/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
* <p/>
* Please see distribution for license.
*/
package com.opengamma.sesame.marketdata.scenarios;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.ImmutableMap;
import com.opengamma.analytics.ShiftType;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.util.time.Tenor;
/**
* Perturbation that applies a set of shifts to a volatility surface. The same shift is applied to all points
* with equal expiry.
* <p>
* The shifts are defined as a map of expiry tenor to shift amount. This class traverses all points at a given
* tenor and applies the same shift to them.
*/
@BeanDefinition
public final class VolatilitySurfaceExpiryShifts implements Perturbation, ImmutableBean {
private static final Logger s_logger = LoggerFactory.getLogger(VolatilitySurfaceExpiryShifts.class);
/**
* Whether the shift is absolute or relative. An absolute shift adds the shift amount to the rate. Relative shifts
* are defined in terms of how much to increase or decrease the rate by. e.g. a 10% shift multiplies the rate
* by 1.1, a -20% shift multiplies the rate by 0.8. So for relative shifts the shifted
* rate is {@code (rate x (1 + shiftAmount))}.
*/
@PropertyDefinition(validate = "notNull")
private final ShiftType _shiftType;
/** The shifts to apply to the surface values, keyed by the expiry tenor of the points they are applied to. */
@PropertyDefinition(validate = "notNull")
private final Map<Tenor, Double> _shifts;
@Override
public Object apply(Object marketData, MatchDetails matchDetails) {
VolatilitySurface volSurface = (VolatilitySurface) marketData;
Surface<Double, Double, Double> surface = volSurface.getSurface();
if (!(surface instanceof InterpolatedDoublesSurface)) {
s_logger.warn(
"Unable to shift surface as it is not an InterpolatedDoublesSurface, type is {}",
surface.getClass().getName());
return marketData;
}
InterpolatedDoublesSurface dblSurface = (InterpolatedDoublesSurface) surface;
double[] shifts = new double[dblSurface.size()];
List<Tenor> expiryTenors = volSurface.getExpiryTenors();
if (expiryTenors.isEmpty()) {
s_logger.warn("Unable to shift surface '{}' as it contains no expiry information", surface.getName());
return volSurface;
}
for (int i = 0; i < dblSurface.size(); i++) {
Tenor tenor = expiryTenors.get(i);
Double shiftSize = _shifts.get(tenor);
if (shiftSize != null) {
shifts[i] = shiftSize;
} else {
shifts[i] = 0;
}
}
double[] expiries = dblSurface.getXDataAsPrimitive();
double[] strikes = dblSurface.getYDataAsPrimitive();
switch (_shiftType) {
case RELATIVE:
return volSurface.withMultipleMultiplicativeShifts(expiries, strikes, shifts);
case ABSOLUTE:
return volSurface.withMultipleAdditiveShifts(expiries, strikes, shifts);
default:
s_logger.warn("Unknown shift type {}", _shiftType);
return volSurface;
}
}
@Override
public Class<?> getMarketDataType() {
return VolatilitySurface.class;
}
@Override
public Class<? extends MatchDetails> getMatchDetailsType() {
return StandardMatchDetails.NoDetails.class;
}
@Override
public PerturbationTarget getTargetType() {
return PerturbationTarget.OUTPUT;
}
/**
* Returns an instance that will add shifts to the surface points with the specified tenors.
*
* @param shifts shift amounts that are added to the surface value at the corresponding tenor
* @return an instance that will add shifts to the surface points with the specified tenors
*/
public static VolatilitySurfaceExpiryShifts absolute(Map<Tenor, Double> shifts) {
return VolatilitySurfaceExpiryShifts.builder().shiftType(ShiftType.ABSOLUTE).shifts(shifts).build();
}
/**
* Returns an instance that will scale the surface points with the specified tenors by the shift amount.
* <p>
* Shifts are interpreted as a percentage increase or decrease. e.g. a shift of 0.1 indicates an increase
* of 10%, so the surface value will be scaled by a factor of 1.1. Similarly, a shift of -0.2 indicates
* a decrease of 20% and a scale factor of 0.8.
* <p>
* The shifted surface value is {@code (value x (1 + shift))}.
*
* @param shifts shift amounts that are used to scale the surface value at the corresponding tenor
* @return an instance that will add shifts to the surface points with the specified tenors
*/
public static VolatilitySurfaceExpiryShifts relative(Map<Tenor, Double> shifts) {
return VolatilitySurfaceExpiryShifts.builder().shiftType(ShiftType.RELATIVE).shifts(shifts).build();
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code VolatilitySurfaceExpiryShifts}.
* @return the meta-bean, not null
*/
public static VolatilitySurfaceExpiryShifts.Meta meta() {
return VolatilitySurfaceExpiryShifts.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(VolatilitySurfaceExpiryShifts.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static VolatilitySurfaceExpiryShifts.Builder builder() {
return new VolatilitySurfaceExpiryShifts.Builder();
}
private VolatilitySurfaceExpiryShifts(
ShiftType shiftType,
Map<Tenor, Double> shifts) {
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notNull(shifts, "shifts");
this._shiftType = shiftType;
this._shifts = ImmutableMap.copyOf(shifts);
}
@Override
public VolatilitySurfaceExpiryShifts.Meta metaBean() {
return VolatilitySurfaceExpiryShifts.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets whether the shift is absolute or relative. An absolute shift adds the shift amount to the rate. Relative shifts
* are defined in terms of how much to increase or decrease the rate by. e.g. a 10% shift multiplies the rate
* by 1.1, a -20% shift multiplies the rate by 0.8. So for relative shifts the shifted
* rate is {@code (rate x (1 + shiftAmount))}.
* @return the value of the property, not null
*/
public ShiftType getShiftType() {
return _shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the shifts to apply to the surface values, keyed by the expiry tenor of the points they are applied to.
* @return the value of the property, not null
*/
public Map<Tenor, Double> getShifts() {
return _shifts;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
VolatilitySurfaceExpiryShifts other = (VolatilitySurfaceExpiryShifts) obj;
return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) &&
JodaBeanUtils.equal(getShifts(), other.getShifts());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType());
hash = hash * 31 + JodaBeanUtils.hashCode(getShifts());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("VolatilitySurfaceExpiryShifts{");
buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(getShifts()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code VolatilitySurfaceExpiryShifts}.
*/
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 shiftType} property.
*/
private final MetaProperty<ShiftType> _shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", VolatilitySurfaceExpiryShifts.class, ShiftType.class);
/**
* The meta-property for the {@code shifts} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<Map<Tenor, Double>> _shifts = DirectMetaProperty.ofImmutable(
this, "shifts", VolatilitySurfaceExpiryShifts.class, (Class) Map.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shifts");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
}
return super.metaPropertyGet(propertyName);
}
@Override
public VolatilitySurfaceExpiryShifts.Builder builder() {
return new VolatilitySurfaceExpiryShifts.Builder();
}
@Override
public Class<? extends VolatilitySurfaceExpiryShifts> beanType() {
return VolatilitySurfaceExpiryShifts.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return _metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shiftType} property.
* @return the meta-property, not null
*/
public MetaProperty<ShiftType> shiftType() {
return _shiftType;
}
/**
* The meta-property for the {@code shifts} property.
* @return the meta-property, not null
*/
public MetaProperty<Map<Tenor, Double>> shifts() {
return _shifts;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((VolatilitySurfaceExpiryShifts) bean).getShiftType();
case -903338959: // shifts
return ((VolatilitySurfaceExpiryShifts) bean).getShifts();
}
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 VolatilitySurfaceExpiryShifts}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<VolatilitySurfaceExpiryShifts> {
private ShiftType _shiftType;
private Map<Tenor, Double> _shifts = new HashMap<Tenor, Double>();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(VolatilitySurfaceExpiryShifts beanToCopy) {
this._shiftType = beanToCopy.getShiftType();
this._shifts = new HashMap<Tenor, Double>(beanToCopy.getShifts());
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this._shiftType = (ShiftType) newValue;
break;
case -903338959: // shifts
this._shifts = (Map<Tenor, Double>) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty<?> property, Object value) {
super.set(property, value);
return this;
}
@Override
public Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public VolatilitySurfaceExpiryShifts build() {
return new VolatilitySurfaceExpiryShifts(
_shiftType,
_shifts);
}
//-----------------------------------------------------------------------
/**
* Sets the {@code shiftType} property in the builder.
* @param shiftType the new value, not null
* @return this, for chaining, not null
*/
public Builder shiftType(ShiftType shiftType) {
JodaBeanUtils.notNull(shiftType, "shiftType");
this._shiftType = shiftType;
return this;
}
/**
* Sets the {@code shifts} property in the builder.
* @param shifts the new value, not null
* @return this, for chaining, not null
*/
public Builder shifts(Map<Tenor, Double> shifts) {
JodaBeanUtils.notNull(shifts, "shifts");
this._shifts = shifts;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("VolatilitySurfaceExpiryShifts.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(_shifts));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}