Package com.opengamma.strata.market.curve

Class HybridNodalCurve

java.lang.Object

com.opengamma.strata.market.curve.HybridNodalCurve

All Implemented Interfaces:

Curve, NodalCurve, ParameterizedData, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class HybridNodalCurve
extends Object
implements NodalCurve, org.joda.beans.ImmutableBean, Serializable

A hybrid curve which combines two underlying nodal curves, allowing different interpolators to be used for different parts of the curve.

The left curve is used for all points up to and including a certain x-value, the right curve is used for higher x-values.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	HybridNodalCurve.Meta	The meta-bean for HybridNodalCurve.

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivity	createParameterSensitivity(Currency currency, DoubleArray sensitivities)	Creates a parameter sensitivity instance for this curve when the sensitivity values are known.
UnitParameterSensitivity	createParameterSensitivity(DoubleArray sensitivities)	Creates a parameter sensitivity instance for this curve when the sensitivity values are known.
boolean	equals(Object obj)
double	firstDerivative(double x)	Computes the first derivative of the curve.
NodalCurve	getLeftCurve()	Gets the left nodal curve.
CurveMetadata	getMetadata()	Gets the curve metadata.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
NodalCurve	getRightCurve()	Gets the right nodal curve.
DoubleArray	getXValues()	Gets the known x-values of the curve.
DoubleArray	getYValues()	Gets the known y-values of the curve.
int	hashCode()
static HybridNodalCurve.Meta	meta()	The meta-bean for HybridNodalCurve.
HybridNodalCurve.Meta	metaBean()
static HybridNodalCurve	of(CurveMetadata metadata, DoubleArray xValues, DoubleArray yValues, int spliceIndex, CurveInterpolator interpolatorLeft, CurveInterpolator interpolatorRight, CurveExtrapolator extrapolatorLeft, CurveExtrapolator extrapolatorRight)	Create a new hybrid nodal curve.
String	toString()
HybridNodalCurve	withMetadata(CurveMetadata metadata)	Returns a new curve with the specified metadata.
HybridNodalCurve	withNode(double x, double y, ParameterMetadata paramMetadata)	Returns a new curve with an additional node, specifying the parameter metadata.
HybridNodalCurve	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
HybridNodalCurve	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
HybridNodalCurve	withValues(DoubleArray xValues, DoubleArray yValues)	Returns a new curve with the specified x-values and y-values.
HybridNodalCurve	withYValues(DoubleArray yValues)	Returns a new curve with the specified values.
double	yValue(double x)	Computes the y-value for the specified x-value.
UnitParameterSensitivity	yValueParameterSensitivity(double x)	Computes the sensitivity of the y-value with respect to the curve parameters

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.market.curve.Curve

findParameterIndex, getName, split, withUnderlyingCurve

Methods inherited from interface com.opengamma.strata.market.curve.NodalCurve

getParameterMetadata, values

Method Detail

of

public static HybridNodalCurve of(CurveMetadata metadata,
                                  DoubleArray xValues,
                                  DoubleArray yValues,
                                  int spliceIndex,
                                  CurveInterpolator interpolatorLeft,
                                  CurveInterpolator interpolatorRight,
                                  CurveExtrapolator extrapolatorLeft,
                                  CurveExtrapolator extrapolatorRight)

Create a new hybrid nodal curve.

Parameters:

metadata - the common metadata, containing parameter metadata for all of the values

xValues - the full set of x values

yValues - the full set of y values

spliceIndex - the x index at which the curves should be split

interpolatorLeft - the interpolator for the left curve

interpolatorRight - the interpolator for the right curve

extrapolatorLeft - the extrapolator for x-values less than the smallest defined x-value

extrapolatorRight - the extrapolator for x-values greater than the largest defined x-value

Returns:

the hybrid nodal curve

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getXValues

public DoubleArray getXValues()

Description copied from interface: NodalCurve

Gets the known x-values of the curve.

This method returns the fixed x-values used to define the curve. This will be of the same size as the y-values.

Specified by:

getXValues in interface NodalCurve

Returns:

the x-values

getYValues

public DoubleArray getYValues()

Description copied from interface: NodalCurve

Gets the known y-values of the curve.

This method returns the fixed y-values used to define the curve. This will be of the same size as the x-values.

Specified by:

getYValues in interface NodalCurve

Returns:

the y-values

getMetadata

public CurveMetadata getMetadata()

Description copied from interface: Curve

Gets the curve metadata.

This method returns metadata about the curve and the curve parameters.

For example, a curve may be defined based on financial instruments. The parameters might represent 1 day, 1 week, 1 month, 3 months, 6 months and 12 months. The metadata could be used to describe each parameter in terms of a Period.

The metadata includes an optional list of parameter metadata. If parameter metadata is present, the size of the list will match the number of parameters of this curve.

Specified by:

getMetadata in interface Curve

Returns:

the metadata

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

yValue

public double yValue(double x)

Description copied from interface: Curve

Computes the y-value for the specified x-value.

Specified by:

yValue in interface Curve

Parameters:

x - the x-value to find the y-value for

Returns:

the value at the x-value

yValueParameterSensitivity

public UnitParameterSensitivity yValueParameterSensitivity(double x)

Computes the sensitivity of the y-value with respect to the curve parameters

The result will be UnitParameterSensitivity, which stores the sensitivity in a DoubleArray of size getParameterCount()

If x<= xSplice, then sensitive to all nodes from 0 to spliceIndex, with zero sensitivity to all nodes from spliceIndex+1 to getParameterCount()-1

If x > xSplice, then sensitive to all nodes from spliceIndex to getParameterCount()-1, with zero sensitivity to all nodes from 0 to spliceIndex-1

Specified by:

yValueParameterSensitivity in interface Curve

Parameters:

x - the new x-value

Returns:

the unit parameter sensitivity

firstDerivative

public double firstDerivative(double x)

Description copied from interface: Curve

Computes the first derivative of the curve.

The first derivative is dy/dx.

Specified by:

firstDerivative in interface Curve

Parameters:

x - the x-value at which the derivative is taken

Returns:

the first derivative

withNode

public HybridNodalCurve withNode(double x,
                                 double y,
                                 ParameterMetadata paramMetadata)

Description copied from interface: NodalCurve

Returns a new curve with an additional node, specifying the parameter metadata.

The result will contain the specified node. If the x-value equals an existing x-value, the y-value will be changed. If the x-value does not equal an existing x-value, the node will be added.

The result will only contain the specified parameter metadata if this curve also has parameter meta-data.

Specified by:

withNode in interface NodalCurve

Parameters:

x - the new x-value

y - the new y-value

paramMetadata - the new parameter metadata

Returns:

the updated curve

withYValues

public HybridNodalCurve withYValues(DoubleArray yValues)

Description copied from interface: NodalCurve

Returns a new curve with the specified values.

This allows the y-values of the curve to be changed while retaining the same x-values.

Specified by:

withYValues in interface NodalCurve

Parameters:

yValues - the new y-values for the curve

Returns:

the new curve

withMetadata

public HybridNodalCurve withMetadata(CurveMetadata metadata)

Description copied from interface: NodalCurve

Returns a new curve with the specified metadata.

This allows the metadata of the curve to be changed while retaining all other information. If parameter metadata is present, the size of the list must match the number of parameters of this curve.

Specified by:

withMetadata in interface Curve

Specified by:

withMetadata in interface NodalCurve

Parameters:

metadata - the new metadata for the curve

Returns:

the new curve

withParameter

public HybridNodalCurve withParameter(int parameterIndex,
                                      double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface Curve

Specified by:

withParameter in interface NodalCurve

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

createParameterSensitivity

public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities)

Description copied from interface: Curve

Creates a parameter sensitivity instance for this curve when the sensitivity values are known.

In most cases, Curve.yValueParameterSensitivity(double) should be used and manipulated. However, it can be useful to create a UnitParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Curve

Parameters:

sensitivities - the sensitivity values, which must match the parameter count of the curve

Returns:

the sensitivity

createParameterSensitivity

public CurrencyParameterSensitivity createParameterSensitivity(Currency currency,
                                                               DoubleArray sensitivities)

Description copied from interface: Curve

Creates a parameter sensitivity instance for this curve when the sensitivity values are known.

In most cases, Curve.yValueParameterSensitivity(double) should be used and manipulated. However, it can be useful to create a CurrencyParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Curve

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count of the curve

Returns:

the sensitivity

withPerturbation

public HybridNodalCurve withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface Curve

Specified by:

withPerturbation in interface NodalCurve

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

withValues

public HybridNodalCurve withValues(DoubleArray xValues,
                                   DoubleArray yValues)

Description copied from interface: NodalCurve

Returns a new curve with the specified x-values and y-values.

This allows the x values and y-values of the curve to be changed.

Specified by:

withValues in interface NodalCurve

Parameters:

xValues - the new x-values for the curve

yValues - the new y-values for the curve

Returns:

the new curve

meta

public static HybridNodalCurve.Meta meta()

The meta-bean for HybridNodalCurve.

Returns:

the meta-bean, not null

metaBean

public HybridNodalCurve.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getLeftCurve

public NodalCurve getLeftCurve()

Gets the left nodal curve.

Returns:

the value of the property, not null

getRightCurve

public NodalCurve getRightCurve()

Gets the right nodal curve.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object