/*
Copyright (C) 2008 Richard Gomes
Copyright (C) 2009 John Martin
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2002, 2003 Decillion Pty(Ltd)
Copyright (C) 2005, 2006, 2008 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.termstructures.yieldcurves;
import java.util.ArrayList;
import java.util.List;
import org.jquantlib.QL;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.lang.reflect.ReflectConstants;
import org.jquantlib.lang.reflect.TypeTokenTree;
import org.jquantlib.math.Closeness;
import org.jquantlib.math.interpolations.Interpolation;
import org.jquantlib.math.interpolations.Interpolation.Interpolator;
import org.jquantlib.math.matrixutilities.Array;
import org.jquantlib.termstructures.AbstractYieldTermStructure;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.util.Pair;
/**
* Term structure based on interpolation of discount factors.
* <p>
* Log-linear interpolation guarantees piecewise-constant forward rates.
*
* @category yieldtermstructures
*
* @author Richard Gomes
* @author John Martin
*/
public class InterpolatedDiscountCurve<I extends Interpolator> extends AbstractYieldTermStructure implements Traits.Curve {
// TODO: all fields should be protected? See: QL/C++
private Date[] dates;
private /*@Time*/ double[] times;
private double[] data;
private Interpolation interpolation;
private final Interpolator interpolator;
//
// private fields
//
final private Class<?> classI;
//
// protected constructors
//
static private Interpolator constructInterpolator(final Class<?> klass) {
if (klass==null)
throw new LibraryException("null interpolator"); // TODO: message
if (!Interpolator.class.isAssignableFrom(klass))
throw new LibraryException(ReflectConstants.WRONG_ARGUMENT_TYPE);
try {
return (Interpolator) klass.newInstance();
} catch (final Exception e) {
throw new LibraryException("cannot create Interpolator", e); // TODO: message
}
}
protected InterpolatedDiscountCurve(final DayCounter dc) {
this(dc, new TypeTokenTree(InterpolatedDiscountCurve.class).getElement(0));
}
protected InterpolatedDiscountCurve(
final DayCounter dc,
final Class<?> interpolator) {
this(dc, constructInterpolator(interpolator));
}
protected InterpolatedDiscountCurve(
final DayCounter dc,
final Interpolator interpolator) {
super(dc);
QL.validateExperimentalMode();
this.classI = new TypeTokenTree(this.getClass()).getElement(0);
if (classI != interpolator.getClass())
throw new LibraryException(ReflectConstants.WRONG_ARGUMENT_TYPE);
this.interpolator = interpolator;
}
protected InterpolatedDiscountCurve(
final Date referenceDate,
final DayCounter dc) {
this(referenceDate, dc, new TypeTokenTree(InterpolatedDiscountCurve.class).getElement(0));
}
protected InterpolatedDiscountCurve(
final Date referenceDate,
final DayCounter dc,
final Class<?> interpolator) {
this(referenceDate, dc, constructInterpolator(interpolator));
}
protected InterpolatedDiscountCurve(
final Date referenceDate,
final DayCounter dc,
final Interpolator interpolator) {
super(referenceDate, new Calendar(), dc);
QL.validateExperimentalMode();
this.classI = interpolator.getClass();
//XXX this.classI = new TypeTokenTree(this.getClass()).getElement(0);
// if (classI != interpolator.getClass()) {
// throw new LibraryException(ReflectConstants.WRONG_ARGUMENT_TYPE);
// }
this.interpolator = interpolator;
}
protected InterpolatedDiscountCurve(
final /*@Natural*/ int settlementDays,
final Calendar cal,
final DayCounter dc) {
this(settlementDays, cal, dc, new TypeTokenTree(InterpolatedDiscountCurve.class).getElement(0));
}
protected InterpolatedDiscountCurve(
final /*@Natural*/ int settlementDays,
final Calendar cal,
final DayCounter dc,
final Class<?> interpolator) {
this(settlementDays, cal, dc, constructInterpolator(interpolator));
}
protected InterpolatedDiscountCurve(
final /*@Natural*/ int settlementDays,
final Calendar cal,
final DayCounter dc,
final Interpolator interpolator) {
super(settlementDays, cal, dc);
QL.validateExperimentalMode();
this.classI = new TypeTokenTree(this.getClass()).getElement(0);
if (classI != interpolator.getClass())
throw new LibraryException(ReflectConstants.WRONG_ARGUMENT_TYPE);
this.interpolator = interpolator;
}
protected InterpolatedDiscountCurve(
final Date [] dates,
final double[] discounts,
final DayCounter dc,
final Calendar cal) {
this(dates, discounts, dc, cal, new TypeTokenTree(InterpolatedDiscountCurve.class).getElement(0));
}
protected InterpolatedDiscountCurve(
final Date [] dates,
final double[] discounts,
final DayCounter dc,
final Calendar cal,
final Class<?> interpolator) {
this(dates, discounts, dc, cal, constructInterpolator(interpolator));
}
//
// public constructors
//
public InterpolatedDiscountCurve (
final Date [] dates,
final double[] discounts,
final DayCounter dc,
final Calendar calendar,
final Interpolator interpolator) {
super (dates[0], calendar, dc);
QL.validateExperimentalMode();
this.classI = new TypeTokenTree(this.getClass()).getElement(0);
if (classI != interpolator.getClass())
throw new LibraryException(ReflectConstants.WRONG_ARGUMENT_TYPE);
QL.require (dates.length != 0, " Dates cannot be empty"); // TODO: message
QL.require (discounts.length != 0, "Discounts cannot be empty"); // TODO: message
QL.require (dates.length == data.length, "Dates must be the same size as Discounts"); // TODO: message
QL.require (data[0] == 1.0, "Initial discount factor must be 1.0"); // TODO: message
this.dates = dates; // TODO: clone() ?
this.data = discounts; // TODO: clone() ?
this.interpolator = interpolator;
this.times = new double[dates.length];
times[0] = 0.0;
for (int i = 1; i < dates.length; ++ i) {
QL.require (dates[i].gt (dates[i - 1]), "Dates must be in ascending order"); // TODO: message
QL.require (data[i] > 0, "Negative discount"); // TODO: message
times[i] = dc.yearFraction (dates[0], dates[i]);
QL.require(Closeness.isClose(times[i],times[i-1]),
"two dates correspond to the same time under this curve's day count convention"); // TODO: message
}
this.interpolation = interpolator.interpolate(new Array(times), new Array(data));
this.interpolation.update();
}
//
// implement Traits.Curve
//
@Override
public Date[] dates() {
return dates;
}
@Override
public Date maxDate() {
return dates[dates.length - 1];
}
@Override
public List<Pair<Date, Double>> nodes() {
final List<Pair<Date, Double>> nodes = new ArrayList<Pair<Date, Double>>();
for (int i = 0; i < dates.length; ++i) {
nodes.add(new Pair<Date, Double>(dates[i], data[i]));
}
return nodes;
}
@Override
public /*@Time*/ double[] times() {
return times;
}
@Override
public double[] data() {
return data;
}
@Override
public double discountImpl(final double t) {
return interpolation.op(t, true);
}
@Override
public Interpolation interpolation() {
return interpolation;
}
@Override
public Interpolator interpolator() {
return interpolator;
}
@Override
public void setInterpolation(final Interpolation interpolation) {
this.interpolation = interpolation;
}
@Override
public void setData(final double[] data) {
this.data = data; // TODO: clone() ?
}
@Override
public void setDates(final Date[] dates) {
this.dates = dates; // TODO: clone() ?
}
@Override
public void setTimes(final double[] times) {
this.times = times; // TODO: clone() ?
}
}