/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.calculator;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
import java.util.List;
import java.util.Map;
import java.util.Set;
import com.opengamma.analytics.financial.curve.interestrate.sensitivity.AbstractParameterSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.math.matrix.ColtMatrixAlgebra;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculator of the sensitivity to the market quotes of instruments used to build the curves.
*/
@SuppressWarnings("deprecation")
public final class MarketQuoteSensitivityCalculator {
/**
* The matrix algebra used for matrix inversion.
*/
private static final MatrixAlgebra MATRIX_ALGEBRA = new ColtMatrixAlgebra(); //TODO make this a parameter //ColtMatrixAlgebra()
/**
* The parameter sensitivity calculator. The parameters are the parameters used to described the curve.
*/
private final AbstractParameterSensitivityCalculator _parameterSensitivityCalculator;
/**
* The constructor.
* @param parameterSensitivityCalculator The parameter sensitivity calculator.
*/
public MarketQuoteSensitivityCalculator(final AbstractParameterSensitivityCalculator parameterSensitivityCalculator) {
_parameterSensitivityCalculator = parameterSensitivityCalculator;
}
/**
* Compute the market quote sensitivity from the parameter sensitivity and the inverse Jacobian matrix.
* @param parameterSensitivity The parameter sensitivity.
* @param inverseJacobian The inverse Jacobian matrix (derivative of the curve parameters with respect to the market quotes).
* @return The market quote sensitivity.
*/
public DoubleMatrix1D fromParameterSensitivityInverseJacobian(final DoubleMatrix1D parameterSensitivity, final DoubleMatrix2D inverseJacobian) {
return (DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity, inverseJacobian);
}
/**
* Compute the market quote sensitivity from an instrument and the Jacobian matrix.
* @param instrument The instrument. Not null.
* @param fixedCurves The fixed curves names (for which the parameter sensitivity are not computed even if they are necessary for the instrument pricing).
* The curve in the list may or may not be in the bundle. Not null.
* @param bundle The curve bundle with all the curves with respect to which the sensitivity should be computed. Not null.
* @param inverseJacobian The inverse Jacobian matrix (derivative of the curve parameters with respect to the market quotes).
* @return The market quote sensitivity.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public DoubleMatrix1D fromInstrumentInverseJacobian(final InstrumentDerivative instrument, final Set<String> fixedCurves, final YieldCurveBundle bundle, final DoubleMatrix2D inverseJacobian) {
final DoubleMatrix1D parameterSensitivity = _parameterSensitivityCalculator.calculateSensitivity(instrument, fixedCurves, bundle);
return fromParameterSensitivityInverseJacobian(parameterSensitivity, inverseJacobian);
}
/**
* Calculate the instrument sensitivity from the yield sensitivity, the jacobian matrix and the coupon sensitivity.
* @param curveSensitivities The sensitivity to points of the yield curve.
* @param curves The curve bundle.
* @param couponSensitivity The sensitivity
* @param jacobian The present value coupon sensitivity.
* @return The instrument quote/rate sensitivity.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public DoubleMatrix1D calculateFromPresentValue(final Map<String, List<DoublesPair>> curveSensitivities, final YieldCurveBundle curves, final DoubleMatrix1D couponSensitivity,
final DoubleMatrix2D jacobian) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : curves.getAllNames()) {
final List<Double> pointToParameterSensitivity = _parameterSensitivityCalculator.pointToParameterSensitivity(curveSensitivities.get(curveName), curves.getCurve(curveName));
final DoubleMatrix1D nodeSensitivity = new DoubleMatrix1D(pointToParameterSensitivity.toArray(new Double[pointToParameterSensitivity.size()]));
final int n = nodeSensitivity.getNumberOfElements();
final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum += -couponSensitivity.getEntry(i) * inverseJacobian.getEntry(j, i) * nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
// REVIEW: Would work only for one curve? MH:11-Jun-2013
/**
* @param curveSensitivities The curve sensitivities, not null
* @param interpolatedCurves The interpolated curves, not null
* @param jacobian The Jacobian, not null
* @return The instrument quote / rate sensitivity
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public DoubleMatrix1D calculateFromParRate(final Map<String, List<DoublesPair>> curveSensitivities, final YieldCurveBundle interpolatedCurves, final DoubleMatrix2D jacobian) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : interpolatedCurves.getAllNames()) {
final List<Double> pointToParameterSensitivity = _parameterSensitivityCalculator.pointToParameterSensitivity(curveSensitivities.get(curveName), interpolatedCurves.getCurve(curveName));
final DoubleMatrix1D nodeSensitivity = new DoubleMatrix1D(pointToParameterSensitivity.toArray(new Double[pointToParameterSensitivity.size()]));
final int n = nodeSensitivity.getNumberOfElements();
final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum += inverseJacobian.getEntry(j, i) * nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
/**
* @param curveSensitivities The curve sensitivities, not null
* @param interpolatedCurves The interpolated curves, not null
* @param transition The transition matrix, not null
* @return The market quote sensitivity
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public DoubleMatrix1D calculateFromParRateFromTransition(final Map<String, List<DoublesPair>> curveSensitivities, final YieldCurveBundle interpolatedCurves,
final DoubleMatrix2D transition) {
final Set<String> curvesNames = interpolatedCurves.getAllNames();
ArgumentChecker.isTrue(curvesNames.size() == 1, "More than one curve");
final String[] curvesNamesArray = curvesNames.toArray(new String[1]);
final List<Double> pointToParameterSensitivity = _parameterSensitivityCalculator.pointToParameterSensitivity(curveSensitivities.get(curvesNamesArray[0]),
interpolatedCurves.getCurve(curvesNamesArray[0]));
final DoubleMatrix1D nodeSensitivity = new DoubleMatrix1D(pointToParameterSensitivity.toArray(new Double[pointToParameterSensitivity.size()]));
final DoubleMatrix1D result = (DoubleMatrix1D) MATRIX_ALGEBRA.multiply(nodeSensitivity, transition);
return result;
}
/**
* @param curveSensitivities The curve sensitivities, not null
* @param interpolatedCurves The interpolated curves, not null
* @return The market quote sensitivity
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public DoubleMatrix1D calculateFromSimpleInterpolatedCurve(final Map<String, List<DoublesPair>> curveSensitivities, final YieldCurveBundle interpolatedCurves) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : interpolatedCurves.getAllNames()) {
final List<Double> pointToParameterSensitivity = _parameterSensitivityCalculator.pointToParameterSensitivity(curveSensitivities.get(curveName), interpolatedCurves.getCurve(curveName));
final DoubleMatrix1D nodeSensitivity = new DoubleMatrix1D(pointToParameterSensitivity.toArray(new Double[pointToParameterSensitivity.size()]));
final int n = nodeSensitivity.getNumberOfElements();
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum += nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
}