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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
package net.finmath.singleswaprate.data;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.HashMap;
import java.util.List;
import java.util.TreeSet;
import net.finmath.time.Schedule;
import net.finmath.time.SchedulePrototype;
/**
* A basic implementation of {@link net.finmath.singleswaprate.data.DataTable}, which provides no means of inter- or extrapolation.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
public class DataTableBasic implements DataTable, Cloneable {
private static final long serialVersionUID = -529758680500367511L;
/**
* Create a DataTableBasic by upgrading a {@link net.finmath.singleswaprate.data.DataTableLight} to allow access via double representation.
*
* @param baseTable The table to be upgraded.
* @param referenceDate The reference date.
* @param scheduleMetaData The schedule meta data of the table.
*
* @return The upgraded table.
*/
public static DataTableBasic upgradeDataTableLight(final DataTableLight baseTable, final LocalDate referenceDate, final SchedulePrototype scheduleMetaData) {
final int[] maturities = new int[baseTable.size()];
final int[] terminations = new int[baseTable.size()];
final double[] values = new double[baseTable.size()];
int i = 0;
for(final int maturity : baseTable.getMaturities()) {
for(final int termination : baseTable.getTerminationsForMaturity(maturity)) {
maturities[i] = maturity;
terminations[i] = termination;
values[i++] = baseTable.getValue(maturity, termination);
}
}
return new DataTableBasic(baseTable.getName(), baseTable.getConvention(), referenceDate, scheduleMetaData,
maturities, terminations, values);
}
private final String name;
private final TableConvention convention;
private final LocalDate referenceDate;
private final SchedulePrototype metaSchedule;
private final TreeSet maturitySet = new TreeSet<>();
private final TreeSet terminationSet = new TreeSet<>();
private final HashMap entries = new HashMap<>();
/**
* Create an empty table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
*/
public DataTableBasic(final String name, final TableConvention convention, final LocalDate referenceDate, final SchedulePrototype scheduleMetaData){
this.name = name;
this.convention = convention;
this.referenceDate = referenceDate;
this.metaSchedule = scheduleMetaData;
}
/**
* Create a table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
* @param maturities The maturities of the points as offset with respect to the reference date.
* @param terminations The terminations of the points as offset with respect to the maturity date.
* @param values The values at the points.
*/
public DataTableBasic(final String name, final TableConvention convention, final LocalDate referenceDate, final SchedulePrototype scheduleMetaData,
final int[] maturities, final int[] terminations, final double[] values){
this(name, convention, referenceDate, scheduleMetaData);
for(int index = 0; index < maturities.length; index++) {
entries.put(new DoubleKey(maturities[index], terminations[index]), values[index]);
maturitySet.add(maturities[index]);
terminationSet.add(terminations[index]);
}
}
/**
* Create a table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
* @param maturities The maturities of the points as offset with respect to the reference date.
* @param terminations The terminations of the points as offset with respect to the maturity date.
* @param values The values at the points.
*/
public DataTableBasic(final String name, final TableConvention convention, final LocalDate referenceDate, final SchedulePrototype scheduleMetaData,
final List maturities, final List terminations, final List values){
this(name, convention, referenceDate, scheduleMetaData);
for(int index = 0; index < maturities.size(); index++) {
final int mat = maturities.get(index);
final int term = terminations.get(index);
final double val =values.get(index);
entries.put(new DoubleKey(mat, term), val);
maturitySet.add(mat);
terminationSet.add(term);
}
}
@Override
public DataTable addPoint(final int maturity, final int termination, final double value) {
final DataTableBasic newTable = clone();
newTable.entries.put(new DoubleKey(maturity, termination),value);
newTable.maturitySet.add(maturity);
newTable.terminationSet.add(termination);
return newTable;
}
@Override
public DataTable addPoints(final int[] maturities, final int[] terminations, final double[] values) {
final DataTableBasic newTable = clone();
for(int index = 0; index < maturities.length; index++) {
newTable.entries.put(new DoubleKey(maturities[index], terminations[index]), values[index]);
newTable.maturitySet.add(maturities[index]);
newTable.terminationSet.add(terminations[index]);
}
return newTable;
}
@Override
public double getValue(final int maturity, final int termination) {
final DoubleKey key = new DoubleKey(maturity, termination);
if(entries.containsKey(key)) {
return entries.get(new DoubleKey(maturity,termination));
} else {
throw new NullPointerException("Key not found.");
}
}
@Override
public double getValue(final double maturity, final double termination) {
final DoubleKey key = new DoubleKey(maturity, termination);
if(entries.containsKey(key)) {
return entries.get(new DoubleKey(maturity,termination));
} else {
throw new NullPointerException("Key not found.");
}
}
@Override
public int size() {
return entries.size();
}
@Override
public boolean containsEntryFor(final int maturity, final int termination) {
return entries.containsKey(new DoubleKey(maturity, termination));
}
@Override
public boolean containsEntryFor(final double maturity, final double termination) {
return entries.containsKey(new DoubleKey(maturity, termination));
}
@Override
public TreeSet getMaturities(){
return new TreeSet<>(maturitySet);
}
@Override
public TreeSet getTerminations(){
return new TreeSet<>(terminationSet);
}
@Override
public TreeSet getTerminationsForMaturity(final int maturity){
if(maturitySet.contains(maturity)) {
final TreeSet returnSet = new TreeSet<>();
for(final int termination:terminationSet) {
if(entries.containsKey(new DoubleKey(maturity,termination))) {
returnSet.add(termination);
}
}
return returnSet;
} else {
throw new NullPointerException("This data table does not contain entries for maturity "+maturity);
}
}
@Override
public TreeSet getMaturitiesForTermination(final int termination) {
if(terminationSet.contains(termination)) {
final TreeSet returnSet = new TreeSet<>();
for(final int maturity: maturitySet) {
if(entries.containsKey(new DoubleKey(maturity,termination))) {
returnSet.add(maturity);
}
}
return returnSet;
} else {
throw new NullPointerException("This data table does not contain entries for termination " +termination);
}
}
@Override
public String getName() {
return name;
}
@Override
public LocalDate getReferenceDate() {
return referenceDate;
}
@Override
public TableConvention getConvention() {
return convention;
}
@Override
public SchedulePrototype getScheduleMetaData() {
return metaSchedule;
}
@Override
public DataTableBasic clone() {
final DataTableBasic newTable = new DataTableBasic(name, convention, referenceDate, metaSchedule);
newTable.entries.putAll(entries);
newTable.maturitySet.addAll(maturitySet);
newTable.terminationSet.addAll(terminationSet);
return newTable;
}
@Override
public String toString() {
return toString(1.0);
}
public String toString(final double unit) {
final StringBuilder builder = new StringBuilder();
builder.append("DataTableBasic [name="+name+", referenceDate="+referenceDate+", tableConvention=" +convention+", scheduleMetaData="+ metaSchedule+"values:\n");
for(final int termination : terminationSet) {
builder.append("\t"+termination);
}
for(final int maturity: maturitySet) {
builder.append("\n"+maturity);
for(final int termination:terminationSet) {
final DoubleKey key = new DoubleKey(maturity, termination);
builder.append('\t');
if(entries.containsKey(key)) {
builder.append(entries.get(key) * unit);
}
}
}
return builder.toString();
}
protected double getValue(final DoubleKey key) {
return entries.get(key);
}
/**
* Nested class to use as key in values map.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
protected class DoubleKey implements Serializable {
private static final long serialVersionUID = -2372959679853584772L;
private final double maturity;
private final double termination;
/**
* Create key from int.
*
* @param maturity The maturity.
* @param termination The termination.
*/
protected DoubleKey(final int maturity, final int termination){
final LocalDate startDate = dateFromOffset(referenceDate, maturity);
final LocalDate endDate = dateFromOffset(startDate, termination);
final Schedule schedule = metaSchedule.generateSchedule(referenceDate, startDate, endDate);
this.maturity = schedule.getFixing(0);
this.termination = schedule.getPayment(schedule.getNumberOfPeriods()-1);
}
/**
* Create key from double.
*
* @param maturity The maturtiy.
* @param termination The termination.
*/
protected DoubleKey(final double maturity, final double termination){
this.maturity = maturity;
this.termination = termination;
}
private LocalDate dateFromOffset(final LocalDate startDate, final int offset) {
LocalDate date = null;
switch(convention) {
case YEARS:
date = startDate.plusYears(offset);
break;
case MONTHS:
date = startDate.plusMonths(offset);
break;
case DAYS:
date = startDate.plusDays(offset);
break;
case WEEKS:
date = startDate.plusWeeks(offset);
break;
default:
throw new IllegalArgumentException("Unknown convention " + convention + ".");
}
return date;
}
@Override
public boolean equals(final Object other) {
if(this == other) {
return true;
}
if(other == null) {
return false;
}
if(other.getClass() != getClass()) {
return false;
}
if(maturity != ((DoubleKey) other).maturity ) {
return false;
}
return (termination == ((DoubleKey) other).termination);
}
@Override
public int hashCode() {
return (int) (maturity*termination);
}
@Override
public String toString() {
return "DoubleKey [maturity=" + maturity + ", termination=" + termination + "]";
}
}
}