com.opengamma.analytics.financial.interestrate.market.PresentValueCurveSensitivityMarket.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.market.PresentValueCurveSensitivityMarket.java

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

import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import java.util.TreeSet;

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

import com.opengamma.util.tuple.DoublesPair;

/**
 * Class describing a present value curve sensitivity.
 */
public class PresentValueCurveSensitivityMarket {

    /**
     * The map containing the yield curve sensitivity. The map linked the curve (String) to a list of pairs (cash flow time, sensitivity value).
     */
    private final Map<String, List<DoublesPair>> _sensitivityYieldCurve;
    /**
     * The map containing the price index curve sensitivity. The map linked the curve (String) to a list of pairs (cash flow time, sensitivity value).
     */
    private final Map<String, List<DoublesPair>> _sensitivityPriceCurve;

    /**
     * Default constructor, creating an empty HashMap for the sensitivity.
     */
    public PresentValueCurveSensitivityMarket() {
        _sensitivityYieldCurve = new HashMap<String, List<DoublesPair>>();
        _sensitivityPriceCurve = new HashMap<String, List<DoublesPair>>();
    }

    /**
     * Constructor from a yield curve map of sensitivity.
     * @param sensitivityYieldCurve The map.
     */
    public PresentValueCurveSensitivityMarket(Map<String, List<DoublesPair>> sensitivityYieldCurve) {
        Validate.notNull(sensitivityYieldCurve, "sensitivity");
        _sensitivityYieldCurve = sensitivityYieldCurve;
        _sensitivityPriceCurve = new HashMap<String, List<DoublesPair>>();
    }

    /**
     * Constructor from a yield curve map and a price index curve of sensitivity.
     * @param sensitivityYieldCurve The map.
     * @param sensitivityPriceCurve The map.
     */
    public PresentValueCurveSensitivityMarket(Map<String, List<DoublesPair>> sensitivityYieldCurve,
            Map<String, List<DoublesPair>> sensitivityPriceCurve) {
        Validate.notNull(sensitivityYieldCurve, "Sensitivity yield curve");
        Validate.notNull(sensitivityPriceCurve, "Sensitivity price index curve");
        _sensitivityYieldCurve = sensitivityYieldCurve;
        _sensitivityPriceCurve = sensitivityPriceCurve;
    }

    /**
     * Gets the yield curve sensitivity map.
     * @return The sensitivity map
     */
    public Map<String, List<DoublesPair>> getYieldCurveSensitivities() {
        return _sensitivityYieldCurve;
    }

    /**
     * Gets the price index curve sensitivity map.
     * @return The sensitivity map
     */
    public Map<String, List<DoublesPair>> getPriceCurveSensitivities() {
        return _sensitivityPriceCurve;
    }

    /**
     * Create a copy of the sensitivity and add a given sensitivity to it.
     * @param other The sensitivity to add.
     * @return The total sensitivity.
     */
    public PresentValueCurveSensitivityMarket add(PresentValueCurveSensitivityMarket other) {
        Validate.notNull(other, "sensitivity");
        final Map<String, List<DoublesPair>> resultYield = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityYieldCurve.keySet()) {
            final List<DoublesPair> temp = new ArrayList<DoublesPair>();
            for (final DoublesPair pair : _sensitivityYieldCurve.get(name)) {
                temp.add(pair);
            }
            if (other.getYieldCurveSensitivities().containsKey(name)) {
                for (final DoublesPair pair : other._sensitivityYieldCurve.get(name)) {
                    temp.add(pair);
                }
            }
            resultYield.put(name, temp);
        }
        for (final String name : other.getYieldCurveSensitivities().keySet()) {
            if (!resultYield.containsKey(name)) {
                final List<DoublesPair> temp = new ArrayList<DoublesPair>();
                for (final DoublesPair pair : other._sensitivityYieldCurve.get(name)) {
                    temp.add(pair);
                }
                resultYield.put(name, temp);
            }
        }

        final Map<String, List<DoublesPair>> resultPrice = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityPriceCurve.keySet()) {
            final List<DoublesPair> temp = new ArrayList<DoublesPair>();
            for (final DoublesPair pair : _sensitivityPriceCurve.get(name)) {
                temp.add(pair);
            }
            if (other.getPriceCurveSensitivities().containsKey(name)) {
                for (final DoublesPair pair : other._sensitivityPriceCurve.get(name)) {
                    temp.add(pair);
                }
            }
            resultPrice.put(name, temp);
        }
        for (final String name : other.getPriceCurveSensitivities().keySet()) {
            if (!resultPrice.containsKey(name)) {
                final List<DoublesPair> temp = new ArrayList<DoublesPair>();
                for (final DoublesPair pair : other._sensitivityPriceCurve.get(name)) {
                    temp.add(pair);
                }
                resultPrice.put(name, temp);
            }
        }
        return new PresentValueCurveSensitivityMarket(resultYield, resultPrice);
    }

    /**
     * Create a new sensitivity object containing the original sensitivity multiplied by a common factor.
     * @param factor The multiplicative factor.
     * @return The multiplied sensitivity.
     */
    public PresentValueCurveSensitivityMarket multiply(double factor) {
        Map<String, List<DoublesPair>> resultYield = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityYieldCurve.keySet()) {
            final List<DoublesPair> curveSensi = new ArrayList<DoublesPair>();
            for (final DoublesPair pair : _sensitivityYieldCurve.get(name)) {
                curveSensi.add(new DoublesPair(pair.first, pair.second * factor));
            }
            resultYield.put(name, curveSensi);
        }
        Map<String, List<DoublesPair>> resultPrice = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityPriceCurve.keySet()) {
            final List<DoublesPair> curveSensi = new ArrayList<DoublesPair>();
            for (final DoublesPair pair : _sensitivityPriceCurve.get(name)) {
                curveSensi.add(new DoublesPair(pair.first, pair.second * factor));
            }
            resultPrice.put(name, curveSensi);
        }
        return new PresentValueCurveSensitivityMarket(resultYield, resultPrice);
    }

    /**
     * Return a new sensitivity by sorting the times and adding the values at duplicated times.
     * @return The cleaned sensitivity.
     */
    public PresentValueCurveSensitivityMarket clean() {
        //TODO: improve the sorting algorithm.
        Map<String, List<DoublesPair>> resultYield = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityYieldCurve.keySet()) {
            List<DoublesPair> list = _sensitivityYieldCurve.get(name);
            List<DoublesPair> listClean = new ArrayList<DoublesPair>();
            Set<Double> set = new TreeSet<Double>();
            for (final DoublesPair pair : list) {
                set.add(pair.getFirst());
            }
            for (Double time : set) {
                double sensi = 0;
                for (int looplist = 0; looplist < list.size(); looplist++) {
                    if (list.get(looplist).getFirst().doubleValue() == time.doubleValue()) {
                        sensi += list.get(looplist).second;
                    }
                }
                listClean.add(new DoublesPair(time, sensi));
            }
            resultYield.put(name, listClean);
        }
        Map<String, List<DoublesPair>> resultPrice = new HashMap<String, List<DoublesPair>>();
        for (final String name : _sensitivityPriceCurve.keySet()) {
            List<DoublesPair> list = _sensitivityPriceCurve.get(name);
            List<DoublesPair> listClean = new ArrayList<DoublesPair>();
            Set<Double> set = new TreeSet<Double>();
            for (final DoublesPair pair : list) {
                set.add(pair.getFirst());
            }
            for (Double time : set) {
                double sensi = 0;
                for (int looplist = 0; looplist < list.size(); looplist++) {
                    if (list.get(looplist).getFirst().doubleValue() == time.doubleValue()) {
                        sensi += list.get(looplist).second;
                    }
                }
                listClean.add(new DoublesPair(time, sensi));
            }
            resultPrice.put(name, listClean);
        }
        return new PresentValueCurveSensitivityMarket(resultYield, resultPrice);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _sensitivityPriceCurve.hashCode();
        result = prime * result + _sensitivityYieldCurve.hashCode();
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        PresentValueCurveSensitivityMarket other = (PresentValueCurveSensitivityMarket) obj;
        if (!ObjectUtils.equals(_sensitivityPriceCurve, other._sensitivityPriceCurve)) {
            return false;
        }
        if (!ObjectUtils.equals(_sensitivityYieldCurve, other._sensitivityYieldCurve)) {
            return false;
        }
        return true;
    }

}