Java tutorial
/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.provider.sensitivity.multicurve; import java.util.Map; import java.util.Set; import java.util.TreeMap; import org.apache.commons.lang.ObjectUtils; import com.opengamma.analytics.financial.forex.method.FXMatrix; import com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Class describing a the sensitivity of some value (present value, par rate, etc) to a family of yield curves. * The currency in which the sensitivity is expressed is indicated through a map. */ public class MultipleCurrencyMulticurveSensitivity { /** * The backing map for the sensitivities in the different currencies. Not null. * The amount in the different currencies are not conversion of each other, they should be understood in an additive way. */ private final TreeMap<Currency, MulticurveSensitivity> _sensitivity; /** * Constructor. A new map is created. */ public MultipleCurrencyMulticurveSensitivity() { _sensitivity = new TreeMap<>(); } /** * Private constructor from an exiting map. * @param sensitivity The sensitivity map. */ private MultipleCurrencyMulticurveSensitivity(final TreeMap<Currency, MulticurveSensitivity> sensitivity) { _sensitivity = sensitivity; } /** * Create a new multiple currency sensitivity with one currency. * @param ccy The currency. Not null. * @param sensitivity The sensitivity associated to the currency. Not null. * @return The multiple currency sensitivity. */ public static MultipleCurrencyMulticurveSensitivity of(final Currency ccy, final MulticurveSensitivity sensitivity) { ArgumentChecker.notNull(ccy, "Currency"); ArgumentChecker.notNull(sensitivity, "Sensitivity"); final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); map.put(ccy, sensitivity); return new MultipleCurrencyMulticurveSensitivity(map); } /** * Returns the (single currency) interest rate sensitivity associated to a given currency. * If the currency is not present in the map, an empty InterestRateCurveSensitivity is returned. * @param ccy The currency. Not null. * @return The (single currency) interest rate sensitivity. */ public MulticurveSensitivity getSensitivity(final Currency ccy) { ArgumentChecker.notNull(ccy, "Currency"); if (_sensitivity.containsKey(ccy)) { return _sensitivity.get(ccy); } return new MulticurveSensitivity(); } /** * Create a new multiple currency sensitivity by adding the sensitivity associated to a given currency. * If the currency is not yet present in the existing sensitivity a new map is created with the extra entry. * If the currency is already present, the associated sensitivities are added (in the sense of {@link InterestRateCurveSensitivity}) and a new map is created with all the other * existing entries and the entry with the currency and the sum sensitivity. * @param ccy The currency. Not null. * @param sensitivity The sensitivity associated to the currency. Not null. * @return The new multiple currency sensitivity. */ public MultipleCurrencyMulticurveSensitivity plus(final Currency ccy, final MulticurveSensitivity sensitivity) { ArgumentChecker.notNull(ccy, "Currency"); ArgumentChecker.notNull(sensitivity, "Sensitivity"); final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); if (_sensitivity.containsKey(ccy)) { map.put(ccy, sensitivity.plus(_sensitivity.get(ccy))); for (final Currency loopccy : _sensitivity.keySet()) { if (loopccy != ccy) { map.put(loopccy, _sensitivity.get(loopccy)); } } } else { map.putAll(_sensitivity); map.put(ccy, sensitivity); } return new MultipleCurrencyMulticurveSensitivity(map); } /** * Create a new multiple currency sensitivity by adding another multiple currency sensitivity. * For each currency in the other multiple currency sensitivity, the currency and its associated sensitivity are added. * @param other The multiple currency sensitivity. Not null. * @return The new multiple currency sensitivity. */ public MultipleCurrencyMulticurveSensitivity plus(final MultipleCurrencyMulticurveSensitivity other) { ArgumentChecker.notNull(other, "Sensitivity"); final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); map.putAll(_sensitivity); MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity(map); for (final Currency loopccy : other._sensitivity.keySet()) { result = result.plus(loopccy, other.getSensitivity(loopccy)); } return result; } /** * Create a new multiple currency sensitivity by multiplying all the sensitivities in a multiple currency sensitivity by a common factor. * @param factor The multiplicative factor. * @return The new multiple currency sensitivity. */ public MultipleCurrencyMulticurveSensitivity multipliedBy(final double factor) { final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); for (final Currency loopccy : _sensitivity.keySet()) { map.put(loopccy, _sensitivity.get(loopccy).multipliedBy(factor)); } return new MultipleCurrencyMulticurveSensitivity(map); } /** * Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). * @return The cleaned sensitivity. */ public MultipleCurrencyMulticurveSensitivity cleaned() { final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); for (final Currency loopccy : _sensitivity.keySet()) { map.put(loopccy, _sensitivity.get(loopccy).cleaned()); } final MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity(map); return result; } /** * Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). * The total value below the tolerance threshold are removed. * @param tolerance The tolerance. * @return The cleaned sensitivity. */ public MultipleCurrencyMulticurveSensitivity cleaned(final double tolerance) { final TreeMap<Currency, MulticurveSensitivity> map = new TreeMap<>(); for (final Currency loopccy : _sensitivity.keySet()) { map.put(loopccy, _sensitivity.get(loopccy).cleaned(tolerance)); } final MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity(map); return result; } /** * Returns the set of currencies in the multiple currency sensitivities. * @return The set of currencies. */ public Set<Currency> getCurrencies() { return _sensitivity.keySet(); } /** * Create a new sensitivity which is the conversion of the multiple currency sensitivity to the sensitivity in a given currency. * @param ccy The currency in which the sensitivities should be converted. * @param fx The matrix with the exchange rates. * @return The one currency sensitivity. */ public MultipleCurrencyMulticurveSensitivity converted(final Currency ccy, final FXMatrix fx) { MulticurveSensitivity sensi = new MulticurveSensitivity(); for (final Currency c : _sensitivity.keySet()) { final double rate = fx.getFxRate(c, ccy); sensi = sensi.plus(_sensitivity.get(c).multipliedBy(rate)); } return of(ccy, sensi); } /** * Gets the sensitivities for all currencies. * @return The sensitivities */ public Map<Currency, MulticurveSensitivity> getSensitivities() { return _sensitivity; } @Override public String toString() { return _sensitivity.toString(); } @Override public int hashCode() { final int prime = 31; int result = 1; result = prime * result + _sensitivity.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 MultipleCurrencyMulticurveSensitivity other = (MultipleCurrencyMulticurveSensitivity) obj; if (!ObjectUtils.equals(_sensitivity, other._sensitivity)) { return false; } return true; } }