/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.method;
import java.util.ArrayList;
import java.util.List;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Generic calibration engine for interest rate instruments. This calibrate a model using calculators.
* @param <DATA_TYPE> The type of the data for the base calculator
*/
public abstract class CalibrationEngineWithCalculators<DATA_TYPE extends ParameterProviderInterface> extends CalibrationEngineWithPrices<DATA_TYPE> {
/**
* The calculator used to compute calibrating prices.
*/
private final List<InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount>> _calculators;
/**
* The exchange rate to convert the present values in a unique currency.
*/
private final FXMatrix _fxMatrix;
/**
* The unique currency in which all present values are converted.
*/
private final Currency _ccy;
/**
* Constructor of the calibration engine. The basket and calculator list are empty.
* @param fxMatrix The exchange rate to convert the present values in a unique currency.
* @param ccy The unique currency in which all present values are converted.
*/
public CalibrationEngineWithCalculators(final FXMatrix fxMatrix, final Currency ccy) {
super(fxMatrix, ccy);
_calculators = new ArrayList<>();
_fxMatrix = fxMatrix;
_ccy = ccy;
}
/**
* Computes the price of the instrument in the calibration basket using the engine calculator and the yield curves.
* @param data Data.
*/
public void computeCalibrationPrice(final DATA_TYPE data) {
final int nbInstrument = getBasket().size();
for (int loopins = 0; loopins < nbInstrument; loopins++) {
final MultipleCurrencyAmount pvMCA = getBasket().get(loopins).accept(_calculators.get(loopins), data);
final double pv = _fxMatrix.convert(pvMCA, _ccy).getAmount();
getCalibrationPrices().set(loopins, pv);
}
}
/**
* Add an instrument to the basket and the associated calculator.
* @param instrument An interest rate derivative.
* @param calculator The calculator.
*/
public void addInstrument(final InstrumentDerivative instrument, final InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount> calculator) {
getBasket().add(instrument);
_calculators.add(calculator);
getCalibrationPrices().add(0.0);
}
/**
* Add an array of instruments to the basket and the associated calculator. The same method is used for all the instruments.
* @param instrument An interest rate derivative array.
* @param calculator The calculator.
*/
public void addInstrument(final InstrumentDerivative[] instrument, final InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount> calculator) {
Validate.notNull(instrument, "Instrument");
for (final InstrumentDerivative element : instrument) {
addInstrument(element, calculator);
}
}
/**
* Gets the method list.
* @return the method.
*/
public List<InstrumentDerivativeVisitor<DATA_TYPE, MultipleCurrencyAmount>> getMethod() {
return _calculators;
}
}