/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.curve.inflation.generator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurve;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.util.ArgumentChecker;
/**
* Store the details and generate the required curve. The curve is interpolated on the price index.
* One extra node with a given value is added at the given anchor node.
* This extra anchor is required when two translation invariant curves descriptions
* are added in a spread curve (two translations would create a singular system).
* Only the nodeTimeCalculator is stored. The node are computed from the instruments.
*/
public class GeneratorPriceIndexCurveInterpolatedAnchor extends GeneratorPriceIndexCurve {
/** Calculator of the node associated to instruments. */
private final InstrumentDerivativeVisitorAdapter<Object, Double> _nodeTimeCalculator;
/** The interpolator used for the curve. */
private final Interpolator1D _interpolator;
/** The anchor node, i.e. the X value of the node used to anchor the curve. */
private final double _anchorNode;
/** The anchor value, i.e. the Y value at the node used to anchor the curve. */
private final double _anchorValue;
/**
* Constructor.
* @param nodeTimeCalculator Calculator of the node associated to instruments.
* @param interpolator The interpolator used for the curve.
* @param anchorNode The anchor node.
* @param anchorValue The anchor value.
*/
public GeneratorPriceIndexCurveInterpolatedAnchor(
final InstrumentDerivativeVisitorAdapter<Object, Double> nodeTimeCalculator, final Interpolator1D interpolator,
final double anchorNode, final double anchorValue) {
ArgumentChecker.notNull(nodeTimeCalculator, "node time calculator");
ArgumentChecker.notNull(interpolator, "interpolator");
_nodeTimeCalculator = nodeTimeCalculator;
_interpolator = interpolator;
_anchorNode = anchorNode;
_anchorValue = anchorValue;
}
/**
* Gets the anchor node.
* @return The node
*/
public double getAnchorNode() {
return _anchorNode;
}
/**
* Gets the anchor value.
* @return The value
*/
public double getAnchorValue() {
return _anchorValue;
}
@Override
public int getNumberOfParameter() {
throw new UnsupportedOperationException("Cannot return the number of parameter for a GeneratorPriceIndexInterpolatedAnchor");
}
@Override
public PriceIndexCurve generateCurve(final String name, final double[] parameters) {
throw new UnsupportedOperationException("Cannot generate curves for a GeneratorPriceIndexInterpolatedAnchor");
}
@Override
public PriceIndexCurve generateCurve(final String name, final InflationProviderInterface multicurve, final double[] parameters) {
throw new UnsupportedOperationException("Cannot generate curves for a GeneratorCurveYieldInterpolatedAnchor");
}
/**
* The data passed should be one instrument for the anchor then one instrument for each of the nodes.
* @param data The array of instruments.
* @return The final generator.
*/
@Override
public GeneratorPriceIndexCurve finalGenerator(final Object data) {
ArgumentChecker.isTrue(data instanceof InstrumentDerivative[], "data should be an array of InstrumentDerivative");
final InstrumentDerivative[] instruments = (InstrumentDerivative[]) data;
final double[] node = new double[instruments.length];
for (int loopins = 0; loopins < instruments.length; loopins++) {
node[loopins] = instruments[loopins].accept(_nodeTimeCalculator);
}
return new GeneratorPriceIndexCurveInterpolatedAnchorNode(node, _interpolator, _anchorNode, _anchorValue);
}
}