/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.method;
import java.util.ArrayList;
import java.util.List;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.analytics.math.rootfinding.BracketRoot;
import com.opengamma.analytics.math.rootfinding.RidderSingleRootFinder;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Specific calibration engine for the Hull-White one factor model with cap/floor.
* @param <DATA_TYPE> The type of the data for the base calculator.
*/
public class SuccessiveRootFinderHullWhiteCalibrationEngine<DATA_TYPE extends ParameterProviderInterface> extends CalibrationEngineWithCalculators<DATA_TYPE> {
/**
* The list of calibration times.
*/
private final List<Double> _calibrationTimes = new ArrayList<>();
/**
* The calibration objective.
*/
private final SuccessiveRootFinderCalibrationObjectiveWithMultiCurves _calibrationObjective;
/**
* Constructor of the calibration engine.
* @param calibrationObjective The calibration objective.
*/
public SuccessiveRootFinderHullWhiteCalibrationEngine(final SuccessiveRootFinderCalibrationObjectiveWithMultiCurves calibrationObjective) {
super(calibrationObjective.getFXMatrix(), calibrationObjective.getCcy());
_calibrationObjective = calibrationObjective;
}
/**
* Add an instrument to the basket and the associated calculator.
* @param instrument An interest rate derivative.
* @param calculator The calculator.
*/
@Override
public void addInstrument(final InstrumentDerivative instrument, final InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount> calculator) {
ArgumentChecker.isTrue((instrument instanceof CapFloorIbor) || (instrument instanceof SwaptionPhysicalFixedIbor), "Instrument should be cap or swaption.");
getBasket().add(instrument);
getMethod().add(calculator);
getCalibrationPrices().add(0.0);
if (instrument instanceof CapFloorIbor) {
_calibrationTimes.add(((CapFloorIbor) instrument).getFixingTime());
}
if (instrument instanceof SwaptionPhysicalFixedIbor) {
_calibrationTimes.add(((SwaptionPhysicalFixedIbor) instrument).getTimeToExpiry());
}
}
/**
* Add an array of instruments to the basket and the associated calculator. The same method is used for all the instruments.
* @param instrument An interest rate derivative array.
* @param calculator The calculator.
*/
@Override
public void addInstrument(final InstrumentDerivative[] instrument, final InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount> calculator) {
for (final InstrumentDerivative element : instrument) {
Validate.isTrue(element instanceof CapFloorIbor, "Calibration instruments should be cap/floor");
getBasket().add(element);
getMethod().add(calculator);
getCalibrationPrices().add(0.0);
_calibrationTimes.add(((CapFloorIbor) element).getFixingTime());
}
}
@Override
public void calibrate(final DATA_TYPE data) {
computeCalibrationPrice(data);
_calibrationObjective.setMulticurves(data.getMulticurveProvider());
final int nbInstruments = getBasket().size();
final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
final BracketRoot bracketer = new BracketRoot();
for (int loopins = 0; loopins < nbInstruments; loopins++) {
final InstrumentDerivative instrument = getBasket().get(loopins);
_calibrationObjective.setInstrument(instrument);
_calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
if (loopins < nbInstruments - 1) {
((SuccessiveRootFinderHullWhiteCalibrationObjective) _calibrationObjective).setNextCalibrationTime(_calibrationTimes.get(loopins));
}
}
}
}