/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.issuer;
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.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.tuple.DoublesPair;
/**
* For an instrument, computes the sensitivity of double value (often par spread) to the parameters used in the curve.
* The meaning of "parameters" will depend of the way the curve is stored (interpolated yield, function parameters, etc.).
* The return format is DoubleMatrix1D object.
*/
public class ParameterSensitivityIssuerMatrixCalculator extends AbstractParameterSensitivityIssuerMatrixCalculator {
/**
* Constructor
* @param curveSensitivityCalculator The curve sensitivity calculator.
*/
public ParameterSensitivityIssuerMatrixCalculator(final InstrumentDerivativeVisitor<IssuerProviderInterface, MulticurveSensitivity> curveSensitivityCalculator) {
super(curveSensitivityCalculator);
}
@Override
public DoubleMatrix1D pointToParameterSensitivity(final MulticurveSensitivity sensitivity, final IssuerProviderInterface issuer, final Set<String> curvesSet) {
SimpleParameterSensitivity ps = new SimpleParameterSensitivity();
// 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(issuer.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(issuer.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[issuer.getNumberOfParameters(name)]);
}
}
return new DoubleMatrix1D(result);
}
}