Class ParallelShiftedCurve

  • All Implemented Interfaces:
    Curve, ParameterizedData, java.io.Serializable, Bean, ImmutableBean

    public final class ParallelShiftedCurve
    extends java.lang.Object
    implements Curve, ImmutableBean, java.io.Serializable
    A curve with a parallel shift applied to its y-values.

    This class decorates another curve and applies an adjustment to the y-values when they are queried. The shift is either absolute or relative.

    When the shift is absolute the shift amount is added to the y-value.

    When the shift is relative the y-value is scaled by the shift amount. The shift amount is interpreted as a percentage. For example, a shift amount of 0.1 is a shift of +10% which multiplies the value by 1.1. A shift amount of -0.2 is a shift of -20% which multiplies the value by 0.8.

    The parameters consist of the parameters of the underlying curve, followed by the shift.

    See Also:
    Serialized Form
    • Method Detail

      • absolute

        public static ParallelShiftedCurve absolute​(Curve curve,
                                                    double shiftAmount)
        Returns a curve based on an underlying curve with a fixed amount added to the Y values.
        Parameters:
        curve - the underlying curve
        shiftAmount - the amount added to the Y values of the curve
        Returns:
        a curve based on an underlying curve with a fixed amount added to the Y values.
      • relative

        public static ParallelShiftedCurve relative​(Curve curve,
                                                    double shiftAmount)
        Returns a curve based on an underlying curve with a scaling applied to the Y values.

        The shift amount is interpreted as a percentage. For example, a shift amount of 0.1 is a shift of +10% which multiplies the value by 1.1. A shift amount of -0.2 is a shift of -20% which multiplies the value by 0.8

        Parameters:
        curve - the underlying curve
        shiftAmount - the percentage by which the Y values are scaled
        Returns:
        a curve based on an underlying curve with a scaling applied to the Y values.
      • of

        public static ParallelShiftedCurve of​(Curve curve,
                                              ShiftType shiftType,
                                              double shiftAmount)
        Returns a curve based on an underlying curve with a parallel shift applied to the Y values.
        Parameters:
        curve - the underlying curve
        shiftType - the type of shift which specifies how the shift amount is applied to the Y values
        shiftAmount - the magnitude of the shift
        Returns:
        a curve based on an underlying curve with a parallel shift applied to 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
      • withMetadata

        public ParallelShiftedCurve withMetadata​(CurveMetadata metadata)
        Description copied from interface: Curve
        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
        Parameters:
        metadata - the new metadata for the curve
        Returns:
        the new curve
      • getName

        public CurveName getName()
        Description copied from interface: Curve
        Gets the curve name.
        Specified by:
        getName in interface Curve
        Returns:
        the curve name
      • 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
      • 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
      • getParameterMetadata

        public ParameterMetadata getParameterMetadata​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the metadata of the parameter at the specified index.

        If there is no specific parameter metadata, an empty instance will be returned.

        Specified by:
        getParameterMetadata in interface Curve
        Specified by:
        getParameterMetadata in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the metadata of the parameter
      • withParameter

        public ParallelShiftedCurve 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 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
      • withPerturbation

        public ParallelShiftedCurve 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 ParameterizedData
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • 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)
        Description copied from interface: Curve
        Computes the sensitivity of the y-value with respect to the curve parameters.

        This returns an array with one element for each parameter of the curve. The array contains the sensitivity of the y-value at the specified x-value to each parameter.

        Specified by:
        yValueParameterSensitivity in interface Curve
        Parameters:
        x - the x-value at which the parameter sensitivity is computed
        Returns:
        the 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
      • meta

        public static ParallelShiftedCurve.Meta meta()
        The meta-bean for ParallelShiftedCurve.
        Returns:
        the meta-bean, not null
      • getUnderlyingCurve

        public Curve getUnderlyingCurve()
        Gets the underlying curve.
        Returns:
        the value of the property, not null
      • getShiftType

        public ShiftType getShiftType()
        Gets the type of shift to apply to the y-values of the curve. The amount of the shift is determined by #getShiftAmount().
        Returns:
        the value of the property, not null
      • getShiftAmount

        public double getShiftAmount()
        Gets the amount by which y-values are shifted. The meaning of this amount is determined by #getShiftType().
        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object