/**
* Copyright (C) 2011 - 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.Collections;
import java.util.HashMap;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeSet;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class describing a "market" with discounting and forward curves.
* The forward rate are computed directly.
*/
public class MulticurveProviderForward implements MulticurveProviderInterface {
/**
* A map with one (discounting) curve by currency.
*/
private final Map<Currency, YieldAndDiscountCurve> _discountingCurves;
/**
* A map with one (forward) curve by ON index.
*/
private final Map<IndexON, YieldAndDiscountCurve> _forwardONCurves;
/**
* A map with one (forward) curve by Ibor/OIS index.
*/
// TODO: Replace the DoublesCurve by a more flexible object, similar to yieldAndDiscountCurve
private final Map<IborIndex, DoublesCurve> _forwardIborCurves;
/**
* The matrix containing the exchange rates.
*/
private final FXMatrix _fxMatrix;
/**
* Map of all curves used in the provider.
*/
private Map<String, Object> _allCurves;
/**
* Constructor with empty maps for discounting, forward and price index.
*/
public MulticurveProviderForward() {
// TODO: Do we need a LinkedHashMap or a more efficient Map could be used?
_discountingCurves = new HashMap<>();
_forwardIborCurves = new HashMap<>();
_forwardONCurves = new LinkedHashMap<>();
_fxMatrix = new FXMatrix();
setAllCurves();
}
/**
* Constructor with empty maps for discounting, forward and price index.
* @param fxMatrix The FXMatrix.
*/
public MulticurveProviderForward(final FXMatrix fxMatrix) {
_discountingCurves = new HashMap<>();
_forwardIborCurves = new HashMap<>();
_forwardONCurves = new LinkedHashMap<>();
_fxMatrix = fxMatrix;
setAllCurves();
}
/**
* Constructor from an existing market. The given market maps are used for the new market (the same maps are used, not copied).
* @param discountingCurves A map with one (discounting) curve by currency.
* @param forwardIborCurves A map with one (forward) curve by Ibor index.
* @param forwardONCurves A map with one (forward) curve by ON index.
* @param fxMatrix The FXMatrix.
*/
public MulticurveProviderForward(final Map<Currency, YieldAndDiscountCurve> discountingCurves, final Map<IborIndex, DoublesCurve> forwardIborCurves,
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves, final FXMatrix fxMatrix) {
_discountingCurves = discountingCurves;
_forwardIborCurves = forwardIborCurves;
_forwardONCurves = forwardONCurves;
_fxMatrix = fxMatrix;
setAllCurves();
}
/**
* Constructor from an existing market. The given market maps are used for the new market (the same maps are used, not copied).
* @param market The existing market.
*/
public MulticurveProviderForward(final MulticurveProviderForward market) {
_discountingCurves = market._discountingCurves;
_forwardIborCurves = market._forwardIborCurves;
_forwardONCurves = market._forwardONCurves;
_fxMatrix = market._fxMatrix;
setAllCurves();
}
@Override
public MulticurveProviderInterface getMulticurveProvider() {
return this;
}
@Override
public MulticurveProviderForward copy() {
final LinkedHashMap<Currency, YieldAndDiscountCurve> discountingCurves = new LinkedHashMap<>(_discountingCurves);
final LinkedHashMap<IborIndex, DoublesCurve> forwardIborCurves = new LinkedHashMap<>(_forwardIborCurves);
final LinkedHashMap<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>(_forwardONCurves);
final FXMatrix fxMatrix = new FXMatrix(_fxMatrix);
return new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
}
/**
* Adds all curves to a single map.
*/
private void setAllCurves() {
_allCurves = new LinkedHashMap<>();
final Set<Currency> ccySet = _discountingCurves.keySet();
for (final Currency ccy : ccySet) {
final String name = _discountingCurves.get(ccy).getName();
_allCurves.put(name, _discountingCurves.get(ccy));
}
final Set<IborIndex> indexSet = _forwardIborCurves.keySet();
for (final IborIndex index : indexSet) {
final String name = _forwardIborCurves.get(index).getName();
_allCurves.put(name, _forwardIborCurves.get(index));
}
final Set<IndexON> indexONSet = _forwardONCurves.keySet();
for (final IndexON index : indexONSet) {
final String name = _forwardONCurves.get(index).getName();
_allCurves.put(name, _forwardONCurves.get(index));
}
}
@Override
public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
final Object curveObject = _allCurves.get(name);
ArgumentChecker.isTrue(curveObject instanceof YieldAndDiscountCurve, "Curve not a YieldAndDiscountCurve, can not compute sensitivity");
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
final int nbParameters = curve.getNumberOfParameters();
final double[] result = new double[nbParameters];
if (pointSensitivity != null && pointSensitivity.size() > 0) {
for (final DoublesPair timeAndS : pointSensitivity) {
final double[] sensi1Point = curve.getInterestRateParameterSensitivity(timeAndS.getFirst());
for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
result[loopparam] += timeAndS.getSecond() * sensi1Point[loopparam];
}
}
}
return result;
}
@Override
public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
final Object curveObject = _allCurves.get(name);
if (curveObject instanceof YieldAndDiscountCurve) {
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
final int nbParameters = curve.getNumberOfParameters();
final double[] result = new double[nbParameters];
if (pointSensitivity != null && pointSensitivity.size() > 0) {
for (final ForwardSensitivity timeAndS : pointSensitivity) {
final double startTime = timeAndS.getStartTime();
final double endTime = timeAndS.getEndTime();
final double accrualFactor = timeAndS.getAccrualFactor();
final double forwardBar = timeAndS.getValue();
// Implementation note: only the sensitivity to the forward is available. The sensitivity to the pseudo-discount factors need to be computed.
final double dfForwardStart = curve.getDiscountFactor(startTime);
final double dfForwardEnd = curve.getDiscountFactor(endTime);
final double dFwddyStart = -startTime * dfForwardStart / (dfForwardEnd * accrualFactor);
final double dFwddyEnd = endTime * dfForwardStart / (dfForwardEnd * accrualFactor);
final double[] sensiPtStart = curve.getInterestRateParameterSensitivity(startTime);
final double[] sensiPtEnd = curve.getInterestRateParameterSensitivity(endTime);
for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
result[loopparam] += dFwddyStart * sensiPtStart[loopparam] * forwardBar;
result[loopparam] += dFwddyEnd * sensiPtEnd[loopparam] * forwardBar;
}
}
}
return result;
}
ArgumentChecker.isTrue(curveObject instanceof DoublesCurve, "Curve not a DoublesCurve, can not computed sensitivity");
final DoublesCurve curve = (DoublesCurve) curveObject;
final int nbParameters = curve.size();
final double[] result = new double[nbParameters];
if (pointSensitivity != null && pointSensitivity.size() > 0) {
for (final ForwardSensitivity timeAndS : pointSensitivity) {
final Double[] sensiPtStart = curve.getYValueParameterSensitivity(timeAndS.getStartTime());
// Implementation note: the forward rate are indexed by the start date.
for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
result[loopparam] += timeAndS.getValue() * sensiPtStart[loopparam];
}
}
}
return result;
}
@Override
public Integer getNumberOfParameters(final String name) {
final Object curveObject = _allCurves.get(name);
if (curveObject instanceof YieldAndDiscountCurve) {
return ((YieldAndDiscountCurve) curveObject).getNumberOfParameters();
}
ArgumentChecker.isTrue(curveObject instanceof DoublesCurve, "Curve not a DoublesCurve; cannot get number of parameters");
return ((DoublesCurve) curveObject).size();
}
@Override
public List<String> getUnderlyingCurvesNames(final String name) {
final Object curveObject = _allCurves.get(name);
if (curveObject instanceof YieldAndDiscountCurve) {
return ((YieldAndDiscountCurve) curveObject).getUnderlyingCurvesNames();
}
//REVIEW emcleod 7-8-2013 What is the purpose of this?
ArgumentChecker.isTrue(curveObject instanceof DoublesCurve, "Curve not a DoublesCurve");
final List<String> list = new ArrayList<>();
list.add(name);
return list;
}
@Override
public double getDiscountFactor(final Currency ccy, final Double time) {
if (_discountingCurves.containsKey(ccy)) {
return _discountingCurves.get(ccy).getDiscountFactor(time);
}
throw new IllegalArgumentException("Currency discounting curve not found: " + ccy);
}
@Override
public String getName(final Currency ccy) {
if (_discountingCurves.containsKey(ccy)) {
return _discountingCurves.get(ccy).getName();
}
throw new IllegalArgumentException("Currency discounting curve not found: " + ccy);
}
@Override
public Set<Currency> getCurrencies() {
return _discountingCurves.keySet();
}
@Override
public double getInvestmentFactor(final IborIndex index, final double startTime, final double endTime, final double accrualFactor) {
if (_forwardIborCurves.containsKey(index)) {
return 1 + accrualFactor * _forwardIborCurves.get(index).getYValue(startTime);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public double getSimplyCompoundForwardRate(final IborIndex index, final double startTime, final double endTime, final double accrualFactor) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index).getYValue(startTime);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public double getSimplyCompoundForwardRate(final IborIndex index, final double startTime, final double endTime) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index).getYValue(startTime);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public double getAnnuallyCompoundForwardRate(final IborIndex index, final double startTime, final double endTime, final double accrualFactor) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index).getYValue(startTime);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public double getAnnuallyCompoundForwardRate(final IborIndex index, final double startTime, final double endTime) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index).getYValue(startTime);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public String getName(final IborIndex index) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index).getName();
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public Set<IborIndex> getIndexesIbor() {
return _forwardIborCurves.keySet();
}
@Override
public double getInvestmentFactor(final IndexON index, final double startTime, final double endTime, final double accrualFactor) {
if (_forwardONCurves.containsKey(index)) {
return _forwardONCurves.get(index).getDiscountFactor(startTime) / _forwardONCurves.get(index).getDiscountFactor(endTime);
}
throw new IllegalArgumentException("Forward ON curve not found: " + index);
}
@Override
public double getSimplyCompoundForwardRate(final IndexON index, final double startTime, final double endTime, final double accrualFactor) {
if (_forwardONCurves.containsKey(index)) {
return (_forwardONCurves.get(index).getDiscountFactor(startTime) / _forwardONCurves.get(index).getDiscountFactor(endTime) - 1) / accrualFactor;
}
throw new IllegalArgumentException("Forward ON curve not found: " + index);
}
@Override
public double getSimplyCompoundForwardRate(final IndexON index, final double startTime, final double endTime) {
ArgumentChecker.isFalse(startTime == endTime, "sart time should be different from end time");
if (_forwardONCurves.containsKey(index)) {
return (_forwardONCurves.get(index).getDiscountFactor(startTime) / _forwardONCurves.get(index).getDiscountFactor(endTime) - 1) / (endTime - startTime);
}
throw new IllegalArgumentException("Forward ON curve not found: " + index);
}
@Override
public double getAnnuallyCompoundForwardRate(final IndexON index, final double startTime, final double endTime, final double accrualFactor) {
ArgumentChecker.isFalse(accrualFactor == 0.0, "The accrual factor can't be null");
if (_forwardONCurves.containsKey(index)) {
return (Math.pow(_forwardONCurves.get(index).getDiscountFactor(startTime) / _forwardONCurves.get(index).getDiscountFactor(endTime), 1 / accrualFactor) - 1);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public double getAnnuallyCompoundForwardRate(final IndexON index, final double startTime, final double endTime) {
ArgumentChecker.isFalse(startTime == endTime, "Start time should be different from end time");
final double accrualFactor = endTime - startTime;
return getAnnuallyCompoundForwardRate(index, startTime, endTime, accrualFactor);
}
@Override
public String getName(final IndexON index) {
if (_forwardONCurves.containsKey(index)) {
return _forwardONCurves.get(index).getName();
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
@Override
public Set<IndexON> getIndexesON() {
return _forwardONCurves.keySet();
}
/**
* Sets the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
*/
public void setCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
ArgumentChecker.notNull(ccy, "currency");
ArgumentChecker.notNull(curve, "curve");
if (_discountingCurves.containsKey(ccy)) {
throw new IllegalArgumentException("Currency discounting curve already set: " + ccy.toString());
}
_discountingCurves.put(ccy, curve);
setAllCurves();
}
/**
* Sets the curve associated to an ON index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IndexON index, final YieldAndDiscountCurve curve) {
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(curve, "curve");
if (_forwardONCurves.containsKey(index)) {
throw new IllegalArgumentException("ON index forward curve already set: " + index.toString());
}
_forwardONCurves.put(index, curve);
setAllCurves();
}
/**
* Sets the curve associated to an Ibor index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IborIndex index, final DoublesCurve curve) {
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(curve, "curve");
if (_forwardIborCurves.containsKey(index)) {
throw new IllegalArgumentException("Ibor index forward curve already set: " + index.toString());
}
_forwardIborCurves.put(index, curve);
setAllCurves();
}
/**
* Set all the curves contains in another bundle. If a currency or index is already present in the map, the associated curve is changed.
* @param other The other bundle.
*/
// TODO: REVIEW: Should we check that the curve are already present?
public void setAll(final MulticurveProviderForward other) {
ArgumentChecker.notNull(other, "Market bundle");
_discountingCurves.putAll(other._discountingCurves);
_forwardIborCurves.putAll(other._forwardIborCurves);
_forwardONCurves.putAll(other._forwardONCurves);
setAllCurves();
}
@Override
public Set<String> getAllNames() {
return getAllCurveNames();
}
@Override
public Set<String> getAllCurveNames() {
return Collections.unmodifiableSortedSet(new TreeSet<>(_allCurves.keySet()));
}
/**
* Gets the discounting curve associated in a given currency in the market.
* @param ccy The currency.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final Currency ccy) {
if (_discountingCurves.containsKey(ccy)) {
return _discountingCurves.get(ccy);
}
throw new IllegalArgumentException("Currency discounting curve not found: " + ccy);
}
/**
* Gets the forward curve associated to a given Ibor index in the market.
* @param index The Ibor index.
* @return The curve.
*/
public DoublesCurve getCurve(final IborIndex index) {
if (_forwardIborCurves.containsKey(index)) {
return _forwardIborCurves.get(index);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
/**
* Gets the forward curve associated to a given ON index in the market.
* @param index The ON index.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final IndexON index) {
if (_forwardONCurves.containsKey(index)) {
return _forwardONCurves.get(index);
}
throw new IllegalArgumentException("Forward curve not found: " + index);
}
/**
* Replaces the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
ArgumentChecker.notNull(ccy, "Currency");
ArgumentChecker.notNull(curve, "curve");
if (!_discountingCurves.containsKey(ccy)) {
throw new IllegalArgumentException("Currency discounting curve not in set: " + ccy);
}
_discountingCurves.put(ccy, curve);
setAllCurves();
}
/**
* Replaces the forward curve for a given index.
* @param index The index.
* @param curve The yield curve used for forward.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final IborIndex index, final DoublesCurve curve) {
ArgumentChecker.notNull(index, "Index");
ArgumentChecker.notNull(curve, "curve");
if (!_forwardIborCurves.containsKey(index)) {
throw new IllegalArgumentException("Forward curve not in set: " + index);
}
_forwardIborCurves.put(index, curve);
setAllCurves();
}
@Override
public double getFxRate(final Currency ccy1, final Currency ccy2) {
return _fxMatrix.getFxRate(ccy1, ccy2);
}
/**
* Gets the underlying FXMatrix containing the exchange rates.
* @return The matrix.
*/
@Override
public FXMatrix getFxRates() {
return _fxMatrix;
}
/**
* Returns an unmodifiable copy of the currency to discounting curves map.
* @return The discounting curve map
*/
public Map<Currency, YieldAndDiscountCurve> getDiscountingCurves() {
return Collections.unmodifiableMap(_discountingCurves);
}
/**
* Returns an unmodifiable copy of the ibor index to forward curves map.
* @return The forward ibor curve map
*/
public Map<IborIndex, DoublesCurve> getForwardIborCurves() {
return Collections.unmodifiableMap(_forwardIborCurves);
}
/**
* Returns an unmodifiable copy of the overnight index to forward curves map.
* @return The forward overnight curve map
*/
public Map<IndexON, YieldAndDiscountCurve> getForwardONCurves() {
return Collections.unmodifiableMap(_forwardONCurves);
}
/**
* Replaces a discounting curve for a currency.
* @param ccy The currency
* @param replacement The replacement curve
* @return A new provider with the supplied discounting curve
*/
public MulticurveProviderForward withDiscountFactor(final Currency ccy, final YieldAndDiscountCurve replacement) {
// REVIEW: Is this too slow for the pricing of cash-flows?
final Map<Currency, YieldAndDiscountCurve> newDiscountCurves = new LinkedHashMap<>(_discountingCurves);
newDiscountCurves.put(ccy, replacement); //TODO think about ccy not existing in current map
final MulticurveProviderForward decorated = new MulticurveProviderForward(newDiscountCurves, _forwardIborCurves, _forwardONCurves, _fxMatrix);
return decorated;
}
/**
* Replaces an ibor curve for an index.
* @param index The index
* @param replacement The replacement curve
* @return A new provider with the supplied ibor curve
*/
public MulticurveProviderForward withForward(final IborIndex index, final DoublesCurve replacement) {
final Map<IborIndex, DoublesCurve> newForwardCurves = new LinkedHashMap<>(_forwardIborCurves);
newForwardCurves.put(index, replacement);
final MulticurveProviderForward decorated = new MulticurveProviderForward(_discountingCurves, newForwardCurves, _forwardONCurves, _fxMatrix);
return decorated;
}
/**
* Replaces an overnight curve for an index.
* @param index The index
* @param replacement The replacement curve
* @return A new provider with the supplied overnight curve
*/
public MulticurveProviderForward withForward(final IndexON index, final YieldAndDiscountCurve replacement) {
final Map<IndexON, YieldAndDiscountCurve> newForwardCurves = new LinkedHashMap<>(_forwardONCurves);
newForwardCurves.put(index, replacement);
final MulticurveProviderForward decorated = new MulticurveProviderForward(_discountingCurves, _forwardIborCurves, newForwardCurves, _fxMatrix);
return decorated;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _discountingCurves.hashCode();
result = prime * result + _forwardIborCurves.hashCode();
result = prime * result + _forwardONCurves.hashCode();
result = prime * result + _fxMatrix.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof MulticurveProviderForward)) {
return false;
}
final MulticurveProviderForward other = (MulticurveProviderForward) obj;
if (!ObjectUtils.equals(_discountingCurves, other._discountingCurves)) {
return false;
}
if (!ObjectUtils.equals(_forwardIborCurves, other._forwardIborCurves)) {
return false;
}
if (!ObjectUtils.equals(_forwardONCurves, other._forwardONCurves)) {
return false;
}
if (!ObjectUtils.equals(_fxMatrix, other._fxMatrix)) {
return false;
}
return true;
}
}