com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle.java Source code

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Here is the source code for com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.forex.method;

import java.util.Arrays;

import org.apache.commons.lang.ObjectUtils;
import org.apache.commons.lang.Validate;

import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;

/**
 * Class describing the present value sensitivity to a Forex currency pair quoted volatility parameters (ATM, RR, Strangle).
 */
public class PresentValueForexBlackVolatilityQuoteSensitivityDataBundle {

    /**
     * The currency pair.
     */
    private final Pair<Currency, Currency> _currencyPair;
    /**
     * The volatility sensitivity as a matrix with same dimension as the input. The sensitivity value is in second/domestic currency.
     */
    private final double[][] _vega;
    private final double[] _expiries;
    private final double[] _delta;

    /**
     * Constructor with initial sensitivities for a given currency pair.
     * @param ccy1 First currency, not null
     * @param ccy2 Second currency, not null
     * @param expiries The expiries for the vega matrix, not null
     * @param delta The deltas for the vega matrix, not null
     * @param vega The initial sensitivity, not null
     */
    public PresentValueForexBlackVolatilityQuoteSensitivityDataBundle(final Currency ccy1, final Currency ccy2,
            final double[] expiries, final double[] delta, final double[][] vega) {
        Validate.notNull(ccy1, "currency 1");
        Validate.notNull(ccy2, "currency 2");
        Validate.notNull(expiries, "expiries");
        Validate.notNull(delta, "delta");
        Validate.notNull(vega, "Matrix");
        Validate.isTrue(vega.length == expiries.length, "Number of rows did not match number of expiries");
        Validate.isTrue(vega[0].length == delta.length, "Number of columns did not match number of delta");
        _currencyPair = ObjectsPair.of(ccy1, ccy2);
        _expiries = expiries;
        _delta = delta;
        _vega = vega;
    }

    /**
     * Gets the currency pair.
     * @return The currency pair.
     */
    public Pair<Currency, Currency> getCurrencyPair() {
        return _currencyPair;
    }

    /**
     * Gets the volatility sensitivity (vega) map.
     * @return The sensitivity.
     */
    public double[][] getVega() {
        return _vega;
    }

    public double[] getExpiries() {
        return _expiries;
    }

    public double[] getDelta() {
        return _delta;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _currencyPair.hashCode();
        result = prime * result + Arrays.hashCode(_expiries);
        result = prime * result + Arrays.hashCode(_delta);
        result = prime * result + Arrays.hashCode(_vega);
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        PresentValueForexBlackVolatilityQuoteSensitivityDataBundle other = (PresentValueForexBlackVolatilityQuoteSensitivityDataBundle) obj;
        if (!ObjectUtils.equals(_currencyPair, other._currencyPair)) {
            return false;
        }
        if (!Arrays.equals(_delta, other._delta)) {
            return false;
        }
        if (!Arrays.equals(_expiries, other._expiries)) {
            return false;
        }
        if (!Arrays.equals(_vega, other._vega)) {
            return false;
        }
        return true;
    }

}