/**
* 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 com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.ArgumentChecker;
/**
* Function computing the error of valuation produce by an array representing the curve parameters.
*/
public class HullWhiteProviderDiscountFinderFunction extends Function1D<DoubleMatrix1D, DoubleMatrix1D> {
/**
* The instrument value calculator.
*/
private final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> _calculator;
/**
* The data required for curve building.
*/
private final HullWhiteProviderDiscountBuildingData _data;
/**
* Constructor.
* @param calculator The instrument value calculator.
* @param data The data required for curve building.
*/
public HullWhiteProviderDiscountFinderFunction(final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> calculator, final HullWhiteProviderDiscountBuildingData data) {
ArgumentChecker.notNull(calculator, "Calculator");
ArgumentChecker.notNull(data, "Data");
_calculator = calculator;
_data = data;
}
@Override
public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
final HullWhiteOneFactorProviderDiscount bundle = _data.getKnownData().copy();
final HullWhiteOneFactorProviderDiscount newCurves = _data.getGeneratorMarket().evaluate(x);
bundle.setAll(newCurves);
final double[] res = new double[_data.getNumberOfInstruments()];
for (int i = 0; i < _data.getNumberOfInstruments(); i++) {
res[i] = _data.getInstrument(i).accept(_calculator, bundle);
}
return new DoubleMatrix1D(res);
}
}