/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.curve.hullwhite;
import java.util.Arrays;
import java.util.LinkedHashMap;
import java.util.Set;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Generator of MarketDiscountBundle from the parameters.
*/
public class GeneratorHullWhiteProviderDiscount extends Function1D<DoubleMatrix1D, HullWhiteOneFactorProviderDiscount> {
/**
* The map with the currencies and the related discounting curves names.
*/
private final LinkedHashMap<String, Currency> _discountingMap;
/**
* The map with the indexes and the related forward curves names.
*/
private final LinkedHashMap<String, IndexON[]> _forwardONMap;
/**
* The map with the indexes and the related forward curves names.
*/
private final LinkedHashMap<String, IborIndex[]> _forwardIborMap;
/**
* The map with the names and the related curves generators.
*/
private final LinkedHashMap<String, GeneratorYDCurve> _generatorsMap;
/**
* The market with known data (curves, model parameters, etc.).
*/
private final HullWhiteOneFactorProviderDiscount _knownData;
/**
* Constructor
* @param knownData The yield curve bundle with known data (curves).
* @param discountingMap The discounting curves names map.
* @param forwardIborMap The forward curves names map.
* @param forwardONMap The forward curves names map.
* @param generatorsMap The generators map.
*/
public GeneratorHullWhiteProviderDiscount(final HullWhiteOneFactorProviderDiscount knownData, final LinkedHashMap<String, Currency> discountingMap,
final LinkedHashMap<String, IborIndex[]> forwardIborMap, final LinkedHashMap<String, IndexON[]> forwardONMap, final LinkedHashMap<String, GeneratorYDCurve> generatorsMap) {
ArgumentChecker.notNull(discountingMap, "Discounting curves names map");
ArgumentChecker.notNull(forwardIborMap, "Forward curves names map");
ArgumentChecker.notNull(forwardONMap, "Forward curves names map");
_knownData = knownData;
_discountingMap = discountingMap;
_forwardIborMap = forwardIborMap;
_forwardONMap = forwardONMap;
_generatorsMap = generatorsMap;
}
/**
* Gets the know curves.
* @return The known curves.
*/
public HullWhiteOneFactorProviderDiscount getKnownData() {
return _knownData;
}
/**
* Gets the set of curves. The set order is the order in which they are build.
* @return The set.
*/
public Set<String> getCurvesList() {
return _generatorsMap.keySet();
}
@Override
public HullWhiteOneFactorProviderDiscount evaluate(DoubleMatrix1D x) {
HullWhiteOneFactorProviderDiscount provider = _knownData.copy();
Set<String> nameSet = _generatorsMap.keySet();
int indexParam = 0;
for (String name : nameSet) {
GeneratorYDCurve gen = _generatorsMap.get(name);
double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
indexParam += gen.getNumberOfParameter();
YieldAndDiscountCurve curve = gen.generateCurve(name, provider, paramCurve);
if (_discountingMap.containsKey(name)) {
provider.setCurve(_discountingMap.get(name), curve);
}
if (_forwardIborMap.containsKey(name)) {
IborIndex[] indexes = _forwardIborMap.get(name);
for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
provider.setCurve(indexes[loopindex], curve);
}
}
if (_forwardONMap.containsKey(name)) {
IndexON[] indexes = _forwardONMap.get(name);
for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
provider.setCurve(indexes[loopindex], curve);
}
}
// TODO: Do we need to check that the curve is used at least once?
}
return provider;
}
}