com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine.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.swaption.method;

import java.util.ArrayList;
import java.util.Arrays;
import java.util.List;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.method.PricingMethod;
import com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.math.rootfinding.BracketRoot;
import com.opengamma.analytics.math.rootfinding.RidderSingleRootFinder;

/**
 * Specific calibration engine for the Hull-White one factor model with swaption.
 */
public class SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine
        extends SuccessiveRootFinderCalibrationEngine {

    /**
     * The list of the last index in the Ibor date for each instrument.
     */
    private final List<Integer> _instrumentIndex = new ArrayList<Integer>();

    /**
     * Constructor of the calibration engine.
     * @param calibrationObjective The calibration objective.
     */
    public SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(
            SwaptionPhysicalLMMDDCalibrationObjective calibrationObjective) {
        super(calibrationObjective);
        _instrumentIndex.add(0);
    }

    /**
     * Gets the instrument index.
     * @return The instrument index.
     */
    public List<Integer> getInstrumentIndex() {
        return _instrumentIndex;
    }

    @Override
    public void addInstrument(final InstrumentDerivative instrument, final PricingMethod method) {
        Validate.notNull(instrument, "Instrument");
        Validate.notNull(method, "Method");
        Validate.isTrue(instrument instanceof SwaptionPhysicalFixedIbor,
                "Calibration instruments should be swaptions");
        SwaptionPhysicalFixedIbor swaption = (SwaptionPhysicalFixedIbor) instrument;
        getBasket().add(instrument);
        getMethod().add(method);
        getCalibrationPrice().add(0.0);
        _instrumentIndex.add(Arrays.binarySearch(
                ((SwaptionPhysicalLMMDDCalibrationObjective) getCalibrationObjective()).getLMMParameters()
                        .getIborTime(),
                swaption.getUnderlyingSwap().getSecondLeg()
                        .getNthPayment(swaption.getUnderlyingSwap().getSecondLeg().getNumberOfPayments() - 1)
                        .getPaymentTime()));
    }

    @Override
    public void calibrate(YieldCurveBundle curves) {
        computeCalibrationPrice(curves);
        getCalibrationObjective().setCurves(curves);
        int nbInstruments = getBasket().size();
        SwaptionPhysicalLMMDDCalibrationObjective objective = (SwaptionPhysicalLMMDDCalibrationObjective) getCalibrationObjective();
        final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(objective.getFunctionValueAccuracy(),
                objective.getVariableAbsoluteAccuracy());
        final BracketRoot bracketer = new BracketRoot();
        for (int loopins = 0; loopins < nbInstruments; loopins++) {
            InstrumentDerivative instrument = getBasket().get(loopins);
            getCalibrationObjective().setInstrument(instrument);
            objective.setStartIndex(_instrumentIndex.get(loopins));
            objective.setEndIndex(_instrumentIndex.get(loopins + 1) - 1);
            getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
            final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(),
                    objective.getMinimumParameter(), objective.getMaximumParameter());
            rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
        }
    }
}