/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.fudgemsg;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
import java.util.HashMap;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import org.fudgemsg.FudgeField;
import org.fudgemsg.FudgeMsg;
import org.fudgemsg.MutableFudgeMsg;
import org.fudgemsg.mapping.FudgeBuilderFor;
import org.fudgemsg.mapping.FudgeDeserializer;
import org.fudgemsg.mapping.FudgeSerializer;
import org.threeten.bp.Period;
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.model.interestrate.definition.G2ppPiecewiseConstantParameters;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderForward;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventionFactory;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Contains builders for the objects that analytics needs to perform pricing.
*/
public final class AnalyticsParameterProviderBuilders {
private AnalyticsParameterProviderBuilders() {
}
/**
* Fudge builder for {@link IborIndex}
*/
@FudgeBuilderFor(IborIndex.class)
public static class IborIndexBuilder extends AbstractFudgeBuilder<IborIndex> {
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
/** Spot lag field */
private static final String SPOT_LAG_FIELD = "spotLag";
/** Daycount field */
private static final String DAY_COUNT_FIELD = "dayCount";
/** Business day convention field */
private static final String BUSINESS_DAY_CONVENTION_FIELD = "businessDayConvention";
/** EOM convention field */
private static final String EOM_FIELD = "isEOM";
/** The tenor field */
private static final String TENOR_FIELD = "tenor";
/** The name field */
private static final String NAME_FIELD = "name";
@Override
public IborIndex buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
final int spotLag = message.getInt(SPOT_LAG_FIELD);
final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
final BusinessDayConvention businessDayConvention = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(message.getString(BUSINESS_DAY_CONVENTION_FIELD));
final boolean isEOM = message.getBoolean(EOM_FIELD);
final Period tenor = Period.parse(message.getString(TENOR_FIELD));
final String name = message.getString(NAME_FIELD);
return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final IborIndex object) {
message.add(SPOT_LAG_FIELD, object.getSpotLag());
message.add(DAY_COUNT_FIELD, object.getDayCount().getConventionName());
message.add(BUSINESS_DAY_CONVENTION_FIELD, object.getBusinessDayConvention().getConventionName());
message.add(EOM_FIELD, object.isEndOfMonth());
message.add(TENOR_FIELD, object.getTenor().toString());
message.add(NAME_FIELD, object.getName());
message.add(CURRENCY_FIELD, object.getCurrency().getCode());
}
}
/**
* Fudge builder for {@link IndexON}
*/
@FudgeBuilderFor(IndexON.class)
public static class IndexONBuilder extends AbstractFudgeBuilder<IndexON> {
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
/** Index name field */
private static final String NAME_FIELD = "name";
/** Daycount field */
private static final String DAY_COUNT_FIELD = "dayCount";
/** Publication lag field */
private static final String PUBLICATION_LAG_FIELD = "publicationLag";
@Override
public IndexON buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final String name = message.getString(NAME_FIELD);
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
final int publicationLag = message.getInt(PUBLICATION_LAG_FIELD);
return new IndexON(name, currency, dayCount, publicationLag);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final IndexON object) {
message.add(CURRENCY_FIELD, object.getCurrency().getCode());
message.add(NAME_FIELD, object.getName());
message.add(DAY_COUNT_FIELD, object.getDayCount().getConventionName());
message.add(PUBLICATION_LAG_FIELD, object.getPublicationLag());
}
}
/**
* Fudge builder for {@link IndexPrice}
*/
@FudgeBuilderFor(IndexPrice.class)
public static class IndexPriceBuilder extends AbstractFudgeBuilder<IndexPrice> {
/** Name field */
private static final String NAME_FIELD = "name";
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
@Override
public IndexPrice buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final String name = message.getString(NAME_FIELD);
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
return new IndexPrice(name, currency);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final IndexPrice object) {
message.add(NAME_FIELD, object.getName());
message.add(CURRENCY_FIELD, object.getCurrency().getCode());
}
}
/**
* Fudge builder for {@link FXMatrix}
*/
@FudgeBuilderFor(FXMatrix.class)
public static class FXMatrixBuilder extends AbstractFudgeBuilder<FXMatrix> {
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
/** Order (of the entries) field */
private static final String ORDER_FIELD = "order";
/** Entries field */
private static final String ENTRIES_FIELD = "entries";
/** FX rates field */
private static final String FX_RATES_FIELD = "fxRates";
/** Row field */
private static final String ROW_FIELD = "row";
@Override
public FXMatrix buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> currencies = message.getAllByName(CURRENCY_FIELD);
final List<FudgeField> orders = message.getAllByName(ORDER_FIELD);
final Map<Currency, Integer> map = new HashMap<>();
for (int i = 0; i < currencies.size(); i++) {
final Currency currency = Currency.of((String) currencies.get(i).getValue());
final Integer order = ((Number) orders.get(i).getValue()).intValue();
map.put(currency, order);
}
final List<FudgeField> entries = message.getAllByName(ENTRIES_FIELD);
final List<FudgeField> arrays = message.getAllByName(FX_RATES_FIELD);
final double[][] fxRates = new double[entries.size()][];
for (int i = 0; i < entries.size(); i++) {
final FudgeMsg msg = (FudgeMsg) arrays.get(i).getValue();
final double[] row = deserializer.fieldValueToObject(double[].class, msg.getByName(ROW_FIELD));
fxRates[i] = row;
}
return new FXMatrix(map, fxRates);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final FXMatrix object) {
final Map<Currency, Integer> currencies = object.getCurrencies();
for (final Map.Entry<Currency, Integer> entry : currencies.entrySet()) {
message.add(CURRENCY_FIELD, entry.getKey().getCode());
message.add(ORDER_FIELD, entry.getValue());
}
final double[][] rates = object.getRates();
for (final double[] array : rates) {
message.add(ENTRIES_FIELD, array.length);
final MutableFudgeMsg msg = serializer.newMessage();
serializer.addToMessageWithClassHeaders(msg, ROW_FIELD, null, array);
message.add(FX_RATES_FIELD, msg);
}
}
}
/**
* Fudge builder for {@link MulticurveProviderDiscount}
*/
@FudgeBuilderFor(MulticurveProviderDiscount.class)
public static class MulticurveProviderDiscountBuilder extends AbstractFudgeBuilder<MulticurveProviderDiscount> {
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
/** Discounting curves field */
private static final String DISCOUNTING_CURVE_FIELD = "discountingCurve";
/** Overnight indices field */
private static final String INDEX_ON_FIELD = "indexON";
/** Overnight curves field */
private static final String OVERNIGHT_CURVE_FIELD = "overnightCurve";
/** Index indices field */
private static final String INDEX_IBOR_FIELD = "iborIndex";
/** Ibor curves field */
private static final String INDEX_IBOR_CURVE = "iborCurve";
/** FX matrix field */
private static final String FX_MATRIX_FIELD = "fxMatrix";
@Override
public MulticurveProviderDiscount buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final Map<Currency, YieldAndDiscountCurve> discountingCurves = new LinkedHashMap<>();
final List<FudgeField> currencyFields = message.getAllByName(CURRENCY_FIELD);
final List<FudgeField> discountingCurveFields = message.getAllByName(DISCOUNTING_CURVE_FIELD);
for (int i = 0; i < currencyFields.size(); i++) {
final Currency currency = Currency.of((String) currencyFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) discountingCurveFields.get(i).getValue());
discountingCurves.put(currency, curve);
}
final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves = new LinkedHashMap<>();
final List<FudgeField> indexIborFields = message.getAllByName(INDEX_IBOR_FIELD);
final List<FudgeField> forwardIborCurveFields = message.getAllByName(INDEX_IBOR_CURVE);
for (int i = 0; i < currencyFields.size(); i++) {
final IborIndex index = deserializer.fudgeMsgToObject(IborIndex.class, (FudgeMsg) indexIborFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardIborCurveFields.get(i).getValue());
forwardIborCurves.put(index, curve);
}
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
final List<FudgeField> forwardONCurveFields = message.getAllByName(OVERNIGHT_CURVE_FIELD);
for (int i = 0; i < currencyFields.size(); i++) {
final IndexON index = deserializer.fudgeMsgToObject(IndexON.class, (FudgeMsg) indexONFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardONCurveFields.get(i).getValue());
forwardONCurves.put(index, curve);
}
final FXMatrix fxMatrix = deserializer.fieldValueToObject(FXMatrix.class, message.getByName(FX_MATRIX_FIELD));
return new MulticurveProviderDiscount(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final MulticurveProviderDiscount object) {
final Map<Currency, YieldAndDiscountCurve> discountingCurves = object.getDiscountingCurves();
for (final Map.Entry<Currency, YieldAndDiscountCurve> entry : discountingCurves.entrySet()) {
message.add(CURRENCY_FIELD, entry.getKey().getCode());
serializer.addToMessageWithClassHeaders(message, DISCOUNTING_CURVE_FIELD, null, entry.getValue());
}
final Map<IborIndex, YieldAndDiscountCurve> forwardIborCurves = object.getForwardIborCurves();
for (final Map.Entry<IborIndex, YieldAndDiscountCurve> entry : forwardIborCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_IBOR_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, INDEX_IBOR_CURVE, null, entry.getValue());
}
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = object.getForwardONCurves();
for (final Map.Entry<IndexON, YieldAndDiscountCurve> entry : forwardONCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_ON_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, OVERNIGHT_CURVE_FIELD, null, entry.getValue());
}
serializer.addToMessageWithClassHeaders(message, FX_MATRIX_FIELD, null, object.getFxRates());
}
}
/**
* Fudge builder for {@link MulticurveProviderForward}
*/
@FudgeBuilderFor(MulticurveProviderForward.class)
public static class MulticurveProviderForwardBuilder extends AbstractFudgeBuilder<MulticurveProviderForward> {
/** Currencies field */
private static final String CURRENCY_FIELD = "currency";
/** Discounting curves field */
private static final String DISCOUNTING_CURVE_FIELD = "discountingCurve";
/** Overnight indices field */
private static final String INDEX_ON_FIELD = "indexON";
/** Overnight curves field */
private static final String FORWARD_OVERNIGHT_CURVE_FIELD = "forwardOvernightCurve";
/** Index indices field */
private static final String INDEX_IBOR_FIELD = "iborIndex";
/** Ibor curves field */
private static final String FORWARD_IBOR_CURVE_FIELD = "forwardIborCurve";
/** FX matrix field */
private static final String FX_MATRIX_FIELD = "fxMatrix";
@Override
public MulticurveProviderForward buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final Map<Currency, YieldAndDiscountCurve> discountingCurves = new LinkedHashMap<>();
final List<FudgeField> currencyFields = message.getAllByName(CURRENCY_FIELD);
final List<FudgeField> discountingCurveFields = message.getAllByName(DISCOUNTING_CURVE_FIELD);
for (int i = 0; i < currencyFields.size(); i++) {
final Currency currency = Currency.of((String) currencyFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) discountingCurveFields.get(i).getValue());
discountingCurves.put(currency, curve);
}
final Map<IborIndex, DoublesCurve> forwardIborCurves = new LinkedHashMap<>();
final List<FudgeField> indexIborFields = message.getAllByName(INDEX_IBOR_FIELD);
final List<FudgeField> forwardIborCurveFields = message.getAllByName(FORWARD_IBOR_CURVE_FIELD);
for (int i = 0; i < currencyFields.size(); i++) {
final IborIndex index = deserializer.fudgeMsgToObject(IborIndex.class, (FudgeMsg) indexIborFields.get(i).getValue());
final DoublesCurve curve = deserializer.fudgeMsgToObject(DoublesCurve.class, (FudgeMsg) forwardIborCurveFields.get(i).getValue());
forwardIborCurves.put(index, curve);
}
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
final List<FudgeField> forwardONCurveFields = message.getAllByName(FORWARD_OVERNIGHT_CURVE_FIELD);
for (int i = 0; i < currencyFields.size(); i++) {
final IndexON index = deserializer.fudgeMsgToObject(IndexON.class, (FudgeMsg) indexONFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardONCurveFields.get(i).getValue());
forwardONCurves.put(index, curve);
}
final FXMatrix fxMatrix = deserializer.fieldValueToObject(FXMatrix.class, message.getByName(FX_MATRIX_FIELD));
return new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final MulticurveProviderForward object) {
final Map<Currency, YieldAndDiscountCurve> discountingCurves = object.getDiscountingCurves();
for (final Map.Entry<Currency, YieldAndDiscountCurve> entry : discountingCurves.entrySet()) {
message.add(CURRENCY_FIELD, entry.getKey().getCode());
serializer.addToMessageWithClassHeaders(message, DISCOUNTING_CURVE_FIELD, null, entry.getValue());
}
final Map<IborIndex, DoublesCurve> forwardIborCurves = object.getForwardIborCurves();
for (final Map.Entry<IborIndex, DoublesCurve> entry : forwardIborCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_IBOR_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, FORWARD_IBOR_CURVE_FIELD, null, entry.getValue());
}
final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = object.getForwardONCurves();
for (final Map.Entry<IndexON, YieldAndDiscountCurve> entry : forwardONCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, INDEX_ON_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, FORWARD_OVERNIGHT_CURVE_FIELD, null, entry.getValue());
}
serializer.addToMessageWithClassHeaders(message, FX_MATRIX_FIELD, null, object.getFxRates());
}
}
/**
* Fudge builder for {@link InflationProviderDiscount}
*/
@FudgeBuilderFor(InflationProviderDiscount.class)
public static class InflationProviderDiscountBuilder extends AbstractFudgeBuilder<InflationProviderDiscount> {
/** The multi-curve provider */
private static final String YIELD_CURVES_FIELD = "yieldCurves";
/** Price index field */
private static final String PRICE_INDEX_FIELD = "priceIndex";
/** Price index curve field */
private static final String PRICE_INDEX_CURVE_FIELD = "priceIndexCurve";
@Override
public InflationProviderDiscount buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final MulticurveProviderDiscount yieldCurves = deserializer.fieldValueToObject(MulticurveProviderDiscount.class, message.getByName(YIELD_CURVES_FIELD));
final List<FudgeField> indexFields = message.getAllByName(PRICE_INDEX_FIELD);
final List<FudgeField> indexCurveFields = message.getAllByName(PRICE_INDEX_CURVE_FIELD);
final Map<IndexPrice, PriceIndexCurve> priceIndexCurves = new LinkedHashMap<>();
final int n = indexFields.size();
for (int i = 0; i < n; i++) {
final IndexPrice index = deserializer.fudgeMsgToObject(IndexPrice.class, (FudgeMsg) indexFields.get(i).getValue());
final PriceIndexCurve curve = deserializer.fudgeMsgToObject(PriceIndexCurve.class, (FudgeMsg) indexCurveFields.get(i).getValue());
priceIndexCurves.put(index, curve);
}
return new InflationProviderDiscount(yieldCurves, priceIndexCurves);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final InflationProviderDiscount object) {
serializer.addToMessageWithClassHeaders(message, YIELD_CURVES_FIELD, null, object.getMulticurveProvider());
final Map<IndexPrice, PriceIndexCurve> priceIndexCurves = object.getPriceIndexCurves();
for (final Map.Entry<IndexPrice, PriceIndexCurve> entry : priceIndexCurves.entrySet()) {
serializer.addToMessageWithClassHeaders(message, PRICE_INDEX_FIELD, null, entry.getKey());
serializer.addToMessageWithClassHeaders(message, PRICE_INDEX_CURVE_FIELD, null, entry.getValue());
}
}
}
/**
* Fudge builder for {@link IssuerProviderDiscount}
*/
@FudgeBuilderFor(IssuerProviderDiscount.class)
public static class IssuerProviderDiscountBuilder extends AbstractFudgeBuilder<IssuerProviderDiscount> {
/** The curve provider field */
private static final String CURVE_PROVIDER_FIELD = "curveProvider";
/** The issuer curve names field */
private static final String ISSUER_CURVE_NAMES_FIELD = "issuerName";
/** The issuer currencies field */
private static final String ISSUER_CURRENCIES_FIELD = "issuerCurrency";
/** The issuer yield curves field */
private static final String ISSUER_CURVES_FIELD = "issuerCurve";
@Override
public IssuerProviderDiscount buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final MulticurveProviderDiscount multicurves = deserializer.fieldValueToObject(MulticurveProviderDiscount.class, message.getByName(CURVE_PROVIDER_FIELD));
final List<FudgeField> issuerNameFields = message.getAllByName(ISSUER_CURVE_NAMES_FIELD);
final List<FudgeField> issuerCurrencyFields = message.getAllByName(ISSUER_CURRENCIES_FIELD);
final List<FudgeField> issuerCurveFields = message.getAllByName(ISSUER_CURVES_FIELD);
final Map<Pair<String, Currency>, YieldAndDiscountCurve> issuerCurves = new HashMap<>();
for (int i = 0; i < issuerNameFields.size(); i++) {
final String issuerName = (String) issuerNameFields.get(i).getValue();
final Currency issuerCurrency = Currency.of((String) issuerCurrencyFields.get(i).getValue());
final YieldAndDiscountCurve curve = deserializer.fieldValueToObject(YieldAndDiscountCurve.class, issuerCurveFields.get(i));
issuerCurves.put(Pair.of(issuerName, issuerCurrency), curve);
}
return new IssuerProviderDiscount(multicurves, issuerCurves);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final IssuerProviderDiscount object) {
serializer.addToMessageWithClassHeaders(message, CURVE_PROVIDER_FIELD, null, object.getMulticurveProvider());
for (final Map.Entry<Pair<String, Currency>, YieldAndDiscountCurve> entry : object.getIssuerCurves().entrySet()) {
message.add(ISSUER_CURVE_NAMES_FIELD, entry.getKey().getFirst());
message.add(ISSUER_CURRENCIES_FIELD, entry.getKey().getSecond().getCode());
serializer.addToMessageWithClassHeaders(message, ISSUER_CURVES_FIELD, null, entry.getValue());
}
}
}
/**
* Fudge builder for {@link HullWhiteOneFactorProviderDiscount}
*/
@FudgeBuilderFor(HullWhiteOneFactorProviderDiscount.class)
public static class HullWhiteOneFactorProviderDiscountBuilder extends AbstractFudgeBuilder<HullWhiteOneFactorProviderDiscount> {
/** The curve provider field */
private static final String CURVE_PROVIDER_FIELD = "curveProvider";
/** The Hull-White parameters field */
private static final String HULL_WHITE_PARAMETERS_FIELD = "hullWhiteParameters";
/** The currency field */
private static final String CURRENCY_FIELD = "currency";
@Override
public HullWhiteOneFactorProviderDiscount buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final MulticurveProviderDiscount multicurves = deserializer.fieldValueToObject(MulticurveProviderDiscount.class, message.getByName(CURVE_PROVIDER_FIELD));
final HullWhiteOneFactorPiecewiseConstantParameters parameters = deserializer.fieldValueToObject(HullWhiteOneFactorPiecewiseConstantParameters.class,
message.getByName(HULL_WHITE_PARAMETERS_FIELD));
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
return new HullWhiteOneFactorProviderDiscount(multicurves, parameters, currency);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final HullWhiteOneFactorProviderDiscount object) {
serializer.addToMessageWithClassHeaders(message, CURVE_PROVIDER_FIELD, null, object.getMulticurveProvider());
serializer.addToMessageWithClassHeaders(message, HULL_WHITE_PARAMETERS_FIELD, null, object.getHullWhiteParameters());
message.add(CURRENCY_FIELD, object.getHullWhiteCurrency().getCode());
}
}
/**
* Fudge builder for {@link HullWhiteOneFactorPiecewiseConstantParameters}
*/
@FudgeBuilderFor(HullWhiteOneFactorPiecewiseConstantParameters.class)
public static class HullWhiteOneFactorPiecewiseConstantParametersBuilder extends AbstractFudgeBuilder<HullWhiteOneFactorPiecewiseConstantParameters> {
/** The mean reversion field */
private static final String MEAN_REVERSION_FIELD = "meanReversion";
/** The volatility field */
private static final String VOLATILITY_FIELD = "volatility";
/** The time field */
private static final String TIME_FIELD = "time";
@Override
public HullWhiteOneFactorPiecewiseConstantParameters buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final double meanReversion = message.getDouble(MEAN_REVERSION_FIELD);
final List<FudgeField> volatilityFields = message.getAllByName(VOLATILITY_FIELD);
int n = volatilityFields.size();
final double[] volatilities = new double[n];
for (int i = 0; i < n; i++) {
volatilities[i] = (Double) volatilityFields.get(i).getValue();
}
final List<FudgeField> timeFields = message.getAllByName(TIME_FIELD);
n = timeFields.size();
final double[] times = new double[n];
for (int i = 0; i < n; i++) {
times[i] = (Double) timeFields.get(i).getValue();
}
return new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, volatilities, times);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final HullWhiteOneFactorPiecewiseConstantParameters object) {
message.add(MEAN_REVERSION_FIELD, object.getMeanReversion());
final double[] volatility = object.getVolatility();
final double[] volatilityTime = object.getVolatilityTime();
for (int i = 0; i < volatility.length; i++) {
message.add(VOLATILITY_FIELD, volatility[i]);
message.add(TIME_FIELD, volatilityTime[i + 1]); //values are added to the time array in the constructor
}
}
}
/**
* Fudge builder for {@link G2ppPiecewiseConstantParameters}
*/
@FudgeBuilderFor(G2ppPiecewiseConstantParameters.class)
public static class G2ppPiecewiseConstantParametersBuilder extends AbstractFudgeBuilder<G2ppPiecewiseConstantParameters> {
/** The mean reversion fields */
private static final String MEAN_REVERSION_FIELD = "meanReversion";
/** The volatility fields */
private static final String VOLATILITIES_FIELD = "volatilities";
/** The time fields */
private static final String TIME_FIELD = "times";
/** The correlation field */
private static final String CORRELATION_FIELD = "correlation";
@Override
public G2ppPiecewiseConstantParameters buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> meanReversionFields = message.getAllByName(MEAN_REVERSION_FIELD);
int n = meanReversionFields.size();
final double[] meanReversion = new double[n];
for (int i = 0; i < n; i++) {
meanReversion[i] = (Double) meanReversionFields.get(i).getValue();
}
final List<FudgeField> volatilityFields = message.getAllByName(VOLATILITIES_FIELD);
n = volatilityFields.size();
final double[][] volatilities = new double[n][];
for (int i = 0; i < n; i++) {
volatilities[i] = deserializer.fieldValueToObject(double[].class, volatilityFields.get(i));
}
final List<FudgeField> timeFields = message.getAllByName(TIME_FIELD);
n = timeFields.size();
final double[] times = new double[n];
for (int i = 0; i < n; i++) {
times[i] = (Double) timeFields.get(i).getValue();
}
final double correlation = message.getDouble(CORRELATION_FIELD);
return new G2ppPiecewiseConstantParameters(meanReversion, volatilities, times, correlation);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final G2ppPiecewiseConstantParameters object) {
final double[] meanReversion = object.getMeanReversion();
for (final double element : meanReversion) {
message.add(MEAN_REVERSION_FIELD, element);
}
final DoubleArrayList[] volatility = object.getVolatility();
for (final DoubleArrayList element : volatility) {
serializer.addToMessage(message, VOLATILITIES_FIELD, null, element.toDoubleArray());
}
final double[] volatilityTime = object.getVolatilityTime();
for (int i = 0; i < volatilityTime.length - 2; i++) {
message.add(TIME_FIELD, volatilityTime[i + 1]); //values added to front and back of times array on construction
}
message.add(CORRELATION_FIELD, object.getCorrelation());
}
}
}