com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.interestrate.curve;

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

import org.apache.commons.lang.ObjectUtils;

import com.opengamma.analytics.math.curve.Curve;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class DiscountCurve extends YieldAndDiscountCurve {

    /**
     * The curve storing the required data as discount factors.
     */
    private final DoublesCurve _curve;

    private static final double SMALL_TIME = 1.0E-6;

    /**
     * Constructor from a curve containing the discount factors.
     * @param name The discount curve name.
     * @param discountFactorCurve The underlying curve.
     */
    public DiscountCurve(final String name, final DoublesCurve discountFactorCurve) {
        super(name);
        ArgumentChecker.notNull(discountFactorCurve, "Curve");
        _curve = discountFactorCurve;
    }

    /**
     * Builder from a DoublesCurve using the name of the DoublesCurve as the name of the DiscountCurve.
     * @param discountFactorCurve The underlying curve based on discount factors.
     * @return The discount curve.
     */
    public static DiscountCurve from(final DoublesCurve discountFactorCurve) {
        ArgumentChecker.notNull(discountFactorCurve, "Curve");
        return new DiscountCurve(discountFactorCurve.getName(), discountFactorCurve);
    }

    /**
     * Builder of an interpolated discount factor curve from yields (continuously compounded).
     * @param nodePoints The node points for the interpolated curve.
     * @param yields The yields (cc) at the node points.
     * @param interpolator The discount factors interpolator.
     * @param name The curve name.
     * @return The discount curve.
     */
    public static DiscountCurve fromYieldsInterpolated(final double[] nodePoints, final double[] yields,
            final Interpolator1D interpolator, final String name) {
        final int nbYields = yields.length;
        ArgumentChecker.isTrue(nodePoints.length == nbYields, "Yields array of incorrect length");
        final double[] discountFactor = new double[nbYields];
        for (int loopy = 0; loopy < nbYields; loopy++) {
            discountFactor[loopy] = Math.exp(-nodePoints[loopy] * yields[loopy]);
        }
        final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(nodePoints, discountFactor,
                interpolator, false);
        return new DiscountCurve(name, curve);
    }

    @Override
    public double getInterestRate(final Double time) {
        if (Math.abs(time) > SMALL_TIME) {
            return -Math.log(getDiscountFactor(time)) / time;
        }
        // Implementation note: if time too close to 0, compute the limit for t->0.
        final double dfP = getDiscountFactor(time + SMALL_TIME);
        final double df = getDiscountFactor(time);
        return (df - dfP) / (SMALL_TIME * df);
    }

    @Override
    public double getDiscountFactor(final double t) {
        return _curve.getYValue(t);
    }

    @Override
    public double getForwardRate(final double t) {
        return -_curve.getDyDx(t) / _curve.getYValue(t);
    }

    @Override
    public double[] getInterestRateParameterSensitivity(final double time) {
        final Double[] dfSensitivity = _curve.getYValueParameterSensitivity(time);
        final double[] rSensitivity = new double[dfSensitivity.length];
        // Implementation note: if time = 0, the rate is ill-defined: return 0 sensitivity
        if (Math.abs(time) < SMALL_TIME) {
            return rSensitivity;
        }
        final double df = getDiscountFactor(time);
        for (int loopp = 0; loopp < dfSensitivity.length; loopp++) {
            rSensitivity[loopp] = -dfSensitivity[loopp] / (time * df);
        }
        return rSensitivity;
    }

    @Override
    public int getNumberOfParameters() {
        return _curve.size();
    }

    @Override
    public List<String> getUnderlyingCurvesNames() {
        return new ArrayList<>();
    }

    /**
     * Gets the underlying curve.
     * @return The curve.
     */
    public Curve<Double, Double> getCurve() {
        return _curve;
    }

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

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

}