/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.inflation;
import java.util.LinkedHashMap;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlock;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterInflationSensitivityParameterAbstractCalculator;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
import com.opengamma.analytics.math.matrix.OGMatrixAlgebra;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;
/**
* Calculator of the sensitivity to the market quotes of instruments used to build the curves .
* The sensitivities are computed as a block (vector) for each curve/currency pair.
* The sensitivity to a particular curve can be in several currencies.
* This class is a generalized (to inflation) of MarketQuoteSensitivityBlockCalculator.
* @param <DATA_TYPE> Data type.
*/
public class MarketQuoteInflationSensitivityBlockCalculator<DATA_TYPE extends InflationProviderInterface> {
/**
* The matrix algebra used for matrix inversion.
*/
private static final MatrixAlgebra MATRIX_ALGEBRA = new OGMatrixAlgebra(); //TODO make this a parameter
/**
* The parameter sensitivity calculator. The parameters are the parameters used to described the curve.
*/
private final ParameterInflationSensitivityParameterAbstractCalculator<DATA_TYPE> _parameterInflationSensitivityCalculator;
/**
* The constructor.
* @param parameterInflationSensitivityCalculator The parameter sensitivity calculator.
*/
public MarketQuoteInflationSensitivityBlockCalculator(final ParameterInflationSensitivityParameterAbstractCalculator<DATA_TYPE> parameterInflationSensitivityCalculator) {
_parameterInflationSensitivityCalculator = parameterInflationSensitivityCalculator;
}
/**
* Compute the market quote sensitivity from a parameter sensitivity.
* @param parameterSensitivity The parameter sensitivity.
* @param units The curve building units data.
* @return The market quote sensitivity.
*/
public MultipleCurrencyParameterSensitivity fromParameterSensitivity(final MultipleCurrencyParameterSensitivity parameterSensitivity, final CurveBuildingBlockBundle units) {
ArgumentChecker.notNull(parameterSensitivity, "Sensitivity");
ArgumentChecker.notNull(units, "Units");
MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
for (final Pair<String, Currency> nameCcy : parameterSensitivity.getAllNamesCurrency()) {
final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> oneCurveSensiMap = new LinkedHashMap<>();
final Pair<CurveBuildingBlock, DoubleMatrix2D> unitPair = units.getBlock(nameCcy.getFirst());
final double[] oneCurveSensiArray = ((DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity.getSensitivity(nameCcy), unitPair.getSecond())).getData();
for (final String name2 : unitPair.getFirst().getAllNames()) {
final int nbParameters = unitPair.getFirst().getNbParameters(name2);
final int start = unitPair.getFirst().getStart(name2);
final double[] sensiName2 = new double[nbParameters];
System.arraycopy(oneCurveSensiArray, start, sensiName2, 0, nbParameters);
oneCurveSensiMap.put(new ObjectsPair<>(name2, nameCcy.getSecond()), new DoubleMatrix1D(sensiName2));
}
final MultipleCurrencyParameterSensitivity sensiName = new MultipleCurrencyParameterSensitivity(oneCurveSensiMap);
result = result.plus(sensiName);
}
return result;
}
/**
* Compute the market quote sensitivity from an instrument.
* @param instrument The instrument. Not null.
* @param provider The provider
* @param units The curve building units data.
* @return The market quote sensitivity.
*/
public MultipleCurrencyParameterSensitivity fromInstrument(final InstrumentDerivative instrument, final DATA_TYPE provider, final CurveBuildingBlockBundle units) {
final MultipleCurrencyParameterSensitivity parameterSensitivity = _parameterInflationSensitivityCalculator.calculateSensitivity(instrument, provider,
provider.getAllNames());
return fromParameterSensitivity(parameterSensitivity, units);
}
}