiningTrinomialTreeData.class, DoubleMatrix.class);
/**
* The meta-property for the {@code transitionProbability} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty> transitionProbability = DirectMetaProperty.ofImmutable(
this, "transitionProbability", RecombiningTrinomialTreeData.class, (Class) ImmutableList.class);
/**
* The meta-property for the {@code discountFactor} property.
*/
private final MetaProperty discountFactor = DirectMetaProperty.ofImmutable(
this, "discountFactor", RecombiningTrinomialTreeData.class, DoubleArray.class);
/**
* The meta-property for the {@code time} property.
*/
private final MetaProperty time = DirectMetaProperty.ofImmutable(
this, "time", RecombiningTrinomialTreeData.class, DoubleArray.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"stateValue",
"transitionProbability",
"discountFactor",
"time");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -236449952: // stateValue
return stateValue;
case 734501792: // transitionProbability
return transitionProbability;
case -557144592: // discountFactor
return discountFactor;
case 3560141: // time
return time;
}
return super.metaPropertyGet(propertyName);
}
@Override
public BeanBuilder builder() {
return new RecombiningTrinomialTreeData.Builder();
}
@Override
public Class beanType() {
return RecombiningTrinomialTreeData.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code stateValue} property.
* @return the meta-property, not null
*/
public MetaProperty stateValue() {
return stateValue;
}
/**
* The meta-property for the {@code transitionProbability} property.
* @return the meta-property, not null
*/
public MetaProperty> transitionProbability() {
return transitionProbability;
}
/**
* The meta-property for the {@code discountFactor} property.
* @return the meta-property, not null
*/
public MetaProperty discountFactor() {
return discountFactor;
}
/**
* The meta-property for the {@code time} property.
* @return the meta-property, not null
*/
public MetaProperty time() {
return time;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -236449952: // stateValue
return ((RecombiningTrinomialTreeData) bean).getStateValue();
case 734501792: // transitionProbability
return ((RecombiningTrinomialTreeData) bean).getTransitionProbability();
case -557144592: // discountFactor
return ((RecombiningTrinomialTreeData) bean).getDiscountFactor();
case 3560141: // time
return ((RecombiningTrinomialTreeData) bean).getTime();
}
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 RecombiningTrinomialTreeData}.
*/
private static final class Builder extends DirectPrivateBeanBuilder {
private DoubleMatrix stateValue;
private List transitionProbability;
private DoubleArray discountFactor;
private DoubleArray time;
/**
* Restricted constructor.
*/
private Builder() {
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -236449952: // stateValue
return stateValue;
case 734501792: // transitionProbability
return transitionProbability;
case -557144592: // discountFactor
return discountFactor;
case 3560141: // time
return time;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -236449952: // stateValue
this.stateValue = (DoubleMatrix) newValue;
break;
case 734501792: // transitionProbability
this.transitionProbability = (List) newValue;
break;
case -557144592: // discountFactor
this.discountFactor = (DoubleArray) newValue;
break;
case 3560141: // time
this.time = (DoubleArray) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public RecombiningTrinomialTreeData build() {
return new RecombiningTrinomialTreeData(
stateValue,
transitionProbability,
discountFactor,
time);
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("RecombiningTrinomialTreeData.Builder{");
buf.append("stateValue").append('=').append(JodaBeanUtils.toString(stateValue)).append(',').append(' ');
buf.append("transitionProbability").append('=').append(JodaBeanUtils.toString(transitionProbability)).append(',').append(' ');
buf.append("discountFactor").append('=').append(JodaBeanUtils.toString(discountFactor)).append(',').append(' ');
buf.append("time").append('=').append(JodaBeanUtils.toString(time));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}