Package com.opengamma.strata.market.curve

Class ParameterizedFunctionalCurve

java.lang.Object

com.opengamma.strata.market.curve.ParameterizedFunctionalCurve

All Implemented Interfaces:

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

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

A curve based on a parameterized function.

This class defines a curve in terms of a function and its parameters.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ParameterizedFunctionalCurve.Builder	The bean-builder for ParameterizedFunctionalCurve.
static class	ParameterizedFunctionalCurve.Meta	The meta-bean for ParameterizedFunctionalCurve.

Method Summary

Modifier and Type	Method	Description
static ParameterizedFunctionalCurve.Builder	builder()	Returns a builder used to create an instance of the bean.
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.
BiFunction<DoubleArray,Double,Double>	getDerivativeFunction()	Gets the derivative function.
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.
DoubleArray	getParameters()	Gets the array of parameters for the curve function.
BiFunction<DoubleArray,Double,DoubleArray>	getSensitivityFunction()	Gets the parameter sensitivity function.
BiFunction<DoubleArray,Double,Double>	getValueFunction()	Gets the y-value function.
int	hashCode()
static ParameterizedFunctionalCurve.Meta	meta()	The meta-bean for ParameterizedFunctionalCurve.
ParameterizedFunctionalCurve.Meta	metaBean()
static ParameterizedFunctionalCurve	of(CurveMetadata metadata, DoubleArray parameters, BiFunction<DoubleArray,Double,Double> valueFunction, BiFunction<DoubleArray,Double,Double> derivativeFunction, BiFunction<DoubleArray,Double,DoubleArray> sensitivityFunction)	Obtains an instance.
ParameterizedFunctionalCurve.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
ParameterizedFunctionalCurve	withMetadata(CurveMetadata metadata)	Returns a new curve with the specified metadata.
ParameterizedFunctionalCurve	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
ParameterizedFunctionalCurve	withParameters(DoubleArray parameters)	Returns a copy of the curve with all of the parameters altered.
ParameterizedFunctionalCurve	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

findParameterIndex, getName, getParameterMetadata, split, withUnderlyingCurve

Method Detail

of

public static ParameterizedFunctionalCurve of(CurveMetadata metadata,
                                              DoubleArray parameters,
                                              BiFunction<DoubleArray,Double,Double> valueFunction,
                                              BiFunction<DoubleArray,Double,Double> derivativeFunction,
                                              BiFunction<DoubleArray,Double,DoubleArray> sensitivityFunction)

Obtains an instance.

Parameters:

metadata - the metadata

parameters - the parameters

valueFunction - the value function

derivativeFunction - the derivative function

sensitivityFunction - the parameter sensitivity function

Returns:

the instance

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

withParameter

public ParameterizedFunctionalCurve 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 ParameterizedFunctionalCurve 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

withMetadata

public ParameterizedFunctionalCurve 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

withParameters

public ParameterizedFunctionalCurve withParameters(DoubleArray parameters)

Returns a copy of the curve with all of the parameters altered.

This instance is immutable and unaffected by this method call.

Parameters:

parameters - the new parameters

Returns:

the curve with the parameters 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

meta

public static ParameterizedFunctionalCurve.Meta meta()

The meta-bean for ParameterizedFunctionalCurve.

Returns:

the meta-bean, not null

builder

public static ParameterizedFunctionalCurve.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ParameterizedFunctionalCurve.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMetadata

public CurveMetadata getMetadata()

Gets the curve metadata.

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

Specified by:

getMetadata in interface Curve

Returns:

the value of the property, not null

getParameters

public DoubleArray getParameters()

Gets the array of parameters for the curve function.

Returns:

the value of the property, not null

getValueFunction

public BiFunction<DoubleArray,Double,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 BiFunction<DoubleArray,Double,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 BiFunction<DoubleArray,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

toBuilder

public ParameterizedFunctionalCurve.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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