Class ParameterizedFunctionalCurveDefinition

  • All Implemented Interfaces:
    CurveDefinition, Bean, ImmutableBean

    public final class ParameterizedFunctionalCurveDefinition
    extends java.lang.Object
    implements CurveDefinition, ImmutableBean
    Provides the definition of how to calibrate a parameterized functional curve.

    A parameterized functional curve is built from a number of parameters and described by metadata. Calibration is based on a list of CurveNode instances that specify the underlying instruments.

    The number of the curve parameters is in general different from the number of the instruments. However, the number mismatch tends to cause the root-finding failure in the curve calibration.

    • Method Detail

      • filtered

        public ParameterizedFunctionalCurveDefinition filtered​(java.time.LocalDate valuationDate,
                                                               ReferenceData refData)
        Description copied from interface: CurveDefinition
        Returns a filtered version of this definition with no invalid nodes.

        A curve is formed of a number of nodes, each of which has an associated date. To be valid, the curve node dates must be in order from earliest to latest. Each node has certain rules, CurveNodeDateOrder, that are used to determine what happens if the date of one curve node is equal or earlier than the date of the previous node.

        Filtering occurs in two stages. The first stage looks at each node in turn. The previous and next nodes are checked for clash. If clash occurs, then one of the two nodes is dropped according to the clash action "drop" values. The second stage then looks again at the nodes, and if there are still any invalid nodes, an exception is thrown.

        This approach means that in most cases, only those nodes that have fixed dates, such as futures, need to be annotated with CurveNodeDateOrder.

        Specified by:
        filtered in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        refData - the reference data
        Returns:
        the resolved definition, that should be used in preference to this one
      • metadata

        public CurveMetadata metadata​(java.time.LocalDate valuationDate,
                                      ReferenceData refData)
        Description copied from interface: CurveDefinition
        Creates 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 optional parameter-level metadata will be populated on the resulting metadata. The size of the parameter-level metadata will match the number of parameters of this curve.

        Specified by:
        metadata in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        refData - the reference data
        Returns:
        the metadata
      • curve

        public ParameterizedFunctionalCurve curve​(java.time.LocalDate valuationDate,
                                                  CurveMetadata metadata,
                                                  DoubleArray parameters)
        Description copied from interface: CurveDefinition
        Creates the curve from an array of parameter values.

        The meaning of the parameters is determined by the implementation. The size of the array must match the count of parameters.

        Specified by:
        curve in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        metadata - the curve metadata
        parameters - the array of parameters
        Returns:
        the curve
      • getParameterCount

        public int getParameterCount()
        Description copied from interface: CurveDefinition
        Gets the number of parameters in the curve.

        This returns the number of parameters in the curve, which is not necessarily equal the size of getNodes().

        Specified by:
        getParameterCount in interface CurveDefinition
        Returns:
        the number of parameters
      • initialGuess

        public com.google.common.collect.ImmutableList<java.lang.Double> initialGuess​(MarketData marketData)
        Description copied from interface: CurveDefinition
        Gets the list of all initial guesses.

        This returns initial guess for the curve parameters. The valuation date is defined by the market data.

        Specified by:
        initialGuess in interface CurveDefinition
        Parameters:
        marketData - the market data required to build a trade for the instrument, including the valuation date
        Returns:
        the initial guess
      • getName

        public CurveName getName()
        Gets the curve name.
        Specified by:
        getName in interface CurveDefinition
        Returns:
        the value of the property, not null
      • getXValueType

        public ValueType getXValueType()
        Gets the x-value type, providing meaning to the x-values of the curve.

        This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.

        If using the builder, this defaults to ValueType.UNKNOWN.

        Returns:
        the value of the property, not null
      • getYValueType

        public ValueType getYValueType()
        Gets the y-value type, providing meaning to the y-values of the curve.

        This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using ValueType.ZERO_RATE.

        If using the builder, this defaults to ValueType.UNKNOWN.

        Specified by:
        getYValueType in interface CurveDefinition
        Returns:
        the value of the property, not null
      • getDayCount

        public java.util.Optional<DayCount> getDayCount()
        Gets the day count, optional.

        If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.

        Returns:
        the optional value of the property, not null
      • getNodes

        public com.google.common.collect.ImmutableList<CurveNode> getNodes()
        Gets the nodes of the underlying instruments.

        The nodes are used to find the quoted values to which the curve is calibrated.

        Specified by:
        getNodes in interface CurveDefinition
        Returns:
        the value of the property, not null
      • getInitialGuess

        public com.google.common.collect.ImmutableList<java.lang.Double> getInitialGuess()
        Gets the initial guess values for the curve parameters.

        The size must be the same as the number of the curve parameters.

        Returns:
        the value of the property, not null
      • getParameterMetadata

        public com.google.common.collect.ImmutableList<ParameterMetadata> getParameterMetadata()
        Gets the parameter metadata of the curve, defaulted to empty metadata instances.

        The size of the list must be the same as the number of the curve parameters.

        Returns:
        the value of the property, not null
      • getValueFunction

        public java.util.function.BiFunction<DoubleArray,​java.lang.Double,​java.lang.Double> getValueFunction()
        Gets the y-value function.

        The function takes parameters and x-value, then returns y-value.

        Returns:
        the value of the property, not null
      • getDerivativeFunction

        public java.util.function.BiFunction<DoubleArray,​java.lang.Double,​java.lang.Double> getDerivativeFunction()
        Gets the derivative function.

        The function takes parameters and x-value, then returns the first derivative of y-value with respective to x, i.e., the gradient of the curve.

        Returns:
        the value of the property, not null
      • getSensitivityFunction

        public java.util.function.BiFunction<DoubleArray,​java.lang.Double,​DoubleArray> getSensitivityFunction()
        Gets the parameter sensitivity function.

        The function takes parameters and x-value, then returns the sensitivities of y-value to the parameters.

        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