/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model;
import java.text.DecimalFormat;
import java.util.Arrays;
import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.apache.commons.lang.ArrayUtils;
import org.threeten.bp.LocalDate;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.LabelledMatrix1D;
import com.opengamma.financial.analytics.curve.CurveSpecification;
import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveDefinitionSource;
import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveSpecificationSource;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveSpecification;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.model.fixedincome.YieldCurveLabelGenerator;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.DoublesPair;
/**
*
*/
public class YieldCurveNodeSensitivitiesHelper {
private static final DecimalFormat s_formatter = new DecimalFormat("##.######");
/**
* @deprecated Use {@link #getInstrumentLabelledSensitivitiesForCurve(String, YieldCurveBundle, DoubleMatrix1D, InterpolatedYieldCurveSpecificationWithSecurities, ValueSpecification)} instead
* @param curve The curve
* @param sensitivitiesForCurve The sensitivities for the curve
* @param curveSpec The curve specification
* @param resultSpec The resultSpecification
* @return The computed value
*/
@Deprecated
public static Set<ComputedValue> getSensitivitiesForCurve(final YieldAndDiscountCurve curve, final DoubleMatrix1D sensitivitiesForCurve,
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec, final ValueSpecification resultSpec) {
final int n = sensitivitiesForCurve.getNumberOfElements();
if (!(curve instanceof YieldCurve)) {
throw new IllegalArgumentException("Can only handle YieldCurve");
}
final Double[] keys = ((YieldCurve) curve).getCurve().getXData();
final double[] values = new double[n];
final Object[] labels = YieldCurveLabelGenerator.getLabels(curveSpec);
DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
for (int i = 0; i < n; i++) {
labelledMatrix = (DoubleLabelledMatrix1D) labelledMatrix.add(keys[i], labels[i], sensitivitiesForCurve.getEntry(i));
}
return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
}
public static Set<ComputedValue> getInstrumentLabelledSensitivitiesForCurve(final String curveName, final YieldCurveBundle bundle, final DoubleMatrix1D sensitivitiesForCurve,
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec, final ValueSpecification resultSpec) {
return getHybridLabelledSensitivitiesForCurve(curveName, bundle, sensitivitiesForCurve, curveSpec, resultSpec);
}
public static Set<ComputedValue> getInstrumentLabelledSensitivitiesForCurve(final String curveName, final YieldCurveBundle bundle, final DoubleMatrix1D sensitivitiesForCurve,
final CurveSpecification curveSpec, final ValueSpecification resultSpec) {
return getHybridLabelledSensitivitiesForCurve(curveName, bundle, sensitivitiesForCurve, curveSpec, resultSpec);
}
public static Set<ComputedValue> getHybridLabelledSensitivitiesForCurve(final String curveName, final YieldCurveBundle bundle, final DoubleMatrix1D sensitivitiesForCurve,
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec, final ValueSpecification resultSpec) {
final int nSensitivities = curveSpec.getStrips().size();
int startIndex = 0;
for (final String name : bundle.getAllNames()) {
if (curveName.equals(name)) {
break;
}
if (!(bundle.getCurve(name) instanceof YieldCurve)) { //TODO: make it more generic
throw new IllegalArgumentException("Can only handle YieldCurve");
}
startIndex += ((YieldCurve) bundle.getCurve(name)).getCurve().size();
}
final YieldAndDiscountCurve curve = bundle.getCurve(curveName);
final Double[] keys = ((YieldCurve) curve).getCurve().getXData();
final double[] values = new double[nSensitivities];
final Object[] labels = YieldCurveLabelGenerator.getHybridLabels(curveSpec);
for (int i = 0; i < nSensitivities; i++) {
values[i] = sensitivitiesForCurve.getEntry(i + startIndex);
}
final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
}
public static Set<ComputedValue> getHybridLabelledSensitivitiesForCurve(final String curveName, final YieldCurveBundle bundle, final DoubleMatrix1D sensitivitiesForCurve,
final CurveSpecification curveSpec, final ValueSpecification resultSpec) {
final int nSensitivities = curveSpec.getNodes().size();
int startIndex = 0;
for (final String name : bundle.getAllNames()) {
if (curveName.equals(name)) {
break;
}
if (!(bundle.getCurve(name) instanceof YieldCurve)) { //TODO: make it more generic
throw new IllegalArgumentException("Can only handle YieldCurve");
}
startIndex += ((YieldCurve) bundle.getCurve(name)).getCurve().size();
}
final YieldAndDiscountCurve curve = bundle.getCurve(curveName);
final Double[] keys;
if (curve instanceof YieldCurve) {
keys = ((YieldCurve) curve).getCurve().getXData();
} else if (curve instanceof DiscountCurve) {
keys = ((DiscountCurve) curve).getCurve().getXData();
} else {
throw new OpenGammaRuntimeException("Cant get underlying curve from: " + curve);
}
final double[] values = new double[nSensitivities];
final Object[] labels = YieldCurveLabelGenerator.getHybridLabels(curveSpec);
for (int i = 0; i < nSensitivities; i++) {
values[i] = sensitivitiesForCurve.getEntry(i + startIndex);
}
final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
}
public static Set<ComputedValue> getTimeLabelledSensitivitiesForCurve(final List<DoublesPair> resultList, final ValueSpecification resultSpec) {
final int n = resultList.size();
final Double[] keys = new Double[n];
final double[] values = new double[n];
final Object[] labels = new Object[n];
LabelledMatrix1D<Double, Double> labelledMatrix = new DoubleLabelledMatrix1D(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY, ArrayUtils.EMPTY_OBJECT_ARRAY, ArrayUtils.EMPTY_DOUBLE_ARRAY);
for (int i = 0; i < n; i++) {
final DoublesPair pair = resultList.get(i);
keys[i] = pair.first;
values[i] = pair.second;
labels[i] = s_formatter.format(pair.first);
labelledMatrix = labelledMatrix.add(pair.first, s_formatter.format(pair.first), pair.second, 1e-16);
}
return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
}
public static Set<ComputedValue> getInstrumentLabelledSensitivitiesForCurve(final DoubleMatrix1D sensitivities, final Currency domesticCurrency, final Currency foreignCurrency,
final String[] curveNames, final YieldCurveBundle curves, final ConfigDBFXForwardCurveSpecificationSource fxForwardCurveSpecificationSource,
final ConfigDBFXForwardCurveDefinitionSource fxForwardCurveDefinitionSource, final LocalDate localNow, final ValueSpecification resultSpec) {
final String currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency).toString();
final FXForwardCurveSpecification fxForwardCurveSpecification = fxForwardCurveSpecificationSource.getSpecification(curveNames[0], currencyPair);
final FXForwardCurveDefinition fxForwardCurveDefinition = fxForwardCurveDefinitionSource.getDefinition(curveNames[0], currencyPair);
final FXForwardCurveInstrumentProvider curveInstrumentProvider = fxForwardCurveSpecification.getCurveInstrumentProvider();
final Tenor[] tenors = fxForwardCurveDefinition.getTenorsArray();
final int length = tenors.length;
final Double[] keys = new Double[length];
final Object[] labels = new Object[length];
final double[] values = new double[length];
if (!(curves.getCurve(curveNames[0]) instanceof YieldCurve)) { //TODO: make it more generic
throw new IllegalArgumentException("Can only handle YieldCurve");
}
final Double[] xData = ((YieldCurve) curves.getCurve(curveNames[0])).getCurve().getXData();
for (int i = 0; i < length; i++) {
keys[i] = xData[i];
labels[i] = curveInstrumentProvider.getInstrument(localNow, tenors[i]);
values[i] = sensitivities.getEntry(i);
}
final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
}
/**
* @deprecated Use {@link #getInstrumentLabelledSensitivitiesForCurve(String, YieldCurveBundle, DoubleMatrix1D, InterpolatedYieldCurveSpecificationWithSecurities, ValueSpecification)} instead
* @param forwardCurveName The forward curve name
* @param fundingCurveName The funding curve name
* @param forwardResultSpecification The forward result specification
* @param fundingResultSpecification The funding result specification
* @param bundle The bundle containing the yield curves
* @param sensitivitiesForCurves A matrix containing the sensitivities to each curve in the bundle
* @param curveSpecs The specifications for the forward and funding curves
* @return The computed value
*/
@Deprecated
public static Set<ComputedValue> getSensitivitiesForMultipleCurves(final String forwardCurveName, final String fundingCurveName, final ValueSpecification forwardResultSpecification,
final ValueSpecification fundingResultSpecification, final YieldCurveBundle bundle, final DoubleMatrix1D sensitivitiesForCurves,
final Map<String, InterpolatedYieldCurveSpecificationWithSecurities> curveSpecs) {
if (!(bundle.getCurve(forwardCurveName) instanceof YieldCurve)) { //TODO: make it more generic
throw new IllegalArgumentException("Can only handle YieldCurve");
}
final int nForward = ((YieldCurve) bundle.getCurve(forwardCurveName)).getCurve().size();
final int nFunding = ((YieldCurve) bundle.getCurve(fundingCurveName)).getCurve().size();
final Map<String, DoubleMatrix1D> sensitivities = new HashMap<>();
sensitivities.put(fundingCurveName, new DoubleMatrix1D(Arrays.copyOfRange(sensitivitiesForCurves.toArray(), 0, nFunding)));
sensitivities.put(forwardCurveName, new DoubleMatrix1D(Arrays.copyOfRange(sensitivitiesForCurves.toArray(), nFunding, nForward + nFunding)));
final Set<ComputedValue> results = new HashSet<>();
results.addAll(getSensitivitiesForCurve(bundle.getCurve(fundingCurveName), sensitivities.get(fundingCurveName), curveSpecs.get(fundingCurveName), fundingResultSpecification));
results.addAll(getSensitivitiesForCurve(bundle.getCurve(forwardCurveName), sensitivities.get(forwardCurveName), curveSpecs.get(forwardCurveName), forwardResultSpecification));
return results;
}
}