/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.description.inflation;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeSet;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
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.interestrate.MulticurveProviderForward;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Class describing a "market" with discounting, forward, price index and credit curves.
* The forward rate are computed as the ratio of discount factors stored in YieldAndDiscountCurve.
*/
public class InflationProviderForward implements InflationProviderInterface {
/**
* The multicurve provider.
*/
private final MulticurveProviderForward _multicurveProvider;
/**
* A map with one price curve by price index.
*/
private final Map<IndexPrice, PriceIndexCurve> _priceIndexCurves;
/**
* Map of all curves used in the provider. The order is ???
*/
private Map<String, PriceIndexCurve> _allCurves;
/**
* Constructor with empty maps for discounting, forward and price index.
*/
public InflationProviderForward() {
_multicurveProvider = new MulticurveProviderForward();
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Constructor with empty maps for discounting, forward and price index.
* @param fxMatrix The FXMatrix.
*/
public InflationProviderForward(final FXMatrix fxMatrix) {
_multicurveProvider = new MulticurveProviderForward(fxMatrix);
_priceIndexCurves = new LinkedHashMap<>();
setInflationCurves();
}
/**
* Constructor from an existing market. The given market maps are used for the new market (the same maps are used, not copied).
* @param discountingCurves A map with one (discounting) curve by currency.
* @param forwardIborCurves A map with one (forward) curve by Ibor index.
* @param forwardONCurves A map with one (forward) curve by ON index.
* @param priceIndexCurves A map with one price curve by price index.
* @param fxMatrix The FXMatrix.
*/
public InflationProviderForward(final Map<Currency, YieldAndDiscountCurve> discountingCurves, final Map<IborIndex, DoublesCurve> forwardIborCurves,
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves, final Map<IndexPrice, PriceIndexCurve> priceIndexCurves, final FXMatrix fxMatrix) {
_multicurveProvider = new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
_priceIndexCurves = priceIndexCurves;
setInflationCurves();
}
/**
* Constructor from exiting multicurveProvider and inflation map. The given provider and map are used for the new provider (the same maps are used, not copied).
* @param multicurve The multi-curves provider.
* @param priceIndexCurves The map with price index curves.
*/
public InflationProviderForward(final MulticurveProviderForward multicurve, final Map<IndexPrice, PriceIndexCurve> priceIndexCurves) {
_multicurveProvider = multicurve;
_priceIndexCurves = priceIndexCurves;
setInflationCurves();
}
private void setInflationCurves() {
_allCurves = new LinkedHashMap<>();
final Set<IndexPrice> indexSet = _priceIndexCurves.keySet();
for (final IndexPrice index : indexSet) {
final String name = _priceIndexCurves.get(index).getName();
_allCurves.put(name, _priceIndexCurves.get(index));
}
}
@Override
public InflationProviderForward copy() {
final MulticurveProviderForward multicurveProvider = _multicurveProvider.copy();
final LinkedHashMap<IndexPrice, PriceIndexCurve> priceIndexCurves = new LinkedHashMap<>(_priceIndexCurves);
return new InflationProviderForward(multicurveProvider, priceIndexCurves);
}
@Override
public double getPriceIndex(final IndexPrice index, final Double time) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index).getPriceIndex(time);
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
@Override
public String getName(final IndexPrice index) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index).getCurve().getName();
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
/**
* Gets the price index curve associated to a given price index in the market.
* @param index The Price index.
* @return The curve.
*/
public PriceIndexCurve getCurve(final IndexPrice index) {
if (_priceIndexCurves.containsKey(index)) {
return _priceIndexCurves.get(index);
}
throw new IllegalArgumentException("Price index curve not found: " + index);
}
@Override
public Set<IndexPrice> getPriceIndexes() {
return _priceIndexCurves.keySet();
}
/**
* Sets the price index curve for a price index.
* @param index The price index.
* @param curve The curve.
*/
public void setCurve(final IndexPrice index, final PriceIndexCurve curve) {
ArgumentChecker.notNull(index, "index");
ArgumentChecker.notNull(curve, "curve");
if (_priceIndexCurves.containsKey(index)) {
throw new IllegalArgumentException("Price index curve already set: " + index.toString());
}
_priceIndexCurves.put(index, curve);
}
@Override
public Integer getNumberOfParameters(final String name) {
final PriceIndexCurve curve = _allCurves.get(name);
return curve.getNumberOfParameters();
}
@Override
public List<String> getUnderlyingCurvesNames(final String name) {
return _allCurves.get(name).getUnderlyingCurvesNames();
}
@Override
public MulticurveProviderForward getMulticurveProvider() {
return _multicurveProvider;
}
// ===== Methods related to MulticurveProvider =====
@Override
public double getDiscountFactor(final Currency ccy, final Double time) {
return _multicurveProvider.getDiscountFactor(ccy, time);
}
@Override
public String getName(final Currency ccy) {
return _multicurveProvider.getName(ccy);
}
@Override
public Set<Currency> getCurrencies() {
return _multicurveProvider.getCurrencies();
}
@Override
public double getForwardRate(final IborIndex index, final double startTime, final double endTime, final double accrualFactor) {
return _multicurveProvider.getForwardRate(index, startTime, endTime, accrualFactor);
}
@Override
public String getName(final IborIndex index) {
return _multicurveProvider.getName(index);
}
@Override
public Set<IborIndex> getIndexesIbor() {
return _multicurveProvider.getIndexesIbor();
}
@Override
public double getForwardRate(final IndexON index, final double startTime, final double endTime, final double accrualFactor) {
return _multicurveProvider.getForwardRate(index, startTime, endTime, accrualFactor);
}
@Override
public String getName(final IndexON index) {
return _multicurveProvider.getName(index);
}
@Override
public Set<IndexON> getIndexesON() {
return _multicurveProvider.getIndexesON();
}
/**
* Gets the discounting curve associated in a given currency in the market.
* @param ccy The currency.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final Currency ccy) {
return _multicurveProvider.getCurve(ccy);
}
/**
* Gets the forward curve associated to a given Ibor index in the market.
* @param index The Ibor index.
* @return The curve.
*/
public DoublesCurve getCurve(final IborIndex index) {
return _multicurveProvider.getCurve(index);
}
/**
* Gets the forward curve associated to a given ON index in the market.
* @param index The ON index.
* @return The curve.
*/
public YieldAndDiscountCurve getCurve(final IndexON index) {
return _multicurveProvider.getCurve(index);
}
@Override
/**
* Returns all curves names. The order is the natural order of String.
*/
public Set<String> getAllNames() {
final Set<String> names = new TreeSet<>();
names.addAll(_multicurveProvider.getAllNames());
final Set<IndexPrice> priceSet = _priceIndexCurves.keySet();
for (final IndexPrice price : priceSet) {
names.add(_priceIndexCurves.get(price).getName());
}
return names;
}
/**
* Sets the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
*/
public void setCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
_multicurveProvider.setCurve(ccy, curve);
}
/**
* Sets the curve associated to an Ibor index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IborIndex index, final DoublesCurve curve) {
_multicurveProvider.setCurve(index, curve);
}
/**
* Sets the curve associated to an ON index.
* @param index The index.
* @param curve The curve.
*/
public void setCurve(final IndexON index, final YieldAndDiscountCurve curve) {
_multicurveProvider.setCurve(index, curve);
}
/**
* Set all the curves contains in another bundle. If a currency or index is already present in the map, the associated curve is changed.
* @param other The other bundle.
* TODO: REVIEW: Should we check that the curve are already present?
*/
public void setAll(final InflationProviderForward other) {
ArgumentChecker.notNull(other, "Inflation provider");
_multicurveProvider.setAll(other.getMulticurveProvider());
_priceIndexCurves.putAll(other._priceIndexCurves);
}
/**
* Replaces the discounting curve for a given currency.
* @param ccy The currency.
* @param curve The yield curve used for discounting.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final Currency ccy, final YieldAndDiscountCurve curve) {
_multicurveProvider.replaceCurve(ccy, curve);
}
/**
* Replaces the forward curve for a given index.
* @param index The index.
* @param curve The yield curve used for forward.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final IborIndex index, final DoublesCurve curve) {
_multicurveProvider.replaceCurve(index, curve);
}
/**
* Replaces the discounting curve for a price index.
* @param index The price index.
* @param curve The price curve for the index.
* @throws IllegalArgumentException if curve name NOT already present
*/
public void replaceCurve(final IndexPrice index, final PriceIndexCurve curve) {
ArgumentChecker.notNull(index, "Price index");
ArgumentChecker.notNull(curve, "curve");
if (!_priceIndexCurves.containsKey(index)) {
throw new IllegalArgumentException("Price index curve not in set: " + index);
}
_priceIndexCurves.put(index, curve);
}
@Override
public double getFxRate(final Currency ccy1, final Currency ccy2) {
return _multicurveProvider.getFxRate(ccy1, ccy2);
}
/**
* Gets the underlying FXMatrix containing the exchange rates.
* @return The matrix.
*/
@Override
public FXMatrix getFxRates() {
return _multicurveProvider.getFxRates();
}
@Override
public InflationProviderForward withDiscountFactor(final Currency ccy, final YieldAndDiscountCurve replacement) {
final MulticurveProviderForward decoratedMulticurve = _multicurveProvider.withDiscountFactor(ccy, replacement);
return new InflationProviderForward(decoratedMulticurve, _priceIndexCurves);
}
@Override
public InflationProviderInterface withForward(final IborIndex index, final YieldAndDiscountCurve replacement) {
return null;
}
@Override
public InflationProviderInterface withForward(final IndexON index, final YieldAndDiscountCurve replacement) {
return null;
}
@Override
public double[] parameterInflationSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
final PriceIndexCurve curve = _allCurves.get(name);
final int nbParameters = curve.getNumberOfParameters();
final double[] result = new double[nbParameters];
if (pointSensitivity != null && pointSensitivity.size() > 0) {
for (final DoublesPair timeAndS : pointSensitivity) {
final double[] sensi1Point = curve.getPriceIndexParameterSensitivity(timeAndS.getFirst());
for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
result[loopparam] += timeAndS.getSecond() * sensi1Point[loopparam];
}
}
}
return result;
}
@Override
public InflationProviderInterface getInflationProvider() {
return this;
}
}