/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.multicurve;
import java.util.Iterator;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.ircurve.strips.CurveNode;
import com.opengamma.util.ArgumentChecker;
/**
* Utilities for results calculated using multi-curves.
*/
public class MultiCurveUtils {
/**
* Converts a {@link DoubleMatrix1D} of yield curve node sensitivities to a {@link DoubleLabelledMatrix1D},
* where the labels are the names of the {@link CurveNode} or the node class name and maturity tenor if
* this value is null
* @param sensitivities The matrix of sensitivities, not null
* @param definition The curve definition, not null
* @return A labelled matrix
*/
public static DoubleLabelledMatrix1D getLabelledMatrix(final DoubleMatrix1D sensitivities, final CurveDefinition definition) {
ArgumentChecker.notNull(sensitivities, "sensitivities");
ArgumentChecker.notNull(definition, "definition");
final int n = sensitivities.getNumberOfElements();
if (n != definition.getNodes().size()) {
throw new OpenGammaRuntimeException("Did not have a sensitivity for each curve node");
}
final Double[] keys = new Double[n];
final double[] values = new double[n];
final Object[] labels = new Object[n];
final Iterator<CurveNode> iter = definition.getNodes().iterator();
for (int i = 0; i < n; i++) {
keys[i] = Double.valueOf(i);
values[i] = sensitivities.getEntry(i);
final CurveNode node = iter.next();
String name = node.getName();
if (name == null) {
name = node.getClass().getSimpleName() + " " + node.getResolvedMaturity().toFormattedString();
}
labels[i] = name;
}
return new DoubleLabelledMatrix1D(keys, labels, values);
}
/**
* Converts a {@link DoubleMatrix2D} of yield curve node cross sensitivities to a {@link DoubleLabelledMatrix2D},
* where the labels are the names of the {@link CurveNode} or the node class name and maturity tenor if
* this value is null
* @param sensitivities The matrix of sensitivities, not null
* @param definition The curve definition, not null
* @return A labelled 2D matrix
*/
public static DoubleLabelledMatrix2D getLabelledMatrix2D(final DoubleMatrix2D sensitivities, final CurveDefinition definition) {
ArgumentChecker.notNull(sensitivities, "sensitivities");
ArgumentChecker.notNull(definition, "definition");
final int m = sensitivities.getNumberOfRows();
final int n = sensitivities.getNumberOfColumns();
final Double[] keys = new Double[m];
final Object[] labels = new Object[m];
double[][] vals = new double[m][n];
final Iterator<CurveNode> iter = definition.getNodes().iterator();
if (n != definition.getNodes().size() || m != definition.getNodes().size()) {
throw new OpenGammaRuntimeException("Did not have a sensitivity for each curve node");
}
for (int i = 0; i < m; i++) {
final CurveNode node = iter.next();
String nodeName = node.getName();
if (nodeName == null) {
nodeName = node.getClass().getSimpleName() + " " + node.getResolvedMaturity().toFormattedString();
}
labels[i] = nodeName;
keys[i] = Double.valueOf(i);
}
vals = sensitivities.getData();
return new DoubleLabelledMatrix2D(keys, labels, keys, labels, vals);
}
}