/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.inflation;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.apache.commons.lang.ArrayUtils;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.tuple.DoublesPair;
/**
*
*/
public class ParameterSensitivityInflationMatrixCalculator extends ParameterSensitivityInflationMatrixProviderAbstractCalculator {
/**
* Constructor
* @param inflationSensitivityCalculator The curve sensitivity calculator.
*/
public ParameterSensitivityInflationMatrixCalculator(final InstrumentDerivativeVisitor<InflationProviderInterface, InflationSensitivity> inflationSensitivityCalculator) {
super(inflationSensitivityCalculator);
}
/**
* Computes the sensitivity with respect to the parameters from the point sensitivities.
* @param sensitivity The point sensitivity.
* @param inflation The inflation provider. Not null.
* @param curvesSet The set of curves for which the sensitivity will be computed. Not null.
* @return The sensitivity (as a Matrix). The order of the sensitivity is by curve as provided by the curvesSet.
*/
@Override
public DoubleMatrix1D pointToParameterSensitivity(final InflationSensitivity sensitivity, final InflationProviderInterface inflation, final Set<String> curvesSet) {
SimpleParameterSensitivity ps = new SimpleParameterSensitivity();
final Map<String, List<DoublesPair>> sensitivityPriceCurve = sensitivity.getPriceCurveSensitivities();
for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityPriceCurve.entrySet()) {
if (curvesSet.contains(entry.getKey())) {
ps = ps.plus(entry.getKey(), new DoubleMatrix1D(inflation.parameterInflationSensitivity(entry.getKey(), entry.getValue())));
}
}
// YieldAndDiscount
final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getYieldDiscountingSensitivities();
for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
if (curvesSet.contains(entry.getKey())) {
ps = ps.plus(entry.getKey(), new DoubleMatrix1D(inflation.getMulticurveProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
}
}
// Forward
final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getForwardSensitivities();
for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
if (curvesSet.contains(entry.getKey())) {
ps = ps.plus(entry.getKey(), new DoubleMatrix1D(inflation.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
}
}
// By curve name in the curves set (to have the right order)
double[] result = new double[0];
for (final String name : curvesSet) {
final DoubleMatrix1D sensi = ps.getSensitivity(name);
if (sensi != null) {
result = ArrayUtils.addAll(result, sensi.getData());
} else {
result = ArrayUtils.addAll(result, new double[inflation.getNumberOfParameters(name)]);
}
}
return new DoubleMatrix1D(result);
}
}