com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDataBundle.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDataBundle.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.model.finitedifference.applications;

import org.apache.commons.lang.Validate;

/**
 * 
 */
public class TwoStateMarkovChainDataBundle {
    private final double _vol1;
    private final double _vol2;
    private final double _beta1;
    private final double _beta2;
    private final double _lambda12;
    private final double _lambda21;
    private final double _pi1;
    private final double _p0;

    /**
     * 
    * @param vol1 Volatility of state 1 
     * @param vol2  Volatility of state 1 
     * @param lambda12 Transition rate from state 1 to 2 
     * @param lambda21 Transition rate from state 2 to 1 
     * @param probS1 Probability of starting in state 1 
     */
    public TwoStateMarkovChainDataBundle(final double vol1, final double vol2, final double lambda12,
            final double lambda21, final double probS1) {
        this(vol1, vol2, lambda12, lambda21, probS1, 1.0, 1.0);
    }

    /**
     * 
     * @param vol1 Volatility of state 1 
     * @param vol2  Volatility of state 1 
     * @param lambda12 Transition rate from state 1 to 2 
     * @param lambda21 Transition rate from state 2 to 1 
     * @param probS1 Probability of starting in state 1 
     * @param beta1 CEV parameter in state 1
     * @param beta2 CEV parameter in state 2
     */
    public TwoStateMarkovChainDataBundle(final double vol1, final double vol2, final double lambda12,
            final double lambda21, final double probS1, final double beta1, final double beta2) {

        Validate.isTrue(vol1 >= 0.0, "vol1 < 0");
        Validate.isTrue(vol2 >= vol1, "vol2 < vol1");
        Validate.isTrue(lambda12 >= 0.0, "lambda12 < 0");
        Validate.isTrue(lambda21 >= 0.0, "lambda21 < 0");
        Validate.isTrue(probS1 >= 0.0 && probS1 <= 1.0, "Need 0 <= probS1 <= 1.0");
        Validate.isTrue(beta1 >= 0.0 && beta1 <= 2.0, "Need 0 <= beta1 <= 2.0");
        Validate.isTrue(beta2 >= 0.0 && beta2 <= 2.0, "Need 0 <= beta2 <= 2.0");

        _vol1 = vol1;
        _vol2 = vol2;
        _beta1 = beta1;
        _beta2 = beta2;
        _lambda12 = lambda12;
        _lambda21 = lambda21;
        _p0 = probS1;

        double sum = lambda12 + lambda21;
        if (sum == 0) {
            _pi1 = probS1;
        } else {
            _pi1 = lambda21 / sum;
        }
    }

    /**
     * Gets the vol1.
     * @return the vol1
     */
    public double getVol1() {
        return _vol1;
    }

    /**
     * Gets the vol2.
     * @return the vol2
     */
    public double getVol2() {
        return _vol2;
    }

    /**
     * Gets the beta1.
     * @return the beta1
     */
    public double getBeta1() {
        return _beta1;
    }

    /**
     * Gets the beta2.
     * @return the beta2
     */
    public double getBeta2() {
        return _beta2;
    }

    /**
     * Gets the lambda12.
     * @return the lambda12
     */
    public double getLambda12() {
        return _lambda12;
    }

    /**
     * Gets the lambda21.
     * @return the lambda21
     */
    public double getLambda21() {
        return _lambda21;
    }

    /**
     * Gets the p0.
     * @return the p0
     */
    public double getP0() {
        return _p0;
    }

    public double getSteadyStateProb() {
        return _pi1;
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        long temp;
        temp = Double.doubleToLongBits(_beta1);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_beta2);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_lambda12);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_lambda21);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_p0);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_vol1);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        temp = Double.doubleToLongBits(_vol2);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        return result;
    }

    @Override
    public boolean equals(Object obj) {
        if (this == obj) {
            return true;
        }
        if (obj == null) {
            return false;
        }
        if (getClass() != obj.getClass()) {
            return false;
        }
        TwoStateMarkovChainDataBundle other = (TwoStateMarkovChainDataBundle) obj;
        if (Double.doubleToLongBits(_beta1) != Double.doubleToLongBits(other._beta1)) {
            return false;
        }
        if (Double.doubleToLongBits(_beta2) != Double.doubleToLongBits(other._beta2)) {
            return false;
        }
        if (Double.doubleToLongBits(_lambda12) != Double.doubleToLongBits(other._lambda12)) {
            return false;
        }
        if (Double.doubleToLongBits(_lambda21) != Double.doubleToLongBits(other._lambda21)) {
            return false;
        }
        if (Double.doubleToLongBits(_p0) != Double.doubleToLongBits(other._p0)) {
            return false;
        }
        if (Double.doubleToLongBits(_vol1) != Double.doubleToLongBits(other._vol1)) {
            return false;
        }
        if (Double.doubleToLongBits(_vol2) != Double.doubleToLongBits(other._vol2)) {
            return false;
        }
        return true;
    }

}