Package com.opengamma.strata.market.curve

Class ParallelShiftedCurve

java.lang.Object

com.opengamma.strata.market.curve.ParallelShiftedCurve

All Implemented Interfaces:

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

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

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static ParallelShiftedCurve	absolute(Curve curve, double shiftAmount)	Returns a curve based on an underlying curve with a fixed amount added to the Y values.
boolean	equals(Object obj)
double	firstDerivative(double x)	Computes the first derivative of the curve.
CurveMetadata	getMetadata()	Gets the curve metadata.
CurveName	getName()	Gets the curve name.
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.
double	getShiftAmount()	Gets the amount by which y-values are shifted.
ShiftType	getShiftType()	Gets the type of shift to apply to the y-values of the curve.
Curve	getUnderlyingCurve()	Gets the underlying curve.
int	hashCode()
static ParallelShiftedCurve.Meta	meta()	The meta-bean for ParallelShiftedCurve.
ParallelShiftedCurve.Meta	metaBean()
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.
static ParallelShiftedCurve	relative(Curve curve, double shiftAmount)	Returns a curve based on an underlying curve with a scaling applied to the Y values.
String	toString()
ParallelShiftedCurve	withMetadata(CurveMetadata metadata)	Returns a new curve with the specified metadata.
ParallelShiftedCurve	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
ParallelShiftedCurve	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
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

createParameterSensitivity, createParameterSensitivity, findParameterIndex, split, withUnderlyingCurve

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

metaBean

public ParallelShiftedCurve.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

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(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