/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.curve.inflation.generator;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurveAddPriceIndexSpreadCurve;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.util.ArgumentChecker;
/**
* Store the details and generate the required curve. The curve is the sum (or difference) of two curves
* (operation on the continuously-compounded zero-coupon rates): an existing curve referenced by its name and a new curve.
* The generated curve is a YieldAndDiscountAddZeroSpreadCurve.
*/
public class GeneratorPriceIndexCurveAddPriceIndexExisting extends GeneratorPriceIndexCurve {
/**
* The generator for the new curve.
*/
private final GeneratorPriceIndexCurve _generator;
/**
* If true the rate of the new curve will be subtracted from the first one. If false the rates are added.
*/
private final boolean _substract;
/**
* The name of the existing curve.
*/
private final String _existingCurveName;
/**
* The constructor.
* @param generator The generator for the new curve.
* @param substract If true the rate of the new curve will be subtracted from the first one. If false the rates are added.
* @param existingCurveName The name of the existing curve.
*/
public GeneratorPriceIndexCurveAddPriceIndexExisting(final GeneratorPriceIndexCurve generator, final boolean substract, final String existingCurveName) {
ArgumentChecker.notNull(generator, "Generator");
ArgumentChecker.notNull(existingCurveName, "Exisitng curve name");
_generator = generator;
_substract = substract;
_existingCurveName = existingCurveName;
}
@Override
public int getNumberOfParameter() {
return _generator.getNumberOfParameter();
}
@Override
public PriceIndexCurve generateCurve(String name, double[] parameters) {
throw new UnsupportedOperationException("Cannot create the curve form the generator without an existing curve");
}
@Override
public PriceIndexCurve generateCurve(String name, InflationProviderInterface inflation, double[] parameters) {
if (inflation instanceof InflationProviderDiscount) { // TODO: improve the way the curves are generated
PriceIndexCurve existingCurve = ((InflationProviderDiscount) inflation).getCurve(_existingCurveName);
PriceIndexCurve newCurve = _generator.generateCurve(name + "-0", inflation, parameters);
return new PriceIndexCurveAddPriceIndexSpreadCurve(name, _substract, existingCurve, newCurve);
}
throw new UnsupportedOperationException("Cannot generate curves for a GeneratorCurveAddYieldExisiting");
}
@Override
public GeneratorPriceIndexCurve finalGenerator(Object data) {
return new GeneratorPriceIndexCurveAddPriceIndexExisting(_generator.finalGenerator(data), _substract, _existingCurveName);
}
@Override
public double[] initialGuess(double[] rates) {
ArgumentChecker.isTrue(rates.length == _generator.getNumberOfParameter(), "Rates of incorrect length.");
double[] spread = new double[rates.length];
// Implementation note: The AddYieldExisting generator is used for spread. The initial guess is a spread of 0.
return spread;
}
}