/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame.marketdata.scenarios;
import com.google.common.collect.ImmutableMap;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.ShiftType;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.financial.analytics.ircurve.strips.CurveNode;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeWithIdentifier;
import com.opengamma.financial.analytics.ircurve.strips.RateFutureNode;
import com.opengamma.id.ExternalId;
import com.opengamma.sesame.CurveNodeId;
import com.opengamma.sesame.FuturesExpiryCurveNodeId;
import com.opengamma.sesame.TenorCurveNodeId;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import java.util.HashMap;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
/**
* Applies a point shift to the market quotes (precalibration) used to build a multicurve bundle.
* The curves must be furnished with CurveNodeId data for this shift to operate.
* If the CurveNodeId information is missing, then the Perturbation will never find the point
* to shift and the scenarios will be the same as the base case.
*/
@BeanDefinition
public final class MulticurveInputPointShift implements Perturbation, ImmutableBean {
private static final Logger s_logger = LoggerFactory.getLogger(MulticurveInputPointShift.class);
/**
* How the shift should be applied to the node values.
* <p/>
* A relative shift of 0.1 (+10%) scales the point value by 1.1, a relative shift of -0.2 (-20%) scales the
* point value by 0.8.
* <p/>
* An absolute shift adds the shift amount to the curve value at the nodal point.
*/
@PropertyDefinition(validate = "notNull", get = "private")
private final ShiftType _shiftType;
/**
* The shifts to apply to the curve nodes, keyed by the ID of node.
*/
@PropertyDefinition(validate = "notNull")
private final Map<CurveNodeId, Double> _shifts;
/**
* Creates a shift that adds a fixed amount to every mapped market data value.
* <p/>
* Futures market data is handled as a special case so the shifted data makes sense.
*
* @param shifts the amount to add to each market data value
* @return a shift that adds a fixed amount to each mapped market data value
*/
public static MulticurveInputPointShift absolute(Map<CurveNodeId, Double> shifts) {
return new MulticurveInputPointShift(ShiftType.ABSOLUTE, shifts);
}
/**
* Creates a shift that multiplies every mapped market data value by a fixed factor.
* <p/>
* Futures market data is handled as a special case so the shifted data makes sense
*
* @param shifts the factor to multiply the mapped values by
* @return a shift that multiplies the mapped market data values by a fixed factor
*/
public static MulticurveInputPointShift relative(Map<CurveNodeId, Double> shifts) {
return new MulticurveInputPointShift(ShiftType.RELATIVE, shifts);
}
/**
* Applies the shifts to the curve input data.
*
* @param marketData a piece of market data with type {@link CurveInputs}
* @param matchDetails details of the match which the {@link MarketDataFilter} was applied to the market data
* @return the shifted data
*/
@Override
public CurveInputs apply(Object marketData, MatchDetails matchDetails) {
SnapshotDataBundle shiftedData = new SnapshotDataBundle();
CurveInputs curveInputs = ((CurveInputs) marketData);
SnapshotDataBundle nodeData = curveInputs.getNodeData();
for (CurveNodeWithIdentifier nodeWithId : curveInputs.getNodes()) {
CurveNode node = nodeWithId.getCurveNode();
ExternalId id = nodeWithId.getIdentifier();
Double value = nodeData.getDataPoint(id);
if (value != null) {
shiftedData.setDataPoint(id, shift(value, node));
} else {
s_logger.info("No data found for curve node with ID {}", id);
}
}
return new CurveInputs(curveInputs.getNodes(), shiftedData);
}
private double shift(double value, CurveNode node) {
double shiftAmount = calcShiftAmount(node);
// futures are quoted the other way round, i.e. (1 - value)
if (node instanceof RateFutureNode) {
return 1 - _shiftType.applyShift(1 - value, shiftAmount);
} else {
return _shiftType.applyShift(value, shiftAmount);
}
}
private double calcShiftAmount(CurveNode node) {
if (node instanceof RateFutureNode) {
// TODO not sure how to get proper expiry for futures to create CurveNodeId of FuturesExpiryCurveNodeId
throw new OpenGammaRuntimeException("Futures instruments not currently supported, cannot perturb " + node);
} else {
CurveNodeId nodeId = TenorCurveNodeId.of(node.getResolvedMaturity());
Double shiftAmount = _shifts.get(nodeId);
// this node is not mapped to be shifted
if (shiftAmount == null) {
return 0D;
}
return shiftAmount;
}
}
@Override
public Class<CurveInputs> getMarketDataType() {
return CurveInputs.class;
}
@Override
public Class<? extends MatchDetails> getMatchDetailsType() {
return MulticurveMatchDetails.class;
}
@Override
public PerturbationTarget getTargetType() {
return PerturbationTarget.INPUT;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code MulticurveInputPointShift}.
* @return the meta-bean, not null
*/
public static MulticurveInputPointShift.Meta meta() {
return MulticurveInputPointShift.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(MulticurveInputPointShift.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static MulticurveInputPointShift.Builder builder() {
return new MulticurveInputPointShift.Builder();
}
private MulticurveInputPointShift(
ShiftType shiftType,
Map<CurveNodeId, Double> shifts) {
JodaBeanUtils.notNull(shiftType, "shiftType");
JodaBeanUtils.notNull(shifts, "shifts");
this._shiftType = shiftType;
this._shifts = ImmutableMap.copyOf(shifts);
}
@Override
public MulticurveInputPointShift.Meta metaBean() {
return MulticurveInputPointShift.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets how the shift should be applied to the node values.
* <p/>
* A relative shift of 0.1 (+10%) scales the point value by 1.1, a relative shift of -0.2 (-20%) scales the
* point value by 0.8.
* <p/>
* An absolute shift adds the shift amount to the curve value at the nodal point.
* @return the value of the property, not null
*/
private ShiftType getShiftType() {
return _shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the shifts to apply to the curve nodes, keyed by the ID of node.
* @return the value of the property, not null
*/
public Map<CurveNodeId, Double> getShifts() {
return _shifts;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
MulticurveInputPointShift other = (MulticurveInputPointShift) obj;
return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) &&
JodaBeanUtils.equal(getShifts(), other.getShifts());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType());
hash = hash * 31 + JodaBeanUtils.hashCode(getShifts());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("MulticurveInputPointShift{");
buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(getShifts()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code MulticurveInputPointShift}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code shiftType} property.
*/
private final MetaProperty<ShiftType> _shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", MulticurveInputPointShift.class, ShiftType.class);
/**
* The meta-property for the {@code shifts} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<Map<CurveNodeId, Double>> _shifts = DirectMetaProperty.ofImmutable(
this, "shifts", MulticurveInputPointShift.class, (Class) Map.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shifts");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
}
return super.metaPropertyGet(propertyName);
}
@Override
public MulticurveInputPointShift.Builder builder() {
return new MulticurveInputPointShift.Builder();
}
@Override
public Class<? extends MulticurveInputPointShift> beanType() {
return MulticurveInputPointShift.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return _metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shiftType} property.
* @return the meta-property, not null
*/
public MetaProperty<ShiftType> shiftType() {
return _shiftType;
}
/**
* The meta-property for the {@code shifts} property.
* @return the meta-property, not null
*/
public MetaProperty<Map<CurveNodeId, Double>> shifts() {
return _shifts;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((MulticurveInputPointShift) bean).getShiftType();
case -903338959: // shifts
return ((MulticurveInputPointShift) bean).getShifts();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code MulticurveInputPointShift}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<MulticurveInputPointShift> {
private ShiftType _shiftType;
private Map<CurveNodeId, Double> _shifts = new HashMap<CurveNodeId, Double>();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(MulticurveInputPointShift beanToCopy) {
this._shiftType = beanToCopy.getShiftType();
this._shifts = new HashMap<CurveNodeId, Double>(beanToCopy.getShifts());
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this._shiftType = (ShiftType) newValue;
break;
case -903338959: // shifts
this._shifts = (Map<CurveNodeId, Double>) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty<?> property, Object value) {
super.set(property, value);
return this;
}
@Override
public Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public MulticurveInputPointShift build() {
return new MulticurveInputPointShift(
_shiftType,
_shifts);
}
//-----------------------------------------------------------------------
/**
* Sets the {@code shiftType} property in the builder.
* @param shiftType the new value, not null
* @return this, for chaining, not null
*/
public Builder shiftType(ShiftType shiftType) {
JodaBeanUtils.notNull(shiftType, "shiftType");
this._shiftType = shiftType;
return this;
}
/**
* Sets the {@code shifts} property in the builder.
* @param shifts the new value, not null
* @return this, for chaining, not null
*/
public Builder shifts(Map<CurveNodeId, Double> shifts) {
JodaBeanUtils.notNull(shifts, "shifts");
this._shifts = shifts;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("MulticurveInputPointShift.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(_shifts));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}