/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import java.util.LinkedHashMap;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Lists;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.index.RateIndex;
import com.opengamma.strata.collect.ArgChecker;
/**
* A mutable builder for creating instances of {@code CurveGroupDefinition}.
*/
@SuppressWarnings("unchecked")
public final class CurveGroupDefinitionBuilder {
/**
* The name of the curve group.
*/
private CurveGroupName name;
/**
* The entries in the curve group.
*/
private final Map<CurveName, CurveGroupEntry> entries;
/**
* The definitions specifying how the curves are calibrated.
*/
private final Map<CurveName, NodalCurveDefinition> curveDefinitions;
/**
* The definitions specifying which seasonality should be used some some price index curves.
*/
private final Map<CurveName, SeasonalityDefinition> seasonalityDefinitions;
/**
* Flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
* The default value is 'true'.
*/
private boolean computeJacobian = true;
/**
* Flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not.
* The default value is 'false'.
*/
private boolean computePvSensitivityToMarketQuote;
CurveGroupDefinitionBuilder() {
this.entries = new LinkedHashMap<>();
this.curveDefinitions = new LinkedHashMap<>();
this.seasonalityDefinitions = new LinkedHashMap<>();
}
CurveGroupDefinitionBuilder(
CurveGroupName name,
Map<CurveName, CurveGroupEntry> entries,
Map<CurveName, NodalCurveDefinition> curveDefinitions,
Map<CurveName, SeasonalityDefinition> seasonalityDefinitions,
boolean computeJacobian,
boolean computePvSensitivityToMarketQuote) {
this.name = name;
this.entries = entries;
this.curveDefinitions = curveDefinitions;
this.seasonalityDefinitions = seasonalityDefinitions;
this.computeJacobian = computeJacobian;
this.computePvSensitivityToMarketQuote = computePvSensitivityToMarketQuote;
}
//-------------------------------------------------------------------------
/**
* Sets the name of the curve group definition.
*
* @param name the name of the curve group, not empty
* @return this builder
*/
public CurveGroupDefinitionBuilder name(CurveGroupName name) {
this.name = ArgChecker.notNull(name, "name");
return this;
}
/**
* Sets the 'compute Jacobian' flag of the curve group definition.
*
* @param computeJacobian the flag indicating if the Jacobian matrices should be
* computed and stored in metadata or not
* @return this builder
*/
public CurveGroupDefinitionBuilder computeJacobian(boolean computeJacobian) {
this.computeJacobian = computeJacobian;
return this;
}
/**
* Sets the 'compute PV sensitivity to market quote' flag of the curve group definition.
* <p>
* If set, the Jacobian matrices will also be calculated, even if not requested.
*
* @param computePvSensitivityToMarketQuote the flag indicating if present value sensitivity
* to market quotes should be computed and stored in metadata or not
* @return this builder
*/
public CurveGroupDefinitionBuilder computePvSensitivityToMarketQuote(boolean computePvSensitivityToMarketQuote) {
this.computePvSensitivityToMarketQuote = computePvSensitivityToMarketQuote;
return this;
}
//-------------------------------------------------------------------------
/**
* Adds the definition of a discount curve to the curve group definition.
*
* @param curveDefinition the discount curve configuration
* @param otherCurrencies additional currencies for which the curve can provide discount factors
* @param currency the currency for which the curve provides discount rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addDiscountCurve(
NodalCurveDefinition curveDefinition,
Currency currency,
Currency... otherCurrencies) {
ArgChecker.notNull(curveDefinition, "curveDefinition");
ArgChecker.notNull(currency, "currency");
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveDefinition.getName())
.discountCurrencies(ImmutableSet.copyOf(Lists.asList(currency, otherCurrencies)))
.build();
return merge(entry, curveDefinition);
}
/**
* Adds the definition of a discount curve to the curve group definition.
* <p>
* A curve added with this method cannot be calibrated by the market data system as it does not include
* a curve definition. It is intended to be used with curves which are supplied by the user.
*
* @param curveName the name of the curve
* @param otherCurrencies additional currencies for which the curve can provide discount factors
* @param currency the currency for which the curve provides discount rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addDiscountCurve(
CurveName curveName,
Currency currency,
Currency... otherCurrencies) {
ArgChecker.notNull(curveName, "curveName");
ArgChecker.notNull(currency, "currency");
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveName)
.discountCurrencies(ImmutableSet.copyOf(Lists.asList(currency, otherCurrencies)))
.build();
return mergeEntry(entry);
}
//-------------------------------------------------------------------------
/**
* Adds the definition of a forward curve to the curve group definition.
*
* @param curveDefinition the definition of the forward curve
* @param index the index for which the curve provides forward rates
* @param otherIndices the additional indices for which the curve provides forward rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addForwardCurve(
NodalCurveDefinition curveDefinition,
Index index,
Index... otherIndices) {
ArgChecker.notNull(curveDefinition, "curveDefinition");
ArgChecker.notNull(index, "index");
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveDefinition.getName())
.indices(indices(index, otherIndices))
.build();
return merge(entry, curveDefinition);
}
/**
* Adds the definition of a forward curve to the curve group definition.
* <p>
* A curve added with this method cannot be calibrated by the market data system as it does not include
* a curve definition. It is intended to be used with curves which are supplied by the user.
*
* @param curveName the name of the curve
* @param index the index for which the curve provides forward rates
* @param otherIndices the additional indices for which the curve provides forward rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addForwardCurve(
CurveName curveName,
Index index,
Index... otherIndices) {
ArgChecker.notNull(curveName, "curveName");
ArgChecker.notNull(index, "index");
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveName)
.indices(indices(index, otherIndices))
.build();
return mergeEntry(entry);
}
//-------------------------------------------------------------------------
/**
* Adds the definition of a curve to the curve group definition which is used to provide
* discount rates and forward rates.
*
* @param curveDefinition the definition of the forward curve
* @param currency the currency for which the curve provides discount rates
* @param index the index for which the curve provides forward rates
* @param otherIndices the additional indices for which the curve provides forward rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addCurve(
NodalCurveDefinition curveDefinition,
Currency currency,
RateIndex index,
RateIndex... otherIndices) {
ArgChecker.notNull(curveDefinition, "curveDefinition");
ArgChecker.notNull(currency, "currency");
ArgChecker.notNull(index, "index");
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveDefinition.getName())
.discountCurrencies(ImmutableSet.of(currency))
.indices(indices(index, otherIndices))
.build();
return merge(entry, curveDefinition);
}
/**
* Adds a curve to the curve group definition which is used to provide discount rates and forward rates.
* <p>
* A curve added with this method cannot be calibrated by the market data system as it does not include
* a curve definition. It is intended to be used with curves which are supplied by the user.
*
* @param curveName the name of the curve
* @param currency the currency for which the curve provides discount rates
* @param index the index for which the curve provides forward rates
* @param otherIndices the additional indices for which the curve provides forward rates
* @return this builder
*/
public CurveGroupDefinitionBuilder addCurve(
CurveName curveName,
Currency currency,
RateIndex index,
RateIndex... otherIndices) {
CurveGroupEntry entry = CurveGroupEntry.builder()
.curveName(curveName)
.discountCurrencies(ImmutableSet.of(currency))
.indices(indices(index, otherIndices))
.build();
return mergeEntry(entry);
}
/**
* Adds a seasonality to the curve group definition.
*
* @param curveName the name of the curve
* @param seasonalityDefinition the seasonality associated to the curve
* @return this builder
*/
public CurveGroupDefinitionBuilder addSeasonality(
CurveName curveName,
SeasonalityDefinition seasonalityDefinition) {
seasonalityDefinitions.put(curveName, seasonalityDefinition);
return this;
}
private CurveGroupDefinitionBuilder merge(CurveGroupEntry newEntry, NodalCurveDefinition curveDefinition) {
curveDefinitions.put(curveDefinition.getName(), curveDefinition);
return mergeEntry(newEntry);
}
// merges the specified entry with those already stored
private CurveGroupDefinitionBuilder mergeEntry(CurveGroupEntry newEntry) {
CurveName curveName = newEntry.getCurveName();
CurveGroupEntry existingEntry = entries.get(curveName);
CurveGroupEntry entry = existingEntry == null ? newEntry : existingEntry.merge(newEntry);
entries.put(curveName, entry);
return this;
}
/**
* Returns a set containing any Ibor indices in the arguments.
*/
private static Set<Index> indices(Index index, Index... otherIndices) {
// The type parameter is needed for the benefit of the Eclipse compiler
return ImmutableSet.<Index>builder().add(index).add(otherIndices).build();
}
//-------------------------------------------------------------------------
/**
* Builds the definition of the curve group from the data in this object.
*
* @return the definition of the curve group built from the data in this object
*/
public CurveGroupDefinition build() {
// note that this defaults the jacobian flag based on the market quote flag
return new CurveGroupDefinition(
name,
entries.values(),
curveDefinitions.values(),
seasonalityDefinitions,
computeJacobian || computePvSensitivityToMarketQuote,
computePvSensitivityToMarketQuote);
}
}