com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters.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.interestrate.definition;

import it.unimi.dsi.fastutil.doubles.DoubleArrayList;

import org.apache.commons.lang.ObjectUtils;

import com.opengamma.util.ArgumentChecker;

/**
 * Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
 */
public class HullWhiteOneFactorPiecewiseConstantParameters {

    /**
     * The mean reversion speed (a) parameter.
     */
    private final double _meanReversion;
    /**
     * The volatility parameters. The volatility is constant between the volatility times. Volatility in t is _volatility[i] for t between _volatilityTime[i] and _volatilityTime[i+1].
     */
    private DoubleArrayList _volatility;
    /**
     * The times separating the constant volatility periods. The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity).
     * The extra time are added in the constructor.
     */
    private final DoubleArrayList _volatilityTime;
    /**
     * The time used to represent infinity.
     */
    private static final double VOLATILITY_TIME_INFINITY = 1000.0;

    /**
     * Constructor from the model parameters.
     * @param meanReversion The mean reversion speed (a) parameter.
     * @param volatility The volatility parameters.
     * @param volatilityTime The times separating the constant volatility periods.
     */
    public HullWhiteOneFactorPiecewiseConstantParameters(final double meanReversion, final double[] volatility,
            final double[] volatilityTime) {
        ArgumentChecker.notNull(volatility, "volatility time");
        ArgumentChecker.notNull(volatilityTime, "volatility time");
        _meanReversion = meanReversion;
        _volatility = new DoubleArrayList(volatility);
        final double[] volatilityTimeArray = new double[volatilityTime.length + 2];
        volatilityTimeArray[0] = 0.0;
        volatilityTimeArray[volatilityTime.length + 1] = VOLATILITY_TIME_INFINITY;
        System.arraycopy(volatilityTime, 0, volatilityTimeArray, 1, volatilityTime.length);
        _volatilityTime = new DoubleArrayList(volatilityTimeArray);
        // TODO: check that the time are increasing.
    }

    /**
     * Gets the mean reversion speed (a) parameter.
     * @return The mean reversion speed (a) parameter.
     */
    public double getMeanReversion() {
        return _meanReversion;
    }

    /**
     * Gets the volatility parameters.
     * @return The volatility parameters.
     */
    public double[] getVolatility() {
        return _volatility.toDoubleArray();
    }

    /**
     * Sets the volatility parameters.
     * @param volatility The volatility parameters.
     */
    public void setVolatility(final double[] volatility) {
        _volatility = new DoubleArrayList(volatility);
    }

    /**
     * Gets the times separating the constant volatility periods.
     * @return The times.
     */
    public double[] getVolatilityTime() {
        return _volatilityTime.toDoubleArray();
    }

    /**
     * Gets the last volatility of the volatility list.
     * @return The last volatility.
     */
    public double getLastVolatility() {
        return _volatility.get(_volatility.size() - 1);
    }

    /**
     * Sets the last volatility of the volatility list.
     * @param volatility The replacing volatility.
     */
    public void setLastVolatility(final double volatility) {
        _volatility.set(_volatility.size() - 1, volatility);
    }

    /**
     * Add an extra volatility and volatility time at the end of the list.
     * @param volatility The volatility.
     * @param volatilityTime The times separating the constant volatility periods. Must be larger than the previous one.
     */
    public void addVolatility(final double volatility, final double volatilityTime) {
        ArgumentChecker.isTrue(volatilityTime > _volatilityTime.get(_volatilityTime.size() - 2),
                "Volatility times should be increasing");
        _volatility.add(volatility);
        _volatilityTime.add(VOLATILITY_TIME_INFINITY);
        _volatilityTime.set(_volatilityTime.size() - 2, volatilityTime);
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        long temp;
        temp = Double.doubleToLongBits(_meanReversion);
        result = prime * result + (int) (temp ^ (temp >>> 32));
        result = prime * result + _volatility.hashCode();
        result = prime * result + _volatilityTime.hashCode();
        return result;
    }

    @Override
    public boolean equals(final Object obj) {
        if (this == obj) {
            return true;
        }
        if (!(obj instanceof HullWhiteOneFactorPiecewiseConstantParameters)) {
            return false;
        }
        final HullWhiteOneFactorPiecewiseConstantParameters other = (HullWhiteOneFactorPiecewiseConstantParameters) obj;
        if (Double.doubleToLongBits(_meanReversion) != Double.doubleToLongBits(other._meanReversion)) {
            return false;
        }
        if (!ObjectUtils.equals(_volatility, other._volatility)) {
            return false;
        }
        if (!ObjectUtils.equals(_volatilityTime, other._volatilityTime)) {
            return false;
        }
        return true;
    }

}