com.opengamma.analytics.financial.var.parametric.DeltaGammaCovarianceMatrixMeanCalculator.java Source code

Introduction

Here is the source code for com.opengamma.analytics.financial.var.parametric.DeltaGammaCovarianceMatrixMeanCalculator.java

Source

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.var.parametric;

import java.util.Map;

import org.apache.commons.lang.ObjectUtils;
import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.Matrix;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;

/**
 * 
 */
public class DeltaGammaCovarianceMatrixMeanCalculator
        extends Function1D<Map<Integer, ParametricVaRDataBundle>, Double> {
    private final MatrixAlgebra _algebra;

    public DeltaGammaCovarianceMatrixMeanCalculator(final MatrixAlgebra algebra) {
        Validate.notNull(algebra, "algebra");
        _algebra = algebra;
    }

    @Override
    public Double evaluate(final Map<Integer, ParametricVaRDataBundle> data) {
        Validate.notNull(data, "data");
        final ParametricVaRDataBundle firstOrderData = data.get(1);
        Validate.notNull(firstOrderData, "first order data");
        final ParametricVaRDataBundle secondOrderData = data.get(2);
        if (secondOrderData == null) {
            return 0.;
        }
        final Matrix<?> gamma = secondOrderData.getSensitivities();
        if (gamma == null || gamma.getNumberOfElements() == 0) {
            return 0.;
        }
        final DoubleMatrix2D covariance = firstOrderData.getCovarianceMatrix();
        return 0.5 * _algebra.getTrace(_algebra.multiply(gamma, covariance));
    }

    @Override
    public int hashCode() {
        final int prime = 31;
        int result = 1;
        result = prime * result + _algebra.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 DeltaGammaCovarianceMatrixMeanCalculator other = (DeltaGammaCovarianceMatrixMeanCalculator) obj;
        return ObjectUtils.equals(_algebra, other._algebra);
    }

}