com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveMatrixCalculator.java Source code

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Here is the source code for com.opengamma.analytics.financial.provider.sensitivity.multicurve.ParameterSensitivityMulticurveMatrixCalculator.java

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/**
 * 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.multicurve;

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.MulticurveProviderInterface;
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 ParameterSensitivityMulticurveMatrixCalculator
        extends ParameterSensitivityMulticurveMatrixAbstractCalculator {

    /**
     * Constructor
     * @param curveSensitivityCalculator The curve sensitivity calculator.
     */
    public ParameterSensitivityMulticurveMatrixCalculator(
            final InstrumentDerivativeVisitor<MulticurveProviderInterface, MulticurveSensitivity> curveSensitivityCalculator) {
        super(curveSensitivityCalculator);
    }

    /**
     * Computes the sensitivity with respect to the parameters from the point sensitivities.
     * @param sensitivity The point sensitivity.
     * @param multicurves The multi-curve 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 MulticurveSensitivity sensitivity,
            final MulticurveProviderInterface multicurves, 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(multicurves.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(
                        multicurves.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[multicurves.getNumberOfParameters(name)]);
            }
        }
        return new DoubleMatrix1D(result);
    }

}