/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.swaption.method;
import java.util.ArrayList;
import java.util.List;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine;
import com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationObjective;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.math.rootfinding.BracketRoot;
import com.opengamma.analytics.math.rootfinding.RidderSingleRootFinder;
import com.opengamma.util.ArgumentChecker;
/**
* Specific calibration engine for the Hull-White one factor model with swaption.
* @deprecated {@link YieldCurveBundle} is deprecated
*/
@Deprecated
public class SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine extends SuccessiveRootFinderCalibrationEngine {
/**
* The list of calibration times.
*/
private final List<Double> _calibrationTimes = new ArrayList<>();
/**
* Constructor of the calibration engine.
* @param calibrationObjective The calibration objective.
*/
public SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(final SuccessiveRootFinderCalibrationObjective calibrationObjective) {
super(calibrationObjective);
}
/**
* Add an instrument to the basket and the associated calculator.
* @param instrument An interest rate derivative.
* @param method A calculator.
*/
@Override
public void addInstrument(final InstrumentDerivative instrument, final PricingMethod method) {
ArgumentChecker.isTrue(instrument instanceof SwaptionPhysicalFixedIbor, "Calibration instruments should be swaptions");
getBasket().add(instrument);
getMethod().add(method);
getCalibrationPrice().add(0.0);
_calibrationTimes.add(((SwaptionPhysicalFixedIbor) instrument).getTimeToExpiry());
}
@Override
public void calibrate(final YieldCurveBundle curves) {
computeCalibrationPrice(curves);
getCalibrationObjective().setCurves(curves);
final int nbInstruments = getBasket().size();
final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(getCalibrationObjective().getFunctionValueAccuracy(), getCalibrationObjective().getVariableAbsoluteAccuracy());
final BracketRoot bracketer = new BracketRoot();
for (int loopins = 0; loopins < nbInstruments; loopins++) {
final InstrumentDerivative instrument = getBasket().get(loopins);
getCalibrationObjective().setInstrument(instrument);
getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(), getCalibrationObjective().getMinimumParameter(), getCalibrationObjective().getMaximumParameter());
rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
if (loopins < nbInstruments - 1) {
((SwaptionPhysicalHullWhiteCalibrationObjective) getCalibrationObjective()).setNextCalibrationTime(_calibrationTimes.get(loopins));
}
}
}
}