/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.curve.interestrate.building;
import com.opengamma.analytics.financial.curve.interestrate.sensitivity.AbstractParameterSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.provider.curve.multicurve.MulticurveDiscountBuildingRepository;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
/**
* Function computing the Jacobian of the error of valuation produce by a array representing the curve parameters.
* The meaning of value is given by a calculator (usually present value or par spread).
* @deprecated Curve builders that use and populate {@link YieldCurveBundle}s are deprecated. Use classes such as
* {@link MulticurveDiscountBuildingRepository}.
*/
@Deprecated
public class MultipleYieldCurveFinderGeneratorJacobian extends Function1D<DoubleMatrix1D, DoubleMatrix2D> {
/**
* The instrument parameter sensitivity calculator.
*/
private final AbstractParameterSensitivityCalculator _parameterSensitivityCalculator;
/**
* The data required for curve building.
*/
private final MultipleYieldCurveFinderGeneratorDataBundle _data;
/**
* Constructor.
* @param parameterSensitivityCalculator The instrument parameter sensitivity calculator.
* @param data The data required for curve building.
*/
public MultipleYieldCurveFinderGeneratorJacobian(final AbstractParameterSensitivityCalculator parameterSensitivityCalculator, final MultipleYieldCurveFinderGeneratorDataBundle data) {
_parameterSensitivityCalculator = parameterSensitivityCalculator;
_data = data;
}
@Override
public DoubleMatrix2D evaluate(final DoubleMatrix1D x) {
final YieldCurveBundle bundle = _data.getKnownData().copy();
final YieldCurveBundle newCurves = _data.getBuildingFunction().evaluate(x);
bundle.addAll(newCurves);
final int nbParameters = _data.getNumberOfInstruments();
final double[][] res = new double[nbParameters][nbParameters];
for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
final InstrumentDerivative deriv = _data.getInstrument(loopinstrument);
res[loopinstrument] = _parameterSensitivityCalculator.calculateSensitivity(deriv, _data.getKnownData().getAllNames(), bundle).getData();
}
return new DoubleMatrix2D(res);
}
}