com.opengamma.analytics.financial.model.volatility.smile.function.HestonModelData.java Source code

Introduction

Here is the source code for com.opengamma.analytics.financial.model.volatility.smile.function.HestonModelData.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.model.volatility.smile.function;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

/**
 * 
 */
public class HestonModelData implements SmileModelData {
    private static final int NUM_PARAMETERS = 5;

    private final double[] _parameters;

    public HestonModelData(final double kappa, final double theta, final double vol0, final double omega,
            final double rho) {
        this(new double[] { kappa, theta, vol0, omega, rho });
    }

    public HestonModelData(final double[] parameters) {
        Validate.notNull(parameters, "null parameters");
        Validate.isTrue(parameters.length == NUM_PARAMETERS, "number of parameters wrong");
        Validate.isTrue(parameters[0] >= 0.0, "kappa must be >= 0");
        Validate.isTrue(parameters[1] >= 0.0, "theta must be >= 0");
        Validate.isTrue(parameters[2] >= 0.0, "vol0 must be >= 0");
        Validate.isTrue(parameters[3] >= 0.0, "omega must be >= 0");
        Validate.isTrue(parameters[4] >= -1.0 && parameters[4] <= 1.0, "rho must be >= -1 && <= 1");

        _parameters = new double[NUM_PARAMETERS];
        System.arraycopy(parameters, 0, _parameters, 0, NUM_PARAMETERS);
    }

    @Override
    public boolean isAllowed(final int index, final double value) {
        switch (index) {
        case 0:
        case 1:
        case 2:
        case 3:
            return value >= 0;
        case 4:
            return value >= -1 && value <= 1;
        default:
            throw new IllegalArgumentException("index " + index + " outside range");
        }
    }

    public double getKappa() {
        return _parameters[0];
    }

    public double getTheta() {
        return _parameters[1];
    }

    public double getVol0() {
        return _parameters[2];
    }

    public double getOmega() {
        return _parameters[3];
    }

    public double getRho() {
        return _parameters[4];
    }

    public HestonModelData withKappa(final double kappa) {
        return this.with(0, kappa);
    }

    public HestonModelData withTheta(final double theta) {
        return this.with(1, theta);
    }

    public HestonModelData withVol0(final double vol0) {
        return this.with(2, vol0);
    }

    public HestonModelData withOmega(final double omega) {
        return this.with(3, omega);
    }

    public HestonModelData withRho(final double rho) {
        return this.with(4, rho);
    }

    @Override
    public int getNumberOfParameters() {
        return NUM_PARAMETERS;
    }

    @Override
    public double getParameter(final int index) {
        return _parameters[index];
    }

    @Override
    public HestonModelData with(final int index, final double value) {
        final double[] temp = new double[NUM_PARAMETERS];
        System.arraycopy(_parameters, 0, temp, 0, NUM_PARAMETERS);
        temp[index] = value;
        return new HestonModelData(temp);
    }

    @Override
    public String toString() {
        return "HestonData [kappa=" + getKappa() + ", theta=" + getTheta() + ", vol0=" + getVol0() + ", omega="
                + getOmega() + ", rho=" + getRho() + "]";
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + Arrays.hashCode(_parameters);
        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 HestonModelData other = (HestonModelData) obj;
        if (!Arrays.equals(_parameters, other._parameters)) {
            return false;
        }
        return true;
    }

}