/**
* 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.Arrays;
import java.util.List;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation;
import com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponMonthly;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.math.rootfinding.BracketRoot;
import com.opengamma.analytics.math.rootfinding.RidderSingleRootFinder;
import com.opengamma.util.ArgumentChecker;
/**
* Specific calibration engine for the price index (inflation) market model with year on year cap/floor.
* @param <DATA_TYPE> The type of the data for the base calculator.
*/
public class SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine<DATA_TYPE extends InflationProviderInterface> extends CalibrationEngineWithPrices<DATA_TYPE> {
/**
* The list of the last index in the Ibor date for each instrument.
*/
private final List<Integer> _instrumentExpiryIndex = new ArrayList<>();
/**
* The list of the last index in the Ibor date for each instrument.
*/
private final List<Integer> _instrumentStrikeIndex = new ArrayList<>();
/**
* The list of calibration times.
*/
private final List<Double> _calibrationTimes = new ArrayList<>();
/**
* The calibration objective.
*/
private final SuccessiveRootFinderCalibrationObjectivewithInflation _calibrationObjective;
/**
* Constructor of the calibration engine.
* @param calibrationObjective The calibration objective.
*/
public SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine(final SuccessiveRootFinderCalibrationObjectivewithInflation calibrationObjective) {
super(calibrationObjective.getFXMatrix(), calibrationObjective.getCcy());
_calibrationObjective = calibrationObjective;
_instrumentExpiryIndex.add(0);
_instrumentStrikeIndex.add(0);
}
/**
* Add an instrument to the basket and the associated calculator.
* @param instrument An interest rate derivative.
* @param calibrationPrice The price of the instrument we want to calibrate on.
*/
@Override
public void addInstrument(final InstrumentDerivative instrument, final double calibrationPrice) {
ArgumentChecker.isTrue((instrument instanceof CapFloorInflationZeroCouponInterpolation) || (instrument instanceof CapFloorInflationZeroCouponMonthly),
"Instrument should be cap inflation year on year.");
getBasket().add(instrument);
getCalibrationPrices().add(calibrationPrice);
if (instrument instanceof CapFloorInflationZeroCouponInterpolation) {
final CapFloorInflationZeroCouponInterpolation cap = (CapFloorInflationZeroCouponInterpolation) instrument;
_calibrationTimes.add(cap.getPaymentTime());
_instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters()
.getExpiryTimes(), cap.getReferenceEndTime()[1]));
_instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters().getStrikes(),
cap.getStrike()));
}
if (instrument instanceof CapFloorInflationZeroCouponMonthly) {
final CapFloorInflationZeroCouponMonthly cap = (CapFloorInflationZeroCouponMonthly) instrument;
_calibrationTimes.add(cap.getPaymentTime());
_instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters()
.getExpiryTimes(), cap.getReferenceEndTime()));
_instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters().getStrikes(),
cap.getStrike()));
}
}
/**
* Gets the instrument index.
* @return The instrument index.
*/
public List<Integer> getInstrumentExpiryIndex() {
return _instrumentExpiryIndex;
}
/**
* Gets the instrument index.
* @return The instrument index.
*/
public List<Integer> getInstrumentStrikeIndex() {
return _instrumentStrikeIndex;
}
/**
* 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 calibrationPrices The prices of the instruments we want to calibrate on.
*/
@Override
public void addInstrument(final InstrumentDerivative[] instrument, final double[] calibrationPrices) {
for (int loopinstrument = 0; loopinstrument < instrument.length; loopinstrument++) {
addInstrument(instrument[loopinstrument], calibrationPrices[loopinstrument]);
}
}
@Override
public void calibrate(final DATA_TYPE data) {
_calibrationObjective.setInflation(data.getInflationProvider());
final int nbInstruments = getBasket().size();
final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = (SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective;
final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
final BracketRoot bracketer = new BracketRoot();
for (int loopins = 0; loopins < nbInstruments; loopins++) {
final InstrumentDerivative instrument = getBasket().get(loopins);
_calibrationObjective.setInstrument(instrument);
_calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
objective.setExpiryIndex(_instrumentExpiryIndex.get(loopins + 1));
objective.setStrikeIndex(_instrumentStrikeIndex.get(loopins + 1));
final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
}
}
}