Java tutorial
/** * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.market.curve; import java.util.LinkedHashMap; import java.util.Map; import java.util.Set; import com.google.common.collect.ImmutableSet; import com.google.common.collect.Lists; import com.opengamma.strata.basics.currency.Currency; import com.opengamma.strata.basics.index.Index; import com.opengamma.strata.basics.index.RateIndex; import com.opengamma.strata.collect.ArgChecker; /** * A mutable builder for creating instances of {@code CurveGroupDefinition}. */ @SuppressWarnings("unchecked") public final class CurveGroupDefinitionBuilder { /** * The name of the curve group. */ private CurveGroupName name; /** * The entries in the curve group. */ private final Map<CurveName, CurveGroupEntry> entries; /** * The definitions specifying how the curves are calibrated. */ private final Map<CurveName, NodalCurveDefinition> curveDefinitions; /** * Flag indicating if the Jacobian matrices should be computed and stored in metadata or not. * The default value is 'true'. */ private boolean computeJacobian = true; /** * Flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not. * The default value is 'false'. */ private boolean computePvSensitivityToMarketQuote = false; CurveGroupDefinitionBuilder() { this.entries = new LinkedHashMap<>(); this.curveDefinitions = new LinkedHashMap<>(); } CurveGroupDefinitionBuilder(CurveGroupName name, Map<CurveName, CurveGroupEntry> entries, Map<CurveName, NodalCurveDefinition> curveDefinitions, boolean computeJacobian, boolean computePvSensitivityToMarketQuote) { this.name = name; this.entries = entries; this.curveDefinitions = curveDefinitions; this.computeJacobian = computeJacobian; this.computePvSensitivityToMarketQuote = computePvSensitivityToMarketQuote; } //------------------------------------------------------------------------- /** * Sets the name of the curve group definition. * * @param name the name of the curve group, not empty * @return this builder */ public CurveGroupDefinitionBuilder name(CurveGroupName name) { this.name = ArgChecker.notNull(name, "name"); return this; } /** * Sets the 'compute Jacobian' flag of the curve group definition. * * @param computeJacobian the flag indicating if the Jacobian matrices should be * computed and stored in metadata or not * @return this builder */ public CurveGroupDefinitionBuilder computeJacobian(boolean computeJacobian) { this.computeJacobian = computeJacobian; return this; } /** * Sets the 'compute PV sensitivity to market quote' flag of the curve group definition. * <p> * If set, the Jacobian matrices will also be calculated, even if not requested. * * @param computePvSensitivityToMarketQuote the flag indicating if present value sensitivity * to market quotes should be computed and stored in metadata or not * @return this builder */ public CurveGroupDefinitionBuilder computePvSensitivityToMarketQuote( boolean computePvSensitivityToMarketQuote) { this.computePvSensitivityToMarketQuote = computePvSensitivityToMarketQuote; return this; } //------------------------------------------------------------------------- /** * Adds the definition of a discount curve to the curve group definition. * * @param curveDefinition the discount curve configuration * @param otherCurrencies additional currencies for which the curve can provide discount factors * @param currency the currency for which the curve provides discount rates * @return this builder */ public CurveGroupDefinitionBuilder addDiscountCurve(NodalCurveDefinition curveDefinition, Currency currency, Currency... otherCurrencies) { ArgChecker.notNull(curveDefinition, "curveDefinition"); ArgChecker.notNull(currency, "currency"); CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveDefinition.getName()) .discountCurrencies(ImmutableSet.copyOf(Lists.asList(currency, otherCurrencies))).build(); return merge(entry, curveDefinition); } /** * Adds the definition of a discount curve to the curve group definition. * <p> * A curve added with this method cannot be calibrated by the market data system as it does not include * a curve definition. It is intended to be used with curves which are supplied by the user. * * @param curveName the name of the curve * @param otherCurrencies additional currencies for which the curve can provide discount factors * @param currency the currency for which the curve provides discount rates * @return this builder */ public CurveGroupDefinitionBuilder addDiscountCurve(CurveName curveName, Currency currency, Currency... otherCurrencies) { ArgChecker.notNull(curveName, "curveName"); ArgChecker.notNull(currency, "currency"); CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveName) .discountCurrencies(ImmutableSet.copyOf(Lists.asList(currency, otherCurrencies))).build(); return mergeEntry(entry); } //------------------------------------------------------------------------- /** * Adds the definition of a forward curve to the curve group definition. * * @param curveDefinition the definition of the forward curve * @param index the index for which the curve provides forward rates * @param otherIndices the additional indices for which the curve provides forward rates * @return this builder */ public CurveGroupDefinitionBuilder addForwardCurve(NodalCurveDefinition curveDefinition, Index index, Index... otherIndices) { ArgChecker.notNull(curveDefinition, "curveDefinition"); ArgChecker.notNull(index, "index"); CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveDefinition.getName()) .indices(indices(index, otherIndices)).build(); return merge(entry, curveDefinition); } /** * Adds the definition of a forward curve to the curve group definition. * <p> * A curve added with this method cannot be calibrated by the market data system as it does not include * a curve definition. It is intended to be used with curves which are supplied by the user. * * @param curveName the name of the curve * @param index the index for which the curve provides forward rates * @param otherIndices the additional indices for which the curve provides forward rates * @return this builder */ public CurveGroupDefinitionBuilder addForwardCurve(CurveName curveName, Index index, Index... otherIndices) { ArgChecker.notNull(curveName, "curveName"); ArgChecker.notNull(index, "index"); CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveName).indices(indices(index, otherIndices)) .build(); return mergeEntry(entry); } //------------------------------------------------------------------------- /** * Adds the definition of a curve to the curve group definition which is used to provide * discount rates and forward rates. * * @param curveDefinition the definition of the forward curve * @param currency the currency for which the curve provides discount rates * @param index the index for which the curve provides forward rates * @param otherIndices the additional indices for which the curve provides forward rates * @return this builder */ public CurveGroupDefinitionBuilder addCurve(NodalCurveDefinition curveDefinition, Currency currency, RateIndex index, RateIndex... otherIndices) { ArgChecker.notNull(curveDefinition, "curveDefinition"); ArgChecker.notNull(currency, "currency"); ArgChecker.notNull(index, "index"); CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveDefinition.getName()) .discountCurrencies(ImmutableSet.of(currency)).indices(indices(index, otherIndices)).build(); return merge(entry, curveDefinition); } /** * Adds a curve to the curve group definition which is used to provide discount rates and forward rates. * <p> * A curve added with this method cannot be calibrated by the market data system as it does not include * a curve definition. It is intended to be used with curves which are supplied by the user. * * @param curveName the name of the curve * @param currency the currency for which the curve provides discount rates * @param index the index for which the curve provides forward rates * @param otherIndices the additional indices for which the curve provides forward rates * @return this builder */ public CurveGroupDefinitionBuilder addCurve(CurveName curveName, Currency currency, RateIndex index, RateIndex... otherIndices) { CurveGroupEntry entry = CurveGroupEntry.builder().curveName(curveName) .discountCurrencies(ImmutableSet.of(currency)).indices(indices(index, otherIndices)).build(); return mergeEntry(entry); } private CurveGroupDefinitionBuilder merge(CurveGroupEntry newEntry, NodalCurveDefinition curveDefinition) { curveDefinitions.put(curveDefinition.getName(), curveDefinition); return mergeEntry(newEntry); } // merges the specified entry with those already stored private CurveGroupDefinitionBuilder mergeEntry(CurveGroupEntry newEntry) { CurveName curveName = newEntry.getCurveName(); CurveGroupEntry existingEntry = entries.get(curveName); CurveGroupEntry entry = existingEntry == null ? newEntry : existingEntry.merge(newEntry); entries.put(curveName, entry); return this; } /** * Returns a set containing any Ibor indices in the arguments. */ private static Set<Index> indices(Index index, Index... otherIndices) { // The type parameter is needed for the benefit of the Eclipse compiler return ImmutableSet.<Index>builder().add(index).add(otherIndices).build(); } //------------------------------------------------------------------------- /** * Builds the definition of the curve group from the data in this object. * * @return the definition of the curve group built from the data in this object */ public CurveGroupDefinition build() { // note that this defaults the jacobian flag based on the market quote flag return new CurveGroupDefinition(name, entries.values(), curveDefinitions.values(), computeJacobian || computePvSensitivityToMarketQuote, computePvSensitivityToMarketQuote); } }