/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.fudgemsg;
import java.util.Arrays;
import java.util.HashMap;
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 com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.analytics.model.volatility.cube.fitted.FittedSmileDataPoints;
import com.opengamma.financial.analytics.model.volatility.surface.fitted.SurfaceFittedSmileDataPoints;
import com.opengamma.financial.analytics.volatility.fittedresults.HestonFittedSurfaces;
import com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;
/**
*
*/
/* package */final class SmileFittedSurfacesBuilder {
private SmileFittedSurfacesBuilder() {
}
@FudgeBuilderFor(SABRFittedSurfaces.class)
public static final class SABRFittedSurfacesFudgeBuilder extends AbstractFudgeBuilder<SABRFittedSurfaces> {
/** Field name. */
public static final String ALPHA_SURFACE_FIELD_NAME = "AlphaSurface";
/** Field name. */
public static final String BETA_SURFACE_FIELD_NAME = "BetaSurface";
/** Field name. */
public static final String NU_SURFACE_FIELD_NAME = "NuSurface";
/** Field name. */
public static final String RHO_SURFACE_FIELD_NAME = "RhoSurface";
/** Field name. */
public static final String INVERSE_JACOBIANS_PAIRS_FIELD_NAME = "pairs";
/** Field name. */
public static final String INVERSE_JACOBIANS_MATRICES_FIELD_NAME = "matrices";
@Override
public SABRFittedSurfaces buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final InterpolatedDoublesSurface alphaSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(ALPHA_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface betaSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(BETA_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface nuSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(NU_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface rhoSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(RHO_SURFACE_FIELD_NAME));
final List<FudgeField> pairFields = message.getAllByName(INVERSE_JACOBIANS_PAIRS_FIELD_NAME);
final List<FudgeField> matricesFields = message.getAllByName(INVERSE_JACOBIANS_MATRICES_FIELD_NAME);
if (pairFields.size() != matricesFields.size()) {
throw new OpenGammaRuntimeException("Should never happen");
}
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
for (int i = 0; i < pairFields.size(); i++) {
final DoubleMatrix2D matrix = deserializer.fieldValueToObject(DoubleMatrix2D.class, matricesFields.get(i));
inverseJacobians.put((DoublesPair) deserializer.fieldValueToObject(Pair.class, pairFields.get(i)), matrix);
}
return new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final SABRFittedSurfaces object) {
serializer.addToMessage(message, ALPHA_SURFACE_FIELD_NAME, null, object.getAlphaSurface());
serializer.addToMessage(message, BETA_SURFACE_FIELD_NAME, null, object.getBetaSurface());
serializer.addToMessage(message, NU_SURFACE_FIELD_NAME, null, object.getNuSurface());
serializer.addToMessage(message, RHO_SURFACE_FIELD_NAME, null, object.getRhoSurface());
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = object.getInverseJacobians();
for (final Map.Entry<DoublesPair, DoubleMatrix2D> entry : inverseJacobians.entrySet()) {
message.add(INVERSE_JACOBIANS_PAIRS_FIELD_NAME, null, FudgeSerializer.addClassHeader(serializer.objectToFudgeMsg(entry.getKey()), entry.getKey().getClass()));
message.add(INVERSE_JACOBIANS_MATRICES_FIELD_NAME, null, FudgeSerializer.addClassHeader(serializer.objectToFudgeMsg(entry.getValue()), entry.getValue().getClass()));
}
}
}
@FudgeBuilderFor(HestonFittedSurfaces.class)
public static final class HestonFittedSurfacesFudgeBuilder extends AbstractFudgeBuilder<HestonFittedSurfaces> {
/** Field name. */
public static final String KAPPA_SURFACE_FIELD_NAME = "KappaSurface";
/** Field name. */
public static final String THETA_SURFACE_FIELD_NAME = "ThetaSurface";
/** Field name. */
public static final String VOL0_SURFACE_FIELD_NAME = "Vol0Surface";
/** Field name. */
public static final String OMEGA_SURFACE_FIELD_NAME = "OmegaSurface";
/** Field name. */
public static final String RHO_SURFACE_FIELD_NAME = "RhoSurface";
/** Field name. */
public static final String INVERSE_JACOBIANS_PAIRS_FIELD_NAME = "pairs";
/** Field name. */
public static final String INVERSE_JACOBIANS_MATRICES_FIELD_NAME = "matrices";
/** Field name. */
public static final String CURRENCY_FIELD_NAME = "Currency";
@Override
public HestonFittedSurfaces buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final InterpolatedDoublesSurface kappaSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(KAPPA_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface thetaSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(THETA_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface vol0Surface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(VOL0_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface omegaSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(OMEGA_SURFACE_FIELD_NAME));
final InterpolatedDoublesSurface rhoSurface = deserializer.fieldValueToObject(InterpolatedDoublesSurface.class, message.getByName(RHO_SURFACE_FIELD_NAME));
final Currency currency = deserializer.fieldValueToObject(Currency.class, message.getByName(CURRENCY_FIELD_NAME));
final List<FudgeField> pairFields = message.getAllByName(INVERSE_JACOBIANS_PAIRS_FIELD_NAME);
final List<FudgeField> matricesFields = message.getAllByName(INVERSE_JACOBIANS_MATRICES_FIELD_NAME);
if (pairFields.size() != matricesFields.size()) {
throw new OpenGammaRuntimeException("Should never happen");
}
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
for (int i = 0; i < pairFields.size(); i++) {
final DoubleMatrix2D matrix = deserializer.fieldValueToObject(DoubleMatrix2D.class, matricesFields.get(i));
inverseJacobians.put((DoublesPair) deserializer.fieldValueToObject(Pair.class, pairFields.get(i)), matrix);
}
return new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final HestonFittedSurfaces object) {
serializer.addToMessage(message, KAPPA_SURFACE_FIELD_NAME, null, object.getKappaSurface());
serializer.addToMessage(message, THETA_SURFACE_FIELD_NAME, null, object.getThetaSurface());
serializer.addToMessage(message, VOL0_SURFACE_FIELD_NAME, null, object.getVol0Surface());
serializer.addToMessage(message, OMEGA_SURFACE_FIELD_NAME, null, object.getOmegaSurface());
serializer.addToMessage(message, RHO_SURFACE_FIELD_NAME, null, object.getRhoSurface());
serializer.addToMessage(message, CURRENCY_FIELD_NAME, null, object.getCurrency());
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = object.getInverseJacobians();
for (final Map.Entry<DoublesPair, DoubleMatrix2D> entry : inverseJacobians.entrySet()) {
message.add(INVERSE_JACOBIANS_PAIRS_FIELD_NAME, null, FudgeSerializer.addClassHeader(serializer.objectToFudgeMsg(entry.getKey()), entry.getKey().getClass()));
message.add(INVERSE_JACOBIANS_MATRICES_FIELD_NAME, null, FudgeSerializer.addClassHeader(serializer.objectToFudgeMsg(entry.getValue()), entry.getValue().getClass()));
}
}
}
@FudgeBuilderFor(FittedSmileDataPoints.class)
public static final class FittedSmileDataPointsBuilder extends AbstractFudgeBuilder<FittedSmileDataPoints> {
/** Field name */
public static final String TENOR_PAIR_FIELD_NAME = "Tenor pairs";
/** Field name */
public static final String EXTERNAL_IDS_ARRAY_FIELD_NAME = "External ids";
/** Field name */
public static final String RELATIVE_STRIKES_ARRAY_FIELD_NAME = "Relative strikes";
@Override
public FittedSmileDataPoints buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> tenorPairFields = message.getAllByName(TENOR_PAIR_FIELD_NAME);
final List<FudgeField> externalIdsFields = message.getAllByName(EXTERNAL_IDS_ARRAY_FIELD_NAME);
final List<FudgeField> relativeStrikesFields = message.getAllByName(RELATIVE_STRIKES_ARRAY_FIELD_NAME);
final Map<Pair<Tenor, Tenor>, ExternalId[]> externalIds = new HashMap<Pair<Tenor, Tenor>, ExternalId[]>();
final Map<Pair<Tenor, Tenor>, Double[]> relativeStrikes = new HashMap<Pair<Tenor, Tenor>, Double[]>();
if (tenorPairFields.size() != externalIdsFields.size() || tenorPairFields.size() != relativeStrikesFields.size()) {
throw new OpenGammaRuntimeException("Should never happen");
}
for (int i = 0; i < tenorPairFields.size(); i++) {
final Pair<Tenor, Tenor> tenors = deserializer.fieldValueToObject(Pair.class, tenorPairFields.get(i));
final List<ExternalId> externalIdList = deserializer.fieldValueToObject(List.class, externalIdsFields.get(i));
final List<Double> relativeStrikesList = deserializer.fieldValueToObject(List.class, relativeStrikesFields.get(i));
externalIds.put(tenors, externalIdList.toArray(new ExternalId[externalIdList.size()]));
relativeStrikes.put(tenors, relativeStrikesList.toArray(new Double[relativeStrikesList.size()]));
}
return new FittedSmileDataPoints(externalIds, relativeStrikes);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final FittedSmileDataPoints object) {
final Map<Pair<Tenor, Tenor>, ExternalId[]> externalIds = object.getExternalIds();
final Map<Pair<Tenor, Tenor>, Double[]> relativeStrikes = object.getFittedPoints();
for (final Map.Entry<Pair<Tenor, Tenor>, ExternalId[]> entry : externalIds.entrySet()) {
message.add(TENOR_PAIR_FIELD_NAME, null, FudgeSerializer.addClassHeader(serializer.objectToFudgeMsg(entry.getKey()), Pair.class));
serializer.addToMessageObject(message, EXTERNAL_IDS_ARRAY_FIELD_NAME, null, Arrays.asList(entry.getValue()), List.class);
serializer.addToMessageObject(message, RELATIVE_STRIKES_ARRAY_FIELD_NAME, null, Arrays.asList(relativeStrikes.get(entry.getKey())), List.class);
}
}
}
@FudgeBuilderFor(SurfaceFittedSmileDataPoints.class)
public static final class SurfaceFittedSmileDataPointsBuilder extends AbstractFudgeBuilder<SurfaceFittedSmileDataPoints> {
public static final String T_FIELD_NAME = "t field";
public static final String K_FIELD_NAME = "k field";
@Override
public SurfaceFittedSmileDataPoints buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final List<FudgeField> tFields = message.getAllByName(T_FIELD_NAME);
final List<FudgeField> kFields = message.getAllByName(K_FIELD_NAME);
final Map<Double, List<Double>> map = new HashMap<Double, List<Double>>();
for (int i = 0; i < tFields.size(); i++) {
final Double t = deserializer.fieldValueToObject(Double.class, tFields.get(i));
final List<Double> ks = deserializer.fieldValueToObject(List.class, kFields.get(i));
map.put(t, ks);
}
return new SurfaceFittedSmileDataPoints(map);
}
@Override
protected void buildMessage(final FudgeSerializer serializer, final MutableFudgeMsg message, final SurfaceFittedSmileDataPoints object) {
final Map<Double, List<Double>> map = object.getData();
for (final Map.Entry<Double, List<Double>> entry : map.entrySet()) {
message.add(T_FIELD_NAME, null, entry.getKey());
serializer.addToMessageObject(message, K_FIELD_NAME, null, entry.getValue(), List.class);
}
}
}
}