/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.var;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.util.ArgumentChecker;
/**
*
* @param <T> The type of the data
*/
public class StudentTLinearVaRCalculator<T> implements VaRCalculator<StudentTVaRParameters, T> {
private final Function<T, Double> _meanCalculator;
private final Function<T, Double> _stdCalculator;
public StudentTLinearVaRCalculator(final Function<T, Double> meanCalculator, final Function<T, Double> stdCalculator) {
ArgumentChecker.notNull(meanCalculator, "mean calculator");
ArgumentChecker.notNull(stdCalculator, "standard deviation calculator");
_meanCalculator = meanCalculator;
_stdCalculator = stdCalculator;
}
@SuppressWarnings("unchecked")
@Override
public VaRCalculationResult evaluate(final StudentTVaRParameters parameters, final T... data) {
ArgumentChecker.notNull(parameters, "parameters");
ArgumentChecker.notNull(data, "data");
final Double value = parameters.getMult() * _stdCalculator.evaluate(data) - parameters.getScale() * _meanCalculator.evaluate(data);
// REVIEW kirk 2012-06-22 -- Is the "stdCalculator" a standard deviation calculator
// that we can use for the result?
return new VaRCalculationResult(value, null);
}
public Function<T, Double> getMeanCalculator() {
return _meanCalculator;
}
public Function<T, Double> getStandardDeviationCalculator() {
return _stdCalculator;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _meanCalculator.hashCode();
result = prime * result + _stdCalculator.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 StudentTLinearVaRCalculator<?> other = (StudentTLinearVaRCalculator<?>) obj;
return ObjectUtils.equals(_meanCalculator, other._meanCalculator) && ObjectUtils.equals(_stdCalculator, other._stdCalculator);
}
}