/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate.definition;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
import java.util.Arrays;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.util.ArgumentChecker;
/**
* Parameters related to the G2++ model (equivalent to Hull-White two factors) with piecewise constant volatility.
* Reference: Brigo D. anf Mercurio F. Interest Rate Models: Theory and practice. 2001 - Section 4.2.
*/
public class G2ppPiecewiseConstantParameters {
/**
* The mean reversion speed parameters (two parameters).
*/
private final double[] _meanReversion;
/**
* The volatility parameters. The volatility is constant between the volatility times. Volatility in t is _volatility[i] for t between _volatilityTime[i] and _volatilityTime[i+1].
* There are two volatility list, one for each factor.
*/
private final DoubleArrayList[] _volatility = new DoubleArrayList[2];
/**
* The times separating the constant volatility periods. The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity).
* The extra time are added in the constructor.
*/
private final DoubleArrayList _volatilityTime;
/**
* The model correlation.
*/
private final double _correlation;
/**
* The time used to represent infinity.
*/
private static final double VOLATILITY_TIME_INFINITY = 1000.0;
/**
* Constructor from the model parameters.
* @param meanReversion The mean reversion speed (2) parameters.
* @param volatility The volatility parameters. There are two volatility list, one for each factor.
* @param volatilityTime The times separating the constant volatility periods.
* @param correlation The model correlation.
*/
public G2ppPiecewiseConstantParameters(final double[] meanReversion, final double[][] volatility, final double[] volatilityTime, final double correlation) {
ArgumentChecker.notNull(meanReversion, "mean reversion");
ArgumentChecker.notNull(volatility, "volatility");
ArgumentChecker.notNull(volatilityTime, "volatility time");
ArgumentChecker.isTrue(meanReversion.length == 2, "Two mean reversions required");
ArgumentChecker.isTrue(volatility.length == 2, "Two volatility arrays required");
ArgumentChecker.isTrue(volatility[0].length == volatility[1].length, "Volatility length");
ArgumentChecker.isTrue(volatility[0].length == volatilityTime.length + 1, "Number of times incorrect; had {}, need {}", volatilityTime.length + 1, volatility[0].length);
_meanReversion = meanReversion;
_volatility[0] = new DoubleArrayList(volatility[0]);
_volatility[1] = new DoubleArrayList(volatility[1]);
final double[] volatilityTimeArray = new double[volatilityTime.length + 2];
volatilityTimeArray[0] = 0.0;
volatilityTimeArray[volatilityTime.length + 1] = VOLATILITY_TIME_INFINITY;
System.arraycopy(volatilityTime, 0, volatilityTimeArray, 1, volatilityTime.length);
_volatilityTime = new DoubleArrayList(volatilityTimeArray);
// TODO: check that the time are increasing.
_correlation = correlation;
}
/**
* Gets the mean reversion speed parameters.
* @return The mean reversion speed parameters.
*/
public double[] getMeanReversion() {
return _meanReversion;
}
/**
* Gets the volatility parameters.
* @return The volatility parameters.
*/
public DoubleArrayList[] getVolatility() {
return _volatility;
}
/**
* Sets the volatility parameters.
* @param volatility The volatility parameters.
*/
public void setVolatility(final double[][] volatility) {
ArgumentChecker.isTrue(volatility.length == 2, "Two volatility arrays required");
ArgumentChecker.isTrue(volatility[0].length == volatility[1].length, "Volatility length");
ArgumentChecker.isTrue(volatility[0].length == _volatilityTime.size() - 1, "Volatility length");
_volatility[0] = new DoubleArrayList(volatility[0]);
_volatility[1] = new DoubleArrayList(volatility[1]);
}
/**
* Gets the correlation.
* @return The correlation
*/
public double getCorrelation() {
return _correlation;
}
/**
* Gets the times separating the constant volatility periods.
* @return The times.
*/
public double[] getVolatilityTime() {
return _volatilityTime.toDoubleArray();
}
/**
* Gets the last volatility of the volatility list.
* @return The last volatility.
*/
public double[] getLastVolatilities() {
return new double[] {_volatility[0].get(_volatility[0].size() - 1), _volatility[1].get(_volatility[1].size() - 1)};
}
/**
* Sets the last volatilities of the volatility lists.
* @param volatility The replacing volatility.
*/
public void setLastVolatilities(final double[] volatility) {
ArgumentChecker.isTrue(volatility.length == 2, "Two volatilities required");
_volatility[0].set(_volatility[0].size() - 1, volatility[0]);
_volatility[1].set(_volatility[1].size() - 1, volatility[1]);
}
/**
* Add an extra volatilities and volatility time at the end of the lists.
* @param volatility The volatilities. Array of dimension 2.
* @param volatilityTime The times separating the constant volatility periods. Must be larger than the previous one.
*/
public void addVolatility(final double[] volatility, final double volatilityTime) {
ArgumentChecker.isTrue(volatility.length == 2, "Two volatilities required");
ArgumentChecker.isTrue(volatilityTime > _volatilityTime.get(_volatilityTime.size() - 2), "Volatility times should be increasing");
_volatility[0].add(volatility[0]);
_volatility[1].add(volatility[1]);
_volatilityTime.set(_volatilityTime.size() - 1, volatilityTime);
_volatilityTime.add(VOLATILITY_TIME_INFINITY);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_correlation);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + Arrays.hashCode(_meanReversion);
result = prime * result + Arrays.hashCode(_volatility);
result = prime * result + _volatilityTime.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final G2ppPiecewiseConstantParameters other = (G2ppPiecewiseConstantParameters) obj;
if (Double.doubleToLongBits(_correlation) != Double.doubleToLongBits(other._correlation)) {
return false;
}
if (!Arrays.equals(_meanReversion, other._meanReversion)) {
return false;
}
if (!Arrays.equals(_volatility, other._volatility)) {
return false;
}
if (!ObjectUtils.equals(_volatilityTime, other._volatilityTime)) {
return false;
}
return true;
}
}