Package com.opengamma.strata.market.param

Class UnitParameterSensitivity

java.lang.Object

com.opengamma.strata.market.param.UnitParameterSensitivity

All Implemented Interfaces:

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

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

Unit parameter sensitivity for parameterized market data, such as a curve.

Parameter sensitivity is the sensitivity of a value to the parameters of a parameterized market data object that is used to determine the value. Common ParameterizedData implementations include Curve and Surface.

The sensitivity is expressed as an array, with one entry for each parameter in the ParameterizedData. The sensitivity has no associated currency.

A single UnitParameterSensitivity represents the sensitivity to a single ParameterizedData instance. However, a ParameterizedData instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. Information about the split between these underlying instances can optionally be stored.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static UnitParameterSensitivity	combine(MarketDataName<?> marketDataName, UnitParameterSensitivity... sensitivities)	Combines two or more instances to form a single sensitivity instance.
int	compareKey(UnitParameterSensitivity other)	Compares the key of two sensitivity objects, excluding the parameter sensitivity values.
boolean	equals(Object obj)
MarketDataName<?>	getMarketDataName()	Gets the market data name.
int	getParameterCount()	Gets the number of parameters.
ImmutableList<ParameterMetadata>	getParameterMetadata()	Gets the list of parameter metadata.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the parameter metadata at the specified index.
Optional<List<ParameterSize>>	getParameterSplit()	Gets the split of parameters between the underlying parameterized data.
DoubleArray	getSensitivity()	Gets the parameter sensitivity values.
int	hashCode()
UnitParameterSensitivity	mapSensitivity(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivity values.
static UnitParameterSensitivity.Meta	meta()	The meta-bean for UnitParameterSensitivity.
UnitParameterSensitivity.Meta	metaBean()
UnitParameterSensitivity	multipliedBy(double factor)	Returns an instance with the sensitivity values multiplied by the specified factor.
CurrencyParameterSensitivity	multipliedBy(Currency currency, double amount)	Returns an instance converted this sensitivity to a monetary value, multiplying by the specified factor.
static UnitParameterSensitivity	of(MarketDataName<?> marketDataName, DoubleArray sensitivity)	Obtains an instance from the market data name and sensitivity.
static UnitParameterSensitivity	of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, DoubleArray sensitivity)	Obtains an instance from the market data name, metadata and sensitivity.
static UnitParameterSensitivity	of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, DoubleArray sensitivity, List<ParameterSize> parameterSplit)	Obtains an instance from the market data name, metadata, sensitivity and parameter split.
UnitParameterSensitivity	plus(DoubleArray otherSensitivty)	Returns an instance with the specified sensitivity array added to the array in this instance.
UnitParameterSensitivity	plus(UnitParameterSensitivity otherSensitivty)	Returns an instance with the specified sensitivity array added to the array in this instance.
ImmutableList<UnitParameterSensitivity>	split()	Splits this sensitivity instance.
String	toString()
double	total()	Returns the total of the sensitivity values.
UnitParameterSensitivity	withSensitivity(DoubleArray sensitivity)	Returns an instance with new parameter sensitivity values.

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

Method Detail

of

public static UnitParameterSensitivity of(MarketDataName<?> marketDataName,
                                          List<? extends ParameterMetadata> parameterMetadata,
                                          DoubleArray sensitivity)

Obtains an instance from the market data name, metadata and sensitivity.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter. The size of the parameter metadata list must match the size of the sensitivity array.

Parameters:

marketDataName - the name of the market data that the sensitivity refers to

parameterMetadata - the parameter metadata

sensitivity - the sensitivity values, one for each parameter

Returns:

the sensitivity object

of

public static UnitParameterSensitivity of(MarketDataName<?> marketDataName,
                                          DoubleArray sensitivity)

Obtains an instance from the market data name and sensitivity.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata will be empty. The size of the parameter metadata list must match the size of the sensitivity array.

Parameters:

marketDataName - the name of the market data that the sensitivity refers to

sensitivity - the sensitivity values, one for each parameter

Returns:

the sensitivity object

of

public static UnitParameterSensitivity of(MarketDataName<?> marketDataName,
                                          List<? extends ParameterMetadata> parameterMetadata,
                                          DoubleArray sensitivity,
                                          List<ParameterSize> parameterSplit)

Obtains an instance from the market data name, metadata, sensitivity and parameter split.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter. The size of the parameter metadata list must match the size of the sensitivity array.

The parameter split allows the sensitivity to represent the split between two or more underlying ParameterizedData instances. The sum of the parameters in the split must equal the size of the sensitivity array, and each name must be unique.

Parameters:

marketDataName - the name of the market data that the sensitivity refers to

parameterMetadata - the parameter metadata

sensitivity - the sensitivity values, one for each parameter

parameterSplit - the split between the underlying ParameterizedData instances

Returns:

the sensitivity object

combine

public static UnitParameterSensitivity combine(MarketDataName<?> marketDataName,
                                               UnitParameterSensitivity... sensitivities)

Combines two or more instances to form a single sensitivity instance.

The result will store information about the separate instances allowing it to be split() later.

Parameters:

marketDataName - the combined name of the market data that the sensitivity refers to

sensitivities - the sensitivity instances to combine, two or more

Returns:

the combined sensitivity object

getParameterCount

public int getParameterCount()

Gets the number of parameters.

This returns the number of parameters in the ParameterizedData instance which is the same size as the sensitivity array.

Returns:

the number of parameters

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Gets the parameter metadata at the specified index.

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

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the metadata of the parameter

Throws:

IndexOutOfBoundsException - if the index is invalid

compareKey

public int compareKey(UnitParameterSensitivity other)

Compares the key of two sensitivity objects, excluding the parameter sensitivity values.

Parameters:

other - the other sensitivity object

Returns:

positive if greater, zero if equal, negative if less

multipliedBy

public CurrencyParameterSensitivity multipliedBy(Currency currency,
                                                 double amount)

Returns an instance converted this sensitivity to a monetary value, multiplying by the specified factor.

Each value in the sensitivity array will be multiplied by the specified factor.

Parameters:

currency - the currency of the amount

amount - the amount to multiply by

Returns:

the resulting sensitivity object

multipliedBy

public UnitParameterSensitivity multipliedBy(double factor)

Returns an instance with the sensitivity values multiplied by the specified factor.

Each value in the sensitivity array will be multiplied by the factor.

Parameters:

factor - the multiplicative factor

Returns:

an instance based on this one, with each sensitivity multiplied by the factor

mapSensitivity

public UnitParameterSensitivity mapSensitivity(DoubleUnaryOperator operator)

Returns an instance with the specified operation applied to the sensitivity values.

Each value in the sensitivity array will be operated on. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivity(value -> 1 / value);
 

Parameters:

operator - the operator to be applied to the sensitivities

Returns:

an instance based on this one, with the operator applied to the sensitivity values

withSensitivity

public UnitParameterSensitivity withSensitivity(DoubleArray sensitivity)

Returns an instance with new parameter sensitivity values.

Parameters:

sensitivity - the new sensitivity values

Returns:

an instance based on this one, with the specified sensitivity values

plus

public UnitParameterSensitivity plus(DoubleArray otherSensitivty)

Returns an instance with the specified sensitivity array added to the array in this instance.

The specified array must match the size of the array in this instance.

Parameters:

otherSensitivty - the other parameter sensitivity

Returns:

an instance based on this one, with the other instance added

Throws:

IllegalArgumentException - if the market data name, metadata or parameter split differs

plus

public UnitParameterSensitivity plus(UnitParameterSensitivity otherSensitivty)

Returns an instance with the specified sensitivity array added to the array in this instance.

The specified instance must have the same name, metadata and parameter split as this instance.

Parameters:

otherSensitivty - the other parameter sensitivity

Returns:

an instance based on this one, with the other instance added

Throws:

IllegalArgumentException - if the market data name, metadata or parameter split differs

split

public ImmutableList<UnitParameterSensitivity> split()

Splits this sensitivity instance.

A single sensitivity instance may be based on more than one underlying ParameterizedData, as represented by getParameterSplit(). Calling this method returns a list where the sensitivity of this instance has been split into multiple instances as per the parameter split definition. In the common case where there is a single underlying ParameterizedData, the list will be of size one containing this instance.

Returns:

this sensitivity split as per the defined parameter split, ordered as per this instance

total

public double total()

Returns the total of the sensitivity values.

Returns:

the total sensitivity values

meta

public static UnitParameterSensitivity.Meta meta()

The meta-bean for UnitParameterSensitivity.

Returns:

the meta-bean, not null

metaBean

public UnitParameterSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMarketDataName

public MarketDataName<?> getMarketDataName()

Gets the market data name.

This name is used in the market data system to identify the data that the sensitivities refer to.

Returns:

the value of the property, not null

getParameterMetadata

public ImmutableList<ParameterMetadata> getParameterMetadata()

Gets the list of parameter metadata.

There is one entry for each parameter.

Returns:

the value of the property, not null

getSensitivity

public DoubleArray getSensitivity()

Gets the parameter sensitivity values.

There is one sensitivity value for each parameter.

Returns:

the value of the property, not null

getParameterSplit

public Optional<List<ParameterSize>> getParameterSplit()

Gets the split of parameters between the underlying parameterized data.

A single UnitParameterSensitivity represents the sensitivity to a single ParameterizedData instance. However, a ParameterizedData instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. This list is present, it represents how to split this sensitivity between the underlying instances.

Returns:

the optional 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