/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.var.parametric;
import java.util.Map;
import org.apache.commons.lang.ObjectUtils;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.Matrix;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
/**
*
*/
public class DeltaGammaCovarianceMatrixStandardDeviationCalculator extends Function1D<Map<Integer, ParametricVaRDataBundle>, Double> {
private final MatrixAlgebra _algebra;
public DeltaGammaCovarianceMatrixStandardDeviationCalculator(final MatrixAlgebra algebra) {
Validate.notNull(algebra);
_algebra = algebra;
}
@Override
public Double evaluate(final Map<Integer, ParametricVaRDataBundle> data) {
Validate.notNull(data);
final ParametricVaRDataBundle firstOrderData = data.get(1);
final ParametricVaRDataBundle secondOrderData = data.get(2);
double deltaStd = 0;
double gammaStd = 0;
if (firstOrderData != null) {
final DoubleMatrix1D delta = (DoubleMatrix1D) firstOrderData.getSensitivities();
final DoubleMatrix2D deltaCovariance = firstOrderData.getCovarianceMatrix();
deltaStd = _algebra.getInnerProduct(delta, _algebra.multiply(deltaCovariance, delta));
}
if (secondOrderData != null) {
final Matrix<?> gamma = secondOrderData.getSensitivities();
final DoubleMatrix2D gammaCovariance = secondOrderData.getCovarianceMatrix();
gammaStd = 0.5 * _algebra.getTrace(_algebra.getPower(_algebra.multiply(gamma, gammaCovariance), 2));
}
return Math.sqrt(deltaStd + gammaStd);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _algebra.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 DeltaGammaCovarianceMatrixStandardDeviationCalculator other = (DeltaGammaCovarianceMatrixStandardDeviationCalculator) obj;
return ObjectUtils.equals(_algebra, other._algebra);
}
}