/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.inflation;
import java.util.Collections;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeSet;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class describing a "market" with discounting, forward, price index and credit curves.
* The forward rate are computed as the ratio of discount factors stored in {@link YieldAndDiscountCurve}.
*/
public class InflationProviderDiscount implements InflationProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderDiscount _multicurveProvider;
/**
* A map with one price curve by price index.
*/
private final Map<IndexPrice, PriceIndexCurve> _priceIndexCurves;
/**
* Map of all inflation curves used in the provider.
*/
private Map<String, PriceIndexCurve> _allPriceIndexCurves;
/**
* Constructs an empty multi-curve provider and price index curve map.
*/
public InflationProviderDiscount() {
_multicurveProvider = new MulticurveProviderDiscount();
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Constructor with empty maps for discounting, forward and price index curves.
* @param fxMatrix The FXMatrix, not null
*/
public InflationProviderDiscount(final FXMatrix fxMatrix) {
_multicurveProvider = new MulticurveProviderDiscount(fxMatrix);
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Constructor from an existing market. The given market maps are used for the new market (the same maps are used, not copied).
* @param discountingCurves A map with one (discounting) curve by currency, not null
* @param forwardIborCurves A map with one (forward) curve by Ibor index, not null
* @param forwardONCurves A map with one (forward) curve by ON index, not null
* @param priceIndexCurves A map with one price curve by price index, not null
* @param fxMatrix The FXMatrix.
*/
//TODO there is no guarantee that the maps are LinkedHashMaps, which could lead to unexpected behaviour
public InflationProviderDiscount(final Map<Currency, YieldAndDiscountCurve> discountingCurves, final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves,
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves, final Map<IndexPrice, PriceIndexCurve> priceIndexCurves, final FXMatrix fxMatrix) {
ArgumentChecker.notNull(priceIndexCurves, "price index curve");
_multicurveProvider = new MulticurveProviderDiscount(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
_priceIndexCurves = priceIndexCurves;
setInflationCurves();
}
/**
* Constructor from an existing market without price index (inflation) curve. The given market maps are used for the new market (the same maps are used, not copied).
* @param discountingCurves A map with one (discounting) curve by currency, not null
* @param forwardIborCurves A map with one (forward) curve by Ibor index, not null
* @param forwardONCurves A map with one (forward) curve by ON index, not null
* @param fxMatrix The FXMatrix.
*/
public InflationProviderDiscount(final Map<Currency, YieldAndDiscountCurve> discountingCurves, final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves,
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves, final FXMatrix fxMatrix) {
_multicurveProvider = new MulticurveProviderDiscount(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Constructor from existing multicurveProvider and inflation map. The given provider and map are used for the new provider (the same maps are used, not copied).
* @param multicurve The multi-curves provider, not null
* @param priceIndexCurves The map with price index curves, not null
*/
//TODO there is no guarantee that the map is a LinkedHashMap, which could lead to unexpected behaviour
public InflationProviderDiscount(final MulticurveProviderDiscount multicurve, final Map<IndexPrice, PriceIndexCurve> priceIndexCurves) {
ArgumentChecker.notNull(multicurve, "multicurve");
ArgumentChecker.notNull(priceIndexCurves, "priceIndexCurves");
_multicurveProvider = multicurve;
_priceIndexCurves = priceIndexCurves;
setInflationCurves();
}
/**
* Constructor from existing multi-curve provider. The given provider and map are used for the new provider (the same maps are used, not copied).
* @param multicurve The multi-curves provider, not null
*/
public InflationProviderDiscount(final MulticurveProviderDiscount multicurve) {
ArgumentChecker.notNull(multicurve, "multicurve");
_multicurveProvider = multicurve;
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Adds all inflation curves to a map with (curve name, curve) elements.
*/
private void setInflationCurves() {
_allPriceIndexCurves = new LinkedHashMap<>();
final Set<IndexPrice> inflationIndexSet = _priceIndexCurves.keySet();
for (final IndexPrice index : inflationIndexSet) {
final String name = _priceIndexCurves.get(index).getName();
_allPriceIndexCurves.put(name, _priceIndexCurves.get(index));
}
}
@Override
public InflationProviderDiscount copy() {
final MulticurveProviderDiscount multicurveProvider = _multicurveProvider.copy();
final LinkedHashMap<IndexPrice, PriceIndexCurve> priceIndexCurves = new LinkedHashMap<>(_priceIndexCurves);
return new InflationProviderDiscount(multicurveProvider, priceIndexCurves);
}
@Override
public double getPriceIndex(final IndexPrice index, final Double time) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index).getPriceIndex(time);
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
@Override
public String getName(final IndexPrice index) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index).getName();
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
/**
* Gets the price index curve associated to a given price index in the market.
* @param index The Price index.
* @return The curve.
*/
public PriceIndexCurve getCurve(final IndexPrice index) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index);
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
/**
* Gets the price index curve associated to a given name.
* @param name The name of the Price index.
* @return The curve.
*/
public PriceIndexCurve getCurve(final String name) {
return _allPriceIndexCurves.get(name);
}
@Override
public Set<IndexPrice> getPriceIndexes() {
return _priceIndexCurves.keySet();
}
/**
* Gets the price index curve map. keys are PriceIndex
* @return An unmodifiable copy of the price index curve map
*/
public Map<IndexPrice, PriceIndexCurve> getPriceIndexCurves() {
return Collections.unmodifiableMap(_priceIndexCurves);
}
/**
* Sets the price index curve for a price index.
* @param index The price index.
* @param curve The curve.
*/
public void setCurve(final IndexPrice index, final PriceIndexCurve curve) {
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(curve, "curve");
if (_priceIndexCurves.containsKey(index)) {
throw new IllegalArgumentException("Price index curve already set: " + index.toString());
}
_priceIndexCurves.put(index, curve);
setInflationCurves();
}
@Override
public MulticurveProviderDiscount getMulticurveProvider() {
return _multicurveProvider;
}
/**
* Returns a new provider with the curve for a price index replaced by the input curve.
* @param index The index, not null
* @param replacement The replacement curve, not null
* @return A new provider with the curve replaced
*/
public InflationProviderDiscount withPriceIndex(final IndexPrice index, final PriceIndexCurve replacement) {
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(replacement, "replacement");
final Map<IndexPrice, PriceIndexCurve> newPriceIndexCurves = new LinkedHashMap<>(_priceIndexCurves);
newPriceIndexCurves.put(index, replacement);
final InflationProviderDiscount decorated = new InflationProviderDiscount(_multicurveProvider, newPriceIndexCurves);
return decorated;
}
// ===== Methods related to MulticurveProvider =====
@Override
public double getDiscountFactor(final Currency ccy, final Double time) {
return _multicurveProvider.getDiscountFactor(ccy, time);
}
@Override
public String getName(final Currency ccy) {
return _multicurveProvider.getName(ccy);
}
@Override
public Set<Currency> getCurrencies() {
return _multicurveProvider.getCurrencies();
}
@Override
public double getForwardRate(final IborIndex index, final double startTime, final double endTime, final double accrualFactor) {
return _multicurveProvider.getSimplyCompoundForwardRate(index, startTime, endTime, accrualFactor);
}
@Override
public String getName(final IborIndex index) {
return _multicurveProvider.getName(index);
}
@Override
public Set<IborIndex> getIndexesIbor() {
return _multicurveProvider.getIndexesIbor();
}
@Override
public double getForwardRate(final IndexON index, final double startTime, final double endTime, final double accrualFactor) {
return _multicurveProvider.getSimplyCompoundForwardRate(index, startTime, endTime, accrualFactor);
}
@Override
public String getName(final IndexON index) {
return _multicurveProvider.getName(index);
}
@Override
public Set<IndexON> getIndexesON() {
return _multicurveProvider.getIndexesON();
}
/**
* Gets the discounting curve associated in a given currency in the market.
* @param ccy The currency.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final Currency ccy) {
return _multicurveProvider.getCurve(ccy);
}
/**
* Gets the forward curve associated to a given Ibor index in the market.
* @param index The Ibor index.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final IborIndex index) {
return _multicurveProvider.getCurve(index);
}
/**
* Gets the forward curve associated to a given ON index in the market.
* @param index The ON index.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final IndexON index) {
return _multicurveProvider.getCurve(index);
}
@Override
public Set<String> getAllCurveNames() {
final TreeSet<String> allNames = new TreeSet<>(_multicurveProvider.getAllCurveNames());
allNames.addAll(_allPriceIndexCurves.keySet());
return Collections.unmodifiableSortedSet(allNames);
}
@Override
public Set<String> getAllNames() {
return getAllCurveNames();
}
/**
* Sets the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
*/
public void setCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
_multicurveProvider.setCurve(ccy, curve);
}
/**
* Sets the curve associated to an Ibor index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IborIndex index, final YieldAndDiscountCurve curve) {
_multicurveProvider.setCurve(index, curve);
}
/**
* Sets the curve associated to an ON index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IndexON index, final YieldAndDiscountCurve curve) {
_multicurveProvider.setCurve(index, curve);
}
/**
* Set all the curves contains in another bundle. If a currency or index is already present in the map, the associated curve is changed.
* @param other The other bundle.
*/
// TODO: REVIEW: Should we check that the curve are already present?
public void setAll(final InflationProviderDiscount other) {
ArgumentChecker.notNull(other, "Inflation provider");
_multicurveProvider.setAll(other.getMulticurveProvider());
_priceIndexCurves.putAll(other._priceIndexCurves);
setInflationCurves();
}
/**
* Replaces the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
_multicurveProvider.replaceCurve(ccy, curve);
}
/**
* Replaces the forward curve for a given index.
* @param index The index.
* @param curve The yield curve used for forward.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final IborIndex index, final YieldAndDiscountCurve curve) {
_multicurveProvider.replaceCurve(index, curve);
}
/**
* Replaces the discounting curve for a price index.
* @param index The price index.
* @param curve The price curve for the index.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final IndexPrice index, final PriceIndexCurve curve) {
ArgumentChecker.notNull(index, "Price index");
ArgumentChecker.notNull(curve, "curve");
if (!_priceIndexCurves.containsKey(index)) {
throw new IllegalArgumentException("Price index curve not in set: " + index);
}
_priceIndexCurves.put(index, curve);
}
@Override
public Integer getNumberOfParameters(final String name) {
final PriceIndexCurve inflationCurve = _allPriceIndexCurves.get(name);
final YieldAndDiscountCurve curve = _multicurveProvider.getCurve(name);
if (inflationCurve != null) {
return inflationCurve.getNumberOfParameters();
} else if (curve != null) {
return curve.getNumberOfParameters();
}
throw new UnsupportedOperationException("Cannot return the number of parameter for a null curve");
}
/**
* Return the number of intrinsic parameters for the definition of the curve.
* Which is the total number of parameters minus the parameters of the curves in curvesNames (If they are in curves).
* @param name the name of the curve.
* @param curvesNames The list of curves names.
* @return The number of parameters.
*/
public Integer getNumberOfIntrinsicParameters(final String name, final Set<String> curvesNames) {
final PriceIndexCurve inflationCurve = _allPriceIndexCurves.get(name);
final YieldAndDiscountCurve curve = _multicurveProvider.getCurve(name);
if (inflationCurve != null) {
return inflationCurve.getNumberOfIntrinsicParameters(curvesNames);
} else if (curve != null) {
return curve.getNumberOfIntrinsicParameters(curvesNames);
}
throw new UnsupportedOperationException("Cannot return the number of parameter for a null curve");
}
@Override
public List<String> getUnderlyingCurvesNames(final String name) {
final PriceIndexCurve inflationCurve = _allPriceIndexCurves.get(name);
final YieldAndDiscountCurve curve = _multicurveProvider.getCurve(name);
if (inflationCurve != null) {
return inflationCurve.getUnderlyingCurvesNames();
} else if (curve != null) {
return curve.getUnderlyingCurvesNames();
}
throw new UnsupportedOperationException("Cannot return the number of parameter for a null curve");
}
@Override
public double getFxRate(final Currency ccy1, final Currency ccy2) {
return _multicurveProvider.getFxRate(ccy1, ccy2);
}
/**
* Gets the underlying FXMatrix containing the exchange rates.
* @return The matrix.
*/
@Override
public FXMatrix getFxRates() {
return _multicurveProvider.getFxRates();
}
@Override
public InflationProviderDiscount withDiscountFactor(final Currency ccy, final YieldAndDiscountCurve replacement) {
final MulticurveProviderDiscount decoratedMulticurve = _multicurveProvider.withDiscountFactor(ccy, replacement);
return new InflationProviderDiscount(decoratedMulticurve, _priceIndexCurves);
}
@Override
public InflationProviderDiscount withForward(final IborIndex index, final YieldAndDiscountCurve replacement) {
final MulticurveProviderDiscount decoratedMulticurve = _multicurveProvider.withForward(index, replacement);
return new InflationProviderDiscount(decoratedMulticurve, _priceIndexCurves);
}
@Override
public InflationProviderDiscount withForward(final IndexON index, final YieldAndDiscountCurve replacement) {
final MulticurveProviderDiscount decoratedMulticurve = _multicurveProvider.withForward(index, replacement);
return new InflationProviderDiscount(decoratedMulticurve, _priceIndexCurves);
}
@Override
public double[] parameterInflationSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
final PriceIndexCurve curve = _allPriceIndexCurves.get(name);
if (curve == null) {
return _multicurveProvider.parameterSensitivity(name, pointSensitivity);
}
final int nbParameters = curve.getNumberOfParameters();
final double[] result = new double[nbParameters];
if (pointSensitivity != null && pointSensitivity.size() > 0) {
for (final DoublesPair timeAndS : pointSensitivity) {
final double[] sensi1Point = curve.getPriceIndexParameterSensitivity(timeAndS.getFirst());
for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
result[loopparam] += timeAndS.getSecond() * sensi1Point[loopparam];
}
}
}
return result;
}
@Override
public InflationProviderInterface getInflationProvider() {
return this;
}
@Override
public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
return _multicurveProvider.parameterSensitivity(name, pointSensitivity);
}
@Override
public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
final PriceIndexCurve curve = _allPriceIndexCurves.get(name);
if (curve == null) {
return _multicurveProvider.parameterForwardSensitivity(name, pointSensitivity);
}
final int nbParameters = curve.getNumberOfParameters();
final double[] result = new double[nbParameters];
return result;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _multicurveProvider.hashCode();
result = prime * result + _priceIndexCurves.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof InflationProviderDiscount)) {
return false;
}
final InflationProviderDiscount other = (InflationProviderDiscount) obj;
if (!ObjectUtils.equals(_multicurveProvider, other._multicurveProvider)) {
return false;
}
if (!ObjectUtils.equals(_priceIndexCurves, other._priceIndexCurves)) {
return false;
}
return true;
}
}