Package com.opengamma.strata.market.curve

Class CombinedCurve

java.lang.Object

com.opengamma.strata.market.curve.CombinedCurve

All Implemented Interfaces:

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

public final class CombinedCurve
extends Object
implements Curve, org.joda.beans.ImmutableBean, Serializable

A curve formed from two curves, the base curve and the spread curve.

The parameters of this curve are the combination of the base curve parameters and spread curve parameters. The node sensitivities are calculated in terms of the nodes on the base curve and spread curve.

If one of the two curves must be fixed, use AddFixedCurve.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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.
Curve	getBaseCurve()	Gets the base 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.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
Curve	getSpreadCurve()	Gets the spread curve.
int	hashCode()
static CombinedCurve.Meta	meta()	The meta-bean for CombinedCurve.
CombinedCurve.Meta	metaBean()
static CombinedCurve	of(Curve baseCurve, Curve spreadCurve)	Creates a curve as the sum of a base curve and a spread curve.
static CombinedCurve	of(Curve baseCurve, Curve spreadCurve, CurveMetadata metadata)	Creates a curve as the sum of a base curve and a spread curve with a specified curve metadata.
ImmutableList<Curve>	split()	Obtains a list of underlying curves.
String	toString()
CombinedCurve	withMetadata(CurveMetadata metadata)	Returns a new curve with the specified metadata.
CombinedCurve	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
CombinedCurve	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
CombinedCurve	withUnderlyingCurve(int curveIndex, Curve curve)	Replaces an underlying curve by a new curve.
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

Method Detail

of

public static CombinedCurve of(Curve baseCurve,
                               Curve spreadCurve,
                               CurveMetadata metadata)

Creates a curve as the sum of a base curve and a spread curve with a specified curve metadata.

Parameters:

baseCurve - the base curve

spreadCurve - the spread curve

metadata - the metadata

Returns:

the combined curve

of

public static CombinedCurve of(Curve baseCurve,
                               Curve spreadCurve)

Creates a curve as the sum of a base curve and a spread curve.

The metadata of the combined curve will be created form the base curve and spread curve.

Parameters:

baseCurve - the base curve

spreadCurve - the spread curve

Returns:

the combined curve

withMetadata

public CombinedCurve 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

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 CombinedCurve 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 CombinedCurve 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

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

split

public ImmutableList<Curve> split()

Description copied from interface: Curve

Obtains a list of underlying curves.

In most cases, the number of underlying curves is 1, thus a list of this curve is returned.

Specified by:

split in interface Curve

Returns:

the underlying curves

withUnderlyingCurve

public CombinedCurve withUnderlyingCurve(int curveIndex,
                                         Curve curve)

Description copied from interface: Curve

Replaces an underlying curve by a new curve.

curveIndex must be coherent to the index of the list in split().

Specified by:

withUnderlyingCurve in interface Curve

Parameters:

curveIndex - the curve index

curve - the new split curve

Returns:

the new curve

meta

public static CombinedCurve.Meta meta()

The meta-bean for CombinedCurve.

Returns:

the meta-bean, not null

metaBean

public CombinedCurve.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getBaseCurve

public Curve getBaseCurve()

Gets the base curve.

Returns:

the value of the property, not null

getSpreadCurve

public Curve getSpreadCurve()

Gets the spread curve.

Returns:

the value of the property, not null

getMetadata

public CurveMetadata getMetadata()

Gets the curve metadata.

Specified by:

getMetadata in interface 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