IssuerProviderIssuerDecoratedSpreadPeriodic.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.provider.description.interestrate;

import java.util.ArrayList;
import java.util.List;
import java.util.Set;

import org.apache.commons.lang.ObjectUtils;

import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.legalentity.LegalEntityFilter;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;

/**
 * Class describing a issuer provider created from a issuer provider where the discounting curve for one issuer is
 * shifted (decorated) by a a parallel spread to the zero-coupon periodic compounded rate.
 */
public class IssuerProviderIssuerDecoratedSpreadPeriodic implements IssuerProviderInterface {

  /**
   * The underlying issuer provider on which the multi-curves provider is based.
   */
  private final IssuerProviderInterface _issuerProvider;
  /**
   * The issuer/currency pair to be shifted.
   */
  private final LegalEntity _issuer;
  /**
   * The spread (shift).
   */
  private final double _spread;
  /**
   * The number of periods per year.
   */
  private final double _nPeriodsPerYear;

  /**
   * Constructor.
   * @param issuerProvider The underlying issuer provider on which the multi-curves provider is based, not null
   * @param issuer The issuer, not null
   * @param spread The spread
   * @param nPeriodsPerYear The number of periods per year.
   */
  public IssuerProviderIssuerDecoratedSpreadPeriodic(IssuerProviderInterface issuerProvider, LegalEntity issuer,
      double spread, int nPeriodsPerYear) {
    ArgumentChecker.notNull(issuerProvider, "issuerProvider");
    ArgumentChecker.notNull(issuer, "issuer");
    ArgumentChecker.isTrue(nPeriodsPerYear > 0, "nPeriodsParYear should be greater than 0");
    _issuer = issuer;
    _spread = spread;
    _nPeriodsPerYear = nPeriodsPerYear;
    _issuerProvider = issuerProvider;
  }

  @Override
  public MulticurveProviderInterface getMulticurveProvider() {
    return _issuerProvider.getMulticurveProvider();
  }

  @Override
  public IssuerProviderInterface getIssuerProvider() {
    return this;
  }

  @Override
  public IssuerProviderInterface copy() {
    throw new UnsupportedOperationException("Copy not supported for decorated providers");
  }

  @Override
  public double getDiscountFactor(final LegalEntity issuer, final Double time) {
    double df = _issuerProvider.getDiscountFactor(issuer, time);
    if (issuer.equals(_issuer)) {
      if (Math.abs(time) < 1.0E-10) {
        return 1.0;
      }
      double ratePeriodicAnnualPlusOne = Math.pow(df, -1.0 / _nPeriodsPerYear / time) + _spread / _nPeriodsPerYear;
      return Math.pow(ratePeriodicAnnualPlusOne, -_nPeriodsPerYear * time);
    }
    return df;
  }

  @Override
  public String getName(final Pair<Object, LegalEntityFilter<LegalEntity>> issuerCcy) {
    return _issuerProvider.getName(issuerCcy);
  }

  @Override
  public String getName(final LegalEntity issuerCcy) {
    return _issuerProvider.getName(issuerCcy);
  }

  @Override
  public Set<String> getAllNames() {
    return _issuerProvider.getAllNames();
  }

  @Override
  public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
    if (name.equals(getName(_issuer))) {
      int nPoints = pointSensitivity.size();
      List<DoublesPair> pointSensitivityNew = new ArrayList<>(nPoints);
      for (int i = 0; i < nPoints; ++i) {
        double time = pointSensitivity.get(i).getFirst();
        double eRovN = Math.pow(_issuerProvider.getDiscountFactor(_issuer, time), -1.0 / _nPeriodsPerYear / time);
        double factor = eRovN / (eRovN + _spread / _nPeriodsPerYear);
        pointSensitivityNew.add(DoublesPair.of(time, factor * pointSensitivity.get(i).getSecond()));
      }
      return _issuerProvider.parameterSensitivity(name, pointSensitivityNew);
    }
    return _issuerProvider.parameterSensitivity(name, pointSensitivity);
  }

  @Override
  public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
    return _issuerProvider.parameterForwardSensitivity(name, pointSensitivity);
  }

  @Override
  public Integer getNumberOfParameters(final String name) {
    return _issuerProvider.getNumberOfParameters(name);
  }

  @Override
  public List<String> getUnderlyingCurvesNames(final String name) {
    return _issuerProvider.getUnderlyingCurvesNames(name);
  }

  @Override
  public Set<Pair<Object, LegalEntityFilter<LegalEntity>>> getIssuers() {
    return _issuerProvider.getIssuers();
  }

  @Override
  public Set<String> getAllCurveNames() {
    return _issuerProvider.getAllCurveNames();
  }

  @Override
  public int hashCode() {
    final int prime = 31;
    int result = 1;
    result = prime * result + _issuer.hashCode();
    result = prime * result + _issuerProvider.hashCode();
    return result;
  }

  @Override
  public boolean equals(final Object obj) {
    if (this == obj) {
      return true;
    }
    if (!(obj instanceof IssuerProviderIssuerDecoratedSpreadPeriodic)) {
      return false;
    }
    final IssuerProviderIssuerDecoratedSpreadPeriodic other = (IssuerProviderIssuerDecoratedSpreadPeriodic) obj;
    if (!ObjectUtils.equals(_issuer, other._issuer)) {
      return false;
    }
    if (!ObjectUtils.equals(_issuerProvider, other._issuerProvider)) {
      return false;
    }
    return true;
  }

}