/**
* 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.generator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.curve.DoublesCurveInterpolatedAnchor;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.util.ArgumentChecker;
/**
* Store the details and generate the required curve. The curve is interpolated on the rate (continuously compounded).
* One extra node with value zero is added at the mid point between the first and second point. This extra anchor is required when two translation invariant curves descriptions
* are added in a spread curve (two translations would create a singular system).
*/
@SuppressWarnings("deprecation")
public class GeneratorCurveYieldInterpolatedAnchorNode extends GeneratorYDCurve {
/**
* The nodes (times) on which the interpolated curves is constructed. Does not include the extra anchor node.
*/
private final double[] _nodePoints;
/**
* The anchor point.
*/
private final double _anchor;
/**
* The interpolator used for the curve.
*/
private final Interpolator1D _interpolator;
/**
* The number of points (or nodes), not including the extra anchor.
*/
private final int _nbPoints;
/**
* Constructor.
* @param nodePoints The node points (X) used to define the interpolated curve. The extra anchor node (half way between first and second one) will be added.
* @param anchor The anchor with zero value.
* @param interpolator The interpolator.
*/
public GeneratorCurveYieldInterpolatedAnchorNode(final double[] nodePoints, final double anchor, final Interpolator1D interpolator) {
ArgumentChecker.notNull(nodePoints, "Node points");
ArgumentChecker.notNull(interpolator, "Interpolator");
_nbPoints = nodePoints.length;
_nodePoints = nodePoints;
_anchor = anchor;
_interpolator = interpolator;
}
@Override
public int getNumberOfParameter() {
return _nbPoints;
}
@Override
public YieldAndDiscountCurve generateCurve(final String name, final double[] x) {
ArgumentChecker.isTrue(x.length == _nbPoints, "Incorrect dimension for the rates");
return new YieldCurve(name, DoublesCurveInterpolatedAnchor.from(_nodePoints, x, _anchor, _interpolator, name));
}
/**
* {@inheritDoc}
* @deprecated Curve builders that use and populate {@link YieldCurveBundle}s are deprecated.
*/
@Deprecated
@Override
public YieldAndDiscountCurve generateCurve(final String name, final YieldCurveBundle bundle, final double[] parameters) {
return generateCurve(name, parameters);
}
@Override
public YieldAndDiscountCurve generateCurve(final String name, final MulticurveProviderInterface multicurve, final double[] parameters) {
return generateCurve(name, parameters);
}
@Override
public double[] initialGuess(final double[] rates) {
ArgumentChecker.isTrue(rates.length == _nbPoints, "Rates of incorrect length.");
final double[] spread = new double[_nbPoints];
// implementation note: The "anchor" generator is used for spread. The initial guess is a spread of 0.
return spread;
}
}