/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate.curve;
import java.util.ArrayList;
import java.util.List;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.analytics.financial.interestrate.ContinuousInterestRate;
import com.opengamma.analytics.financial.interestrate.InterestRate;
import com.opengamma.analytics.financial.interestrate.PeriodicInterestRate;
import com.opengamma.analytics.math.curve.Curve;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.util.ArgumentChecker;
/**
* The implementation of a YieldAndDiscount curve where the curve is stored with maturities and periodically-compounded rates.
*/
public class YieldPeriodicCurve extends YieldAndDiscountCurve {
/**
* The curve storing the required data in the periodic-compounded convention.
*/
private final DoublesCurve _curve;
/**
* The number of composition periods per year for the storage curve (1 for annual, 2 for semi-annual, etc.).
*/
private final int _compoundingPeriodsPerYear;
/**
* Constructor.
* @param name The curve name.
* @param compoundingPeriodsPerYear The number of composition periods per year for the storage curve (1 for annual, 2 for semi-annual, etc.).
* @param yieldCurve Curve containing periodically-compounded rates against maturities. Rates are unitless (eg 0.02 for two percent) and maturities are in years.
*/
public YieldPeriodicCurve(final String name, final int compoundingPeriodsPerYear, final DoublesCurve yieldCurve) {
super(name);
ArgumentChecker.notNull(yieldCurve, "Curve");
_curve = yieldCurve;
_compoundingPeriodsPerYear = compoundingPeriodsPerYear;
}
/**
* Builder from a DoublesCurve using the name of the DoublesCurve as the name of the YieldCurve.
* @param compoundingPeriodsPerYear The number of composition periods per year for the storage curve (1 for annual, 2 for semi-annual, etc.).
* @param yieldCurve The underlying curve based on yields (periodically-compounded).
* @return The yield curve.
*/
public static YieldPeriodicCurve from(final int compoundingPeriodsPerYear, final DoublesCurve yieldCurve) {
ArgumentChecker.notNull(yieldCurve, "Curve");
return new YieldPeriodicCurve(yieldCurve.getName(), compoundingPeriodsPerYear, yieldCurve);
}
/**
* Builder of an interpolated discount factor curve from yields (continuously compounded).
* @param nodePoints The node points for the interpolated curve.
* @param yields The yields (cc) at the node points.
* @param compoundingPeriodsPerYear The number of composition periods per year for the storage curve (1 for annual, 2 for semi-annual, etc.).
* @param interpolator The period yield interpolator.
* @param name The curve name.
* @return The periodic yield curve.
*/
public static YieldPeriodicCurve fromYieldsInterpolated(final double[] nodePoints, final double[] yields, final int compoundingPeriodsPerYear, final Interpolator1D interpolator, final String name) {
final int nbYields = yields.length;
ArgumentChecker.isTrue(nodePoints.length == nbYields, "Yields array of incorrect length");
final double[] yieldPeriodic = new double[nbYields];
for (int loopy = 0; loopy < nbYields; loopy++) {
final InterestRate continous = new ContinuousInterestRate(yields[loopy]);
yieldPeriodic[loopy] = continous.toPeriodic(compoundingPeriodsPerYear).getRate();
}
final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(nodePoints, yieldPeriodic, interpolator, false);
return new YieldPeriodicCurve(name, compoundingPeriodsPerYear, curve);
}
@Override
public double getInterestRate(final Double time) {
final double rate = _curve.getYValue(time);
return _compoundingPeriodsPerYear * Math.log(1 + rate / _compoundingPeriodsPerYear);
}
@Override
public double getForwardRate(final double t) {
return _curve.getYValue(t) + t * _curve.getDyDx(t);
}
@Override
public double getDiscountFactor(final double t) {
final double rate = _curve.getYValue(t);
return Math.pow(1 + rate / _compoundingPeriodsPerYear, -_compoundingPeriodsPerYear * t);
}
@Override
public double getPeriodicInterestRate(final double t, final int compoundingPeriodsPerYear) {
if (compoundingPeriodsPerYear == _compoundingPeriodsPerYear) {
_curve.getYValue(t);
}
final InterestRate rc = new PeriodicInterestRate(_curve.getYValue(t), _compoundingPeriodsPerYear);
// Implementation note: rate in the composition of the storage.
final InterestRate rq = rc.toPeriodic(compoundingPeriodsPerYear);
return rq.getRate();
}
@Override
public double[] getInterestRateParameterSensitivity(final double t) {
final double rp = _curve.getYValue(t);
// double rc = _compoundingPeriodsPerYear * Math.log(1 + rp / _compoundingPeriodsPerYear);
final double rcBar = 1.0;
final double rpBar = 1.0 / (1 + rp / _compoundingPeriodsPerYear) * rcBar;
final Double[] drpdp = _curve.getYValueParameterSensitivity(t);
final double[] pBar = new double[drpdp.length];
for (int loopp = 0; loopp < drpdp.length; loopp++) {
pBar[loopp] = drpdp[loopp] * rpBar;
}
return pBar;
}
@Override
public int getNumberOfParameters() {
return _curve.size();
}
@Override
public List<String> getUnderlyingCurvesNames() {
return new ArrayList<>();
}
/**
* Gets the underlying curve.
* @return The curve.
*/
public Curve<Double, Double> getCurve() {
return _curve;
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _curve.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final YieldPeriodicCurve other = (YieldPeriodicCurve) obj;
return ObjectUtils.equals(_curve, other._curve);
}
}