/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.curve.interestrate.generator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.util.ArgumentChecker;
/**
* Store the details and generate the required curve. The curve is interpolated on the discount factor.
*/
@SuppressWarnings("deprecation")
public class GeneratorCurveDiscountFactorInterpolatedNode extends GeneratorYDCurve {
/**
* The nodes (times) on which the interpolated curves is constructed.
*/
private final double[] _nodePoints;
/**
* The interpolator used for the curve.
*/
private final Interpolator1D _interpolator;
/**
* The number of points (or nodes). Is the length of _nodePoints.
*/
private final int _nbPoints;
/**
* Constructor.
* @param nodePoints The node points (X) used to define the interpolated curve.
* @param interpolator The interpolator.
*/
public GeneratorCurveDiscountFactorInterpolatedNode(final double[] nodePoints, final Interpolator1D interpolator) {
ArgumentChecker.notNull(nodePoints, "Node points");
ArgumentChecker.notNull(interpolator, "Interpolator");
_nodePoints = nodePoints;
_nbPoints = _nodePoints.length;
_interpolator = interpolator;
}
@Override
public int getNumberOfParameter() {
return _nbPoints;
}
@Override
public YieldAndDiscountCurve generateCurve(final String name, final double[] x) {
ArgumentChecker.isTrue(x.length == _nbPoints, "Incorrect dimension for the rates");
return new DiscountCurve(name, new InterpolatedDoublesCurve(_nodePoints, x, _interpolator, true, name));
}
/**
* {@inheritDoc}
* @deprecated Curve builders that use and populate {@link YieldCurveBundle}s are deprecated.
*/
@Deprecated
@Override
public YieldAndDiscountCurve generateCurve(final String name, final YieldCurveBundle bundle, final double[] parameters) {
return generateCurve(name, parameters);
}
@Override
public YieldAndDiscountCurve generateCurve(final String name, final MulticurveProviderInterface multicurve, final double[] parameters) {
return generateCurve(name, parameters);
}
@Override
public double[] initialGuess(final double[] rates) {
ArgumentChecker.isTrue(rates.length == _nbPoints, "Rates of incorrect length.");
final double[] discountFactor = new double[_nbPoints];
for (int loopnode = 0; loopnode < _nbPoints; loopnode++) {
discountFactor[loopnode] = Math.exp(-_nodePoints[loopnode] * rates[loopnode]);
}
return discountFactor;
}
}