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

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Here is the source code for com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve.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.ArrayUtils;
import org.apache.commons.lang.ObjectUtils;

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;

/**
 * The implementation of a YieldAndDiscount curve where the curve is stored with maturities and zero-coupon continuously-compounded rates.
 */
public class YieldCurve extends YieldAndDiscountCurve {

    /**
     * The curve storing the required data in the zero-coupon continuously compounded convention.
     */
    private final DoublesCurve _curve;

    /**
     * @param name The curve name.
     * @param yieldCurve Curve containing continuously-compounded rates against maturities. Rates are unitless (eg 0.02 for two percent) and maturities are in years.
     */
    public YieldCurve(final String name, final DoublesCurve yieldCurve) {
        super(name);
        ArgumentChecker.notNull(yieldCurve, "Curve");
        _curve = yieldCurve;
    }

    /**
     * Builder from a DoublesCurve using the name of the DoublesCurve as the name of the YieldCurve.
     * @param yieldCurve The underlying curve based on yields (continuously-compounded).
     * @return The yield curve.
     */
    public static YieldCurve from(final DoublesCurve yieldCurve) {
        ArgumentChecker.notNull(yieldCurve, "Curve");
        return new YieldCurve(yieldCurve.getName(), yieldCurve);
    }

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

    @Override
    public double getInterestRate(final Double t) {
        return getCurve().getYValue(t);
    }

    @Override
    public double getForwardRate(final double t) {
        final DoublesCurve curve = getCurve();
        return curve.getYValue(t) + t * curve.getDyDx(t);
    }

    @Override
    public double[] getInterestRateParameterSensitivity(final double t) {
        return ArrayUtils.toPrimitive(_curve.getYValueParameterSensitivity(t));
    }

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

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

    /**
     * Gets the underlying curve.
     * @return The curve.
     */
    public DoublesCurve 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 YieldCurve other = (YieldCurve) obj;
        return ObjectUtils.equals(_curve, other._curve);
    }

}