/**
* 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 java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
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 com.opengamma.analytics.ShiftType;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurveUtils;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.sesame.MulticurveBundle;
import com.opengamma.sesame.marketdata.MarketDataUtils;
/**
* Applies a parallel shift to a calibrated curve.
* <p>
* Shifts can be {@link #absolute} or {@link #relative}. An absolute shift adds the same amount to the value
* at every curve node. A relative shift multiplies the value at each curve node by the same factor.
*/
@BeanDefinition
public final class MulticurveOutputParallelShift implements Perturbation, ImmutableBean {
@PropertyDefinition(validate = "notNull", get = "private")
private final ShiftType _shiftType;
@PropertyDefinition(get = "private")
private final double _shiftAmount;
/**
* Creates a shift that adds a fixed amount to the value at every node in the curve.
*
* @param shiftAmount the amount to add to each node value in the curve
* @return a shift that adds a fixed amount to the value at every node in the curve
*/
public static MulticurveOutputParallelShift absolute(double shiftAmount) {
return new MulticurveOutputParallelShift(ShiftType.ABSOLUTE, shiftAmount);
}
/**
* Creates a shift that multiplies the values at each curve node by a fixed factor.
*
* @param shiftAmount the factor to multiply the value at each curve node by
* @return a shift that multiplies the values at each curve node by a fixed factor
*/
public static MulticurveOutputParallelShift relative(double shiftAmount) {
return new MulticurveOutputParallelShift(ShiftType.RELATIVE, shiftAmount);
}
/**
* Applies the shift to the curve.
*
* @param marketData a piece of market data with type {@link MulticurveBundle}
* @param matchDetails details of the match which the {@link MarketDataFilter} was applied to the market data
* @return the shifted curve
*/
@Override
public MulticurveBundle apply(Object marketData, MatchDetails matchDetails) {
MulticurveBundle bundle = ((MulticurveBundle) marketData);
String curveName = ((MulticurveMatchDetails) matchDetails).getCurveName();
// This is safe ATM, all curves are YieldCurves. this will need to be updated when that changes.
// As part of that an equivalent of YieldCurveUtils.withParallelShift will be required for discount curves
MulticurveProviderDiscount multicurve = bundle.getMulticurveProvider();
YieldCurve curve = (YieldCurve) multicurve.getCurve(curveName);
YieldCurve shiftedCurve = YieldCurveUtils.withParallelShift(curve, _shiftAmount, _shiftType, "");
MulticurveProviderDiscount shiftedMulticurve = MarketDataUtils.replaceCurve(multicurve, shiftedCurve);
// If the original block bundle were reused, any sensitivity calcs using the curve would be wrong because
// they would be relative to the unshifted curve. Deriving a new block bundle from the shifted curve
// isn't practical. But apparently (according to Marc) it's a reasonable limitation - you shouldn't
// expect to be able to shock a curve and get out the sensitivities to the shocked curve.
// Providing an empty block bundle satisfies MulticurveBundle and ensures that sensitivity calculations
// will fail.
return new MulticurveBundle(shiftedMulticurve, new CurveBuildingBlockBundle());
}
@Override
public Class<MulticurveBundle> getMarketDataType() {
return MulticurveBundle.class;
}
@Override
public Class<? extends MatchDetails> getMatchDetailsType() {
return MulticurveMatchDetails.class;
}
@Override
public PerturbationTarget getTargetType() {
return PerturbationTarget.OUTPUT;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code MulticurveOutputParallelShift}.
* @return the meta-bean, not null
*/
public static MulticurveOutputParallelShift.Meta meta() {
return MulticurveOutputParallelShift.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(MulticurveOutputParallelShift.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static MulticurveOutputParallelShift.Builder builder() {
return new MulticurveOutputParallelShift.Builder();
}
private MulticurveOutputParallelShift(
ShiftType shiftType,
double shiftAmount) {
JodaBeanUtils.notNull(shiftType, "shiftType");
this._shiftType = shiftType;
this._shiftAmount = shiftAmount;
}
@Override
public MulticurveOutputParallelShift.Meta metaBean() {
return MulticurveOutputParallelShift.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 the shiftType.
* @return the value of the property, not null
*/
private ShiftType getShiftType() {
return _shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets the shiftAmount.
* @return the value of the property
*/
private double getShiftAmount() {
return _shiftAmount;
}
//-----------------------------------------------------------------------
/**
* 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()) {
MulticurveOutputParallelShift other = (MulticurveOutputParallelShift) obj;
return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) &&
JodaBeanUtils.equal(getShiftAmount(), other.getShiftAmount());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType());
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftAmount());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("MulticurveOutputParallelShift{");
buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(getShiftAmount()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code MulticurveOutputParallelShift}.
*/
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", MulticurveOutputParallelShift.class, ShiftType.class);
/**
* The meta-property for the {@code shiftAmount} property.
*/
private final MetaProperty<Double> _shiftAmount = DirectMetaProperty.ofImmutable(
this, "shiftAmount", MulticurveOutputParallelShift.class, Double.TYPE);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shiftAmount");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -1043480710: // shiftAmount
return _shiftAmount;
}
return super.metaPropertyGet(propertyName);
}
@Override
public MulticurveOutputParallelShift.Builder builder() {
return new MulticurveOutputParallelShift.Builder();
}
@Override
public Class<? extends MulticurveOutputParallelShift> beanType() {
return MulticurveOutputParallelShift.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 shiftAmount} property.
* @return the meta-property, not null
*/
public MetaProperty<Double> shiftAmount() {
return _shiftAmount;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((MulticurveOutputParallelShift) bean).getShiftType();
case -1043480710: // shiftAmount
return ((MulticurveOutputParallelShift) bean).getShiftAmount();
}
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 MulticurveOutputParallelShift}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<MulticurveOutputParallelShift> {
private ShiftType _shiftType;
private double _shiftAmount;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(MulticurveOutputParallelShift beanToCopy) {
this._shiftType = beanToCopy.getShiftType();
this._shiftAmount = beanToCopy.getShiftAmount();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -1043480710: // shiftAmount
return _shiftAmount;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this._shiftType = (ShiftType) newValue;
break;
case -1043480710: // shiftAmount
this._shiftAmount = (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 MulticurveOutputParallelShift build() {
return new MulticurveOutputParallelShift(
_shiftType,
_shiftAmount);
}
//-----------------------------------------------------------------------
/**
* 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 shiftAmount} property in the builder.
* @param shiftAmount the new value
* @return this, for chaining, not null
*/
public Builder shiftAmount(double shiftAmount) {
this._shiftAmount = shiftAmount;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("MulticurveOutputParallelShift.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' ');
buf.append("shiftAmount").append('=').append(JodaBeanUtils.toString(_shiftAmount));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}