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

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Here is the source code for com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData.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.volatility.smile.function;

import java.util.Arrays;

import org.apache.commons.lang.Validate;

/**
 * 
 */
public class SVIFormulaData implements SmileModelData {
    private static final int NUM_PARAMETERS = 5;
    private final double[] _parameters;

    public SVIFormulaData(final double[] parameters) {
        Validate.notNull(parameters, "parameters are null");
        Validate.isTrue(parameters.length == NUM_PARAMETERS, "must be " + NUM_PARAMETERS + " parameters");
        Validate.isTrue(parameters[0] >= 0, "Need a >= 0");
        Validate.isTrue(parameters[1] >= 0, "Need b >= 0");
        Validate.isTrue(parameters[2] >= -1 && parameters[2] <= 1, "Need -1 <= rho <= 1");
        Validate.isTrue(parameters[3] >= 0, "Need nu >= 0");

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

    public SVIFormulaData(final double a, final double b, final double rho, final double nu, final double m) {
        this(new double[] { a, b, rho, nu, m });
    }

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

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

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

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

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

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

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

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

    @Override
    public SmileModelData 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 SVIFormulaData(temp);
    }

    @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 SVIFormulaData other = (SVIFormulaData) obj;
        if (!Arrays.equals(_parameters, other._parameters)) {
            return false;
        }
        return true;
    }

    @Override
    public String toString() {
        return "SVIFormulaData [a=" + getA() + ", b=" + getB() + ", rho=" + getRho() + ", nu=" + getNu() + ", m="
                + getM() + "]";
    }

}