/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.inflationissuer;
import java.util.Set;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.description.inflation.InflationIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.ArgumentChecker;
/**
* For an instrument, computes the sensitivity of double value (often par spread) to the parameters used in the curve.
* The meaning of "parameters" will depend of the way the curve is stored (interpolated yield, function parameters, etc.) and also on the way
* the parameters sensitivities are aggregated (the same parameter can be used in several curves).
* The output is a DoubleMatrix1D.
*/
public abstract class ParameterSensitivityInflationIssuerMatrixProviderAbstractCalculator {
/**
* The sensitivity calculator to compute the sensitivity of the value with respect to the zero-coupon continuously compounded rates at different times for the discounting curve
* and with respect to forward rates for the forward curves.
*/
private final InstrumentDerivativeVisitor<ParameterInflationIssuerProviderInterface, InflationSensitivity> _curveSensitivityCalculator;
/**
* The constructor from a curve sensitivity calculator.
* @param curveSensitivityCalculator The calculator.
*/
public ParameterSensitivityInflationIssuerMatrixProviderAbstractCalculator(
final InstrumentDerivativeVisitor<ParameterInflationIssuerProviderInterface,
InflationSensitivity> curveSensitivityCalculator) {
ArgumentChecker.notNull(curveSensitivityCalculator, "Sensitivity calculator");
_curveSensitivityCalculator = curveSensitivityCalculator;
}
/**
* Computes the sensitivity with respect to the parameters.
* The sensitivities are stored in a DoubleMatrix1D in the order of the currencies and indexes.
* @param instrument The instrument. Not null.
* @param inflationCurves The inflation provider. Not null.
* The sensitivity with respect to the curves in the fixedCurves list will not be part of the output total sensitivity. Not null.
* @param curvesSet The set of curves for which the sensitivity will be computed. The multi-curve may contain more curves and other curves can be in the
* instrument sensitivity but only the one in the set will be in the output. The curve order in the output is the set order.
* @return The sensitivity (as a DoubleMatrix1D).
*/
public DoubleMatrix1D calculateSensitivity(final InstrumentDerivative instrument, final InflationIssuerProviderInterface inflationCurves, final Set<String> curvesSet) {
Validate.notNull(instrument, "null InterestRateDerivative");
Validate.notNull(inflationCurves, "null inflationcurves");
Validate.notNull(curvesSet, "null curves set");
InflationSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, inflationCurves);
sensitivity = sensitivity.cleaned();
return pointToParameterSensitivity(sensitivity, inflationCurves, curvesSet);
}
/**
* Computes the sensitivity with respect to the parameters from the point sensitivities.
* @param sensitivity The point sensitivity.
* @param inflation The inflation provider. Not null.
* @param curvesSet The set of curves for which the sensitivity will be computed. Not null.
* @return The sensitivity (as a DoubleMatrix1D).
*/
public abstract DoubleMatrix1D pointToParameterSensitivity(final InflationSensitivity sensitivity, final InflationIssuerProviderInterface inflation, final Set<String> curvesSet);
}