/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.curve.inflation;
import java.util.Arrays;
import java.util.LinkedHashMap;
import java.util.Set;
import com.opengamma.analytics.financial.curve.inflation.generator.GeneratorPriceIndexCurve;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurve;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.instrument.index.IndexPrice;
import com.opengamma.analytics.financial.model.interestrate.curve.PriceIndexCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
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 GeneratorInflationProviderDiscount extends Function1D<DoubleMatrix1D, InflationProviderInterface> {
/**
* The map with the currencies and the related discounting curves names.
*/
private final LinkedHashMap<String, Currency> _discountingMap;
/**
* The map with the currencies and the related discounting curves names.
*/
private final LinkedHashMap<String, IndexON[]> _forwardONMap;
/**
* The map with the indexes and the related forward curves names.
*/
private final LinkedHashMap<String, IndexPrice[]> _inflationMap;
/**
* The map with the names and the related curves generators.
*/
private final LinkedHashMap<String, GeneratorCurve> _generatorsMap;
/**
* The market with known data (curves, model parameters, etc.).
*/
private final InflationProviderDiscount _knownData;
/**
* Constructor without the discount curve.
* @param knownData The yield curve bundle with known data (curves).
* @param inflationMap The discounting curves names map.
* @param generatorsInflationMap The inflation generators map.
*/
public GeneratorInflationProviderDiscount(final InflationProviderDiscount knownData, final LinkedHashMap<String, IndexPrice[]> inflationMap,
final LinkedHashMap<String, GeneratorPriceIndexCurve> generatorsInflationMap) {
ArgumentChecker.notNull(inflationMap, "Inflation curves names map");
_knownData = knownData;
_discountingMap = new LinkedHashMap<>();
_forwardONMap = new LinkedHashMap<>();
_inflationMap = inflationMap;
_generatorsMap = new LinkedHashMap<>();
_generatorsMap.putAll(generatorsInflationMap);
}
/**
* Constructor with the discount curve.
* @param knownData The yield curve bundle with known data (curves).
* @param discountingMap The discounting curves names map.
* @param forwardONMap The ON curves names map.
* @param inflationMap The inflation curves names map.
* @param generatorsMap The inflation generators map.
*/
public GeneratorInflationProviderDiscount(final InflationProviderDiscount knownData, final LinkedHashMap<String, Currency> discountingMap, final LinkedHashMap<String, IndexON[]> forwardONMap,
final LinkedHashMap<String, IndexPrice[]> inflationMap, final LinkedHashMap<String, GeneratorCurve> generatorsMap) {
ArgumentChecker.notNull(inflationMap, "Inflation curves names map");
ArgumentChecker.notNull(discountingMap, "Discount curves names map");
_knownData = knownData;
_discountingMap = discountingMap;
_forwardONMap = forwardONMap;
_inflationMap = inflationMap;
_generatorsMap = generatorsMap;
}
/**
* Gets the know data.
* @return The known data.
*/
public InflationProviderDiscount getKnownData() {
return _knownData;
}
/**
* Gets the set of generators of curves . The set order is the order in which they are build.
* @return The set.
*/
public Set<String> getInflationCurvesList() {
return _generatorsMap.keySet();
}
@Override
public InflationProviderDiscount evaluate(final DoubleMatrix1D x) {
final InflationProviderDiscount provider = _knownData.copy();
final Set<String> nameSet = _generatorsMap.keySet();
int indexParam = 0;
for (final String name : nameSet) {
final GeneratorCurve generator = _generatorsMap.get(name);
final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + generator.getNumberOfParameter());
indexParam += generator.getNumberOfParameter();
if (generator instanceof GeneratorYDCurve) {
final GeneratorYDCurve discountGenerator = (GeneratorYDCurve) generator;
final YieldAndDiscountCurve curve = discountGenerator.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
if (_discountingMap.containsKey(name)) {
provider.getMulticurveProvider().setCurve(_discountingMap.get(name), curve);
}
if (_forwardONMap.containsKey(name)) {
final IndexON[] indexes = _forwardONMap.get(name);
for (final IndexON indexe : indexes) {
provider.setCurve(indexe, curve);
}
}
}
if (generator instanceof GeneratorPriceIndexCurve) {
final GeneratorPriceIndexCurve inflationGenerator = (GeneratorPriceIndexCurve) generator;
final PriceIndexCurve inflationCurve = inflationGenerator.generateCurve(name, provider, paramCurve);
if (_inflationMap.containsKey(name)) {
final IndexPrice[] indexes = _inflationMap.get(name);
for (final IndexPrice indexe : indexes) {
provider.setCurve(indexe, inflationCurve);
}
}
}
}
return provider;
}
}