/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate.definition;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
import org.apache.commons.lang.ObjectUtils;
import com.opengamma.util.ArgumentChecker;
/**
* Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
*/
public class HullWhiteOneFactorPiecewiseConstantParameters {
/**
* The mean reversion speed (a) parameter.
*/
private final double _meanReversion;
/**
* The volatility parameters. The volatility is constant between the volatility times. Volatility in t is _volatility[i] for t between _volatilityTime[i] and _volatilityTime[i+1].
*/
private DoubleArrayList _volatility;
/**
* The times separating the constant volatility periods. The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity).
* The extra time are added in the constructor.
*/
private final DoubleArrayList _volatilityTime;
/**
* The time used to represent infinity.
*/
private static final double VOLATILITY_TIME_INFINITY = 1000.0;
/**
* Constructor from the model parameters.
* @param meanReversion The mean reversion speed (a) parameter.
* @param volatility The volatility parameters.
* @param volatilityTime The times separating the constant volatility periods.
*/
public HullWhiteOneFactorPiecewiseConstantParameters(final double meanReversion, final double[] volatility, final double[] volatilityTime) {
ArgumentChecker.notNull(volatility, "volatility time");
ArgumentChecker.notNull(volatilityTime, "volatility time");
_meanReversion = meanReversion;
_volatility = new DoubleArrayList(volatility);
final double[] volatilityTimeArray = new double[volatilityTime.length + 2];
volatilityTimeArray[0] = 0.0;
volatilityTimeArray[volatilityTime.length + 1] = VOLATILITY_TIME_INFINITY;
System.arraycopy(volatilityTime, 0, volatilityTimeArray, 1, volatilityTime.length);
_volatilityTime = new DoubleArrayList(volatilityTimeArray);
// TODO: check that the time are increasing.
}
/**
* Gets the mean reversion speed (a) parameter.
* @return The mean reversion speed (a) parameter.
*/
public double getMeanReversion() {
return _meanReversion;
}
/**
* Gets the volatility parameters.
* @return The volatility parameters.
*/
public double[] getVolatility() {
return _volatility.toDoubleArray();
}
/**
* Sets the volatility parameters.
* @param volatility The volatility parameters.
*/
public void setVolatility(final double[] volatility) {
_volatility = new DoubleArrayList(volatility);
}
/**
* Gets the times separating the constant volatility periods.
* @return The times.
*/
public double[] getVolatilityTime() {
return _volatilityTime.toDoubleArray();
}
/**
* Gets the last volatility of the volatility list.
* @return The last volatility.
*/
public double getLastVolatility() {
return _volatility.get(_volatility.size() - 1);
}
/**
* Sets the last volatility of the volatility list.
* @param volatility The replacing volatility.
*/
public void setLastVolatility(final double volatility) {
_volatility.set(_volatility.size() - 1, volatility);
}
/**
* Add an extra volatility and volatility time at the end of the list.
* @param volatility The volatility.
* @param volatilityTime The times separating the constant volatility periods. Must be larger than the previous one.
*/
public void addVolatility(final double volatility, final double volatilityTime) {
ArgumentChecker.isTrue(volatilityTime > _volatilityTime.get(_volatilityTime.size() - 2), "Volatility times should be increasing");
_volatility.add(volatility);
_volatilityTime.add(VOLATILITY_TIME_INFINITY);
_volatilityTime.set(_volatilityTime.size() - 2, volatilityTime);
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
long temp;
temp = Double.doubleToLongBits(_meanReversion);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + _volatility.hashCode();
result = prime * result + _volatilityTime.hashCode();
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (!(obj instanceof HullWhiteOneFactorPiecewiseConstantParameters)) {
return false;
}
final HullWhiteOneFactorPiecewiseConstantParameters other = (HullWhiteOneFactorPiecewiseConstantParameters) obj;
if (Double.doubleToLongBits(_meanReversion) != Double.doubleToLongBits(other._meanReversion)) {
return false;
}
if (!ObjectUtils.equals(_volatility, other._volatility)) {
return false;
}
if (!ObjectUtils.equals(_volatilityTime, other._volatilityTime)) {
return false;
}
return true;
}
}