/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate;
import java.util.ArrayList;
import java.util.List;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountAddZeroSpreadCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.FunctionalDoublesCurve;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.util.tuple.DoublesPair;
/**
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public abstract class FDCurveSensitivityCalculator {
/**
* Gives the sensitivity of the some metric of an IRD to a points on a one of the family of curves by finite difference
* @param ird The Interest Rate Derivative
* @param calculator This calculates the metric
* @param curves The family of yield curves
* @param curveName The name of the curve of interest
* @param times The times along the curve. <b>Note</b> These should be in ascending order and be known sensitivity points
* (or the result will be zero)
* @param absTol If the absolute value of a sensitivities is below this value it is ignored
* @return Sensitivities at a given points
*/
public static final List<DoublesPair> curveSensitvityFDCalculator(final InstrumentDerivative ird, final InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> calculator,
final YieldCurveBundle curves, final String curveName, final double[] times, final double absTol) {
Validate.notNull(times, "null times");
Validate.notNull(ird, "null ird");
Validate.notNull(calculator, "null calculator");
Validate.notNull(curves, "null curves");
Validate.isTrue(times[0] >= 0.0, "t less than 0");
Validate.isTrue(curves.containsName(curveName), "curveName not in curves");
final List<DoublesPair> res = new ArrayList<>();
double oldT = times[0];
boolean first = true;
for (final double t : times) {
if (!first) {
Validate.isTrue(t > oldT, "times not strictly assending");
} else {
first = false;
}
final double sense = impFDCalculator(ird, calculator, curves, curveName, t);
if (Math.abs(sense) > absTol) {
res.add(new DoublesPair(t, sense));
}
oldT = t;
}
return res;
}
// public static final List<DoublesPair> curveSensitvityFDCalculator(final InstrumentDerivative ird, AbstractInstrumentDerivativeVisitor<YieldCurveBundle, Double> calculator,
// final YieldCurveBundle curves, final String curveName, final Double[] times, final double absTol) {
// return curveSensitvityFDCalculator(ird, calculator, curves, curveName, times, absTol);
// }
/**
* Gives the sensitivity of the some metric of an IRD to a points on a one of the family of curves by finite difference
* @param ird The Interest Rate Derivative
* @param method This calculates the metric
* @param curves The family of yield curves
* @param curveName The name of the curve of interest
* @param times The times along the curve. <b>Note</b> These should be in ascending order and be known sensitivity points
* (or the result will be zero)
* @param absTol If the absolute value of a sensitivities is below this value it is ignored
* @return Sensitivities at a given points
*/
public static final List<DoublesPair> curveSensitvityFDCalculator(final InstrumentDerivative ird, final PricingMethod method, final YieldCurveBundle curves, final String curveName,
final double[] times,
final double absTol) {
Validate.notNull(times, "null times");
Validate.notNull(ird, "null ird");
Validate.notNull(method, "null method");
Validate.notNull(curves, "null curves");
Validate.isTrue(times[0] >= 0.0, "t less than 0");
Validate.isTrue(curves.containsName(curveName), "curveName not in curves");
final List<DoublesPair> res = new ArrayList<>();
double oldT = times[0];
boolean first = true;
for (final double t : times) {
if (!first) {
Validate.isTrue(t > oldT, "times not strictly assending");
} else {
first = false;
}
final double sense = impFDCalculator(ird, method, curves, curveName, t);
if (Math.abs(sense) > absTol) {
res.add(new DoublesPair(t, sense));
}
oldT = t;
}
return res;
}
/**
* Gives the sensitivity of the some metric of an IRD to a point on a one of the family of curves by finite difference
* @param ird The Interest Rate Derivative
* @param calculator This calculates the metric
* @param curves The family of yield curves
* @param curveName The name of the curve of interest
* @param t The time along the curve. <b>Note</b> This should be a known sensitivity point or the result will be zero
* @return Sensitivity at a given point
*/
public static final double curveSensitvityFDCalculator(final InstrumentDerivative ird, final InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> calculator, final YieldCurveBundle curves,
final String curveName, final double t) {
Validate.notNull(ird, "null ird");
Validate.notNull(calculator, "null calculator");
Validate.notNull(curves, "null curves");
Validate.isTrue(t >= 0.0, "t less than 0");
Validate.isTrue(curves.containsName(curveName), "curveName not in curves");
return impFDCalculator(ird, calculator, curves, curveName, t);
}
private static double impFDCalculator(final InstrumentDerivative ird, final InstrumentDerivativeVisitorAdapter<YieldCurveBundle, Double> calculator, final YieldCurveBundle curves,
final String curveName, final double t) {
final double eps = 1e-6;
final Function1D<Double, Double> blip = new Function1D<Double, Double>() {
@Override
public Double evaluate(final Double x) {
return (Math.abs(x - t) < 3.0e-6 ? eps : 0.0); //100 second tolerance
}
};
final YieldAndDiscountCurve blipCurve = YieldCurve.from(new FunctionalDoublesCurve(blip));
final YieldAndDiscountCurve originalCurve = curves.getCurve(curveName);
final YieldAndDiscountCurve upCurve = new YieldAndDiscountAddZeroSpreadCurve("UpCurve", false, originalCurve, blipCurve);
final YieldAndDiscountCurve downCurve = new YieldAndDiscountAddZeroSpreadCurve("DownCurve", true, originalCurve, blipCurve);
curves.replaceCurve(curveName, upCurve);
final double up = ird.accept(calculator, curves);
curves.replaceCurve(curveName, downCurve);
final double down = ird.accept(calculator, curves);
curves.replaceCurve(curveName, originalCurve);
return (up - down) / 2 / eps;
}
private static double impFDCalculator(final InstrumentDerivative ird, final PricingMethod method, final YieldCurveBundle curves, final String curveName, final double t) {
final double eps = 1e-6;
final Function1D<Double, Double> blip = new Function1D<Double, Double>() {
@Override
public Double evaluate(final Double x) {
return (Math.abs(x - t) < 3.0e-6 ? eps : 0.0); //100 second tolerance
}
};
final YieldAndDiscountCurve blipCurve = YieldCurve.from(new FunctionalDoublesCurve(blip));
final YieldAndDiscountCurve originalCurve = curves.getCurve(curveName);
final YieldAndDiscountCurve upCurve = new YieldAndDiscountAddZeroSpreadCurve("UpCurve", false, originalCurve, blipCurve);
final YieldAndDiscountCurve downCurve = new YieldAndDiscountAddZeroSpreadCurve("DownCurve", true, originalCurve, blipCurve);
curves.replaceCurve(curveName, upCurve);
final double up = method.presentValue(ird, curves).getAmount();
curves.replaceCurve(curveName, downCurve);
final double down = method.presentValue(ird, curves).getAmount();
curves.replaceCurve(curveName, originalCurve);
return (up - down) / 2 / eps;
}
}