/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.returns;
import java.util.Arrays;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.function.Function;
import com.opengamma.timeseries.TimeSeriesException;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.CalculationMode;
/**
* The excess return of an asset at time <i>t</i> is the difference between the
* return of that asset and the return of a reference asset. This class
* calculates the excess simple net return.
*/
public class ExcessSimpleNetTimeSeriesReturnCalculator extends TimeSeriesReturnCalculator {
private final Function<LocalDateDoubleTimeSeries, LocalDateDoubleTimeSeries> _returnCalculator;
public ExcessSimpleNetTimeSeriesReturnCalculator(final CalculationMode mode) {
super(mode);
_returnCalculator = new SimpleNetTimeSeriesReturnCalculator(mode);
}
/**
* @param x
* An array of DoubleTimeSeries. The series <b>must</b> contain at
* least four elements; the asset price series, the dividend price
* series (can be null but it must be the second element), the
* reference price series and the reference dividend series. Any
* further elements will be ignored.
* @throws IllegalArgumentException
* If the array is null
* @throws TimeSeriesException
* Throws an exception if: the array is null; the array has less
* than two elements; the calculation mode is strict and the price
* series are not the same length.
* @return A DoubleTimeSeries containing the excess return series.
*/
@Override
public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
Validate.notNull(x, "x");
if (x.length < 4) {
throw new TimeSeriesException("Time series array must contain at least four elements");
}
if (getMode() == CalculationMode.STRICT && x[0].size() != x[2].size()) {
throw new TimeSeriesException("Asset price series and reference price series were not the same size");
}
final LocalDateDoubleTimeSeries assetReturn = x[1] == null ? _returnCalculator.evaluate(x[0]) : _returnCalculator.evaluate(Arrays.copyOfRange(x, 0, 2));
final LocalDateDoubleTimeSeries referenceReturn = x[3] == null ? _returnCalculator.evaluate(x[2]) : _returnCalculator.evaluate(Arrays.copyOfRange(x, 2, 4));
return assetReturn.subtract(referenceReturn);
}
}