ParameterizedFunctionalCurveDefinition (OpenGamma Strata Market)

java.lang.Object
- com.opengamma.strata.market.curve.ParameterizedFunctionalCurveDefinition

All Implemented Interfaces:

CurveDefinition, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class ParameterizedFunctionalCurveDefinition
extends Object
implements CurveDefinition, org.joda.beans.ImmutableBean
```
Provides the definition of how to calibrate a parameterized functional curve.
A parameterized functional curve is built from a number of parameters and described by metadata. Calibration is based on a list of CurveNode instances that specify the underlying instruments.
The number of the curve parameters is in general different from the number of the instruments. However, the number mismatch tends to cause the root-finding failure in the curve calibration.

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`ParameterizedFunctionalCurveDefinition.Builder` The bean-builder for `ParameterizedFunctionalCurveDefinition`.
`static class`	`ParameterizedFunctionalCurveDefinition.Meta` The meta-bean for `ParameterizedFunctionalCurveDefinition`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static ParameterizedFunctionalCurveDefinition.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`ParameterizedFunctionalCurve`	`curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters)` Creates the curve from an array of parameter values.
`boolean`	`equals(Object obj)`
`ParameterizedFunctionalCurveDefinition`	`filtered(LocalDate valuationDate, ReferenceData refData)` Returns a filtered version of this definition with no invalid nodes.
`Optional<DayCount>`	`getDayCount()` Gets the day count, optional.
`BiFunction<DoubleArray,Double,Double>`	`getDerivativeFunction()` Gets the derivative function.
`ImmutableList<Double>`	`getInitialGuess()` Gets the initial guess values for the curve parameters.
`CurveName`	`getName()` Gets the curve name.
`ImmutableList<CurveNode>`	`getNodes()` Gets the nodes of the underlying instruments.
`int`	`getParameterCount()` Gets the number of parameters in the curve.
`ImmutableList<ParameterMetadata>`	`getParameterMetadata()` Gets the parameter metadata of the curve, defaulted to empty metadata instances.
`BiFunction<DoubleArray,Double,DoubleArray>`	`getSensitivityFunction()` Gets the parameter sensitivity function.
`BiFunction<DoubleArray,Double,Double>`	`getValueFunction()` Gets the y-value function.
`ValueType`	`getXValueType()` Gets the x-value type, providing meaning to the x-values of the curve.
`ValueType`	`getYValueType()` Gets the y-value type, providing meaning to the y-values of the curve.
`int`	`hashCode()`
`ImmutableList<Double>`	`initialGuess(MarketData marketData)` Gets the list of all initial guesses.
`static ParameterizedFunctionalCurveDefinition.Meta`	`meta()` The meta-bean for `ParameterizedFunctionalCurveDefinition`.
`ParameterizedFunctionalCurveDefinition.Meta`	`metaBean()`
`CurveMetadata`	`metadata(LocalDate valuationDate, ReferenceData refData)` Creates the curve metadata.
`ParameterizedFunctionalCurveDefinition.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.curve.CurveDefinition
toCurveParameterSize

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - filtered
```
public ParameterizedFunctionalCurveDefinition filtered(LocalDate valuationDate,
                                                       ReferenceData refData)
```
    Description copied from interface: CurveDefinition
    
    Returns a filtered version of this definition with no invalid nodes.
    A curve is formed of a number of nodes, each of which has an associated date. To be valid, the curve node dates must be in order from earliest to latest. Each node has certain rules, CurveNodeDateOrder, that are used to determine what happens if the date of one curve node is equal or earlier than the date of the previous node.
    Filtering occurs in two stages. The first stage looks at each node in turn. The previous and next nodes are checked for clash. If clash occurs, then one of the two nodes is dropped according to the clash action "drop" values. The second stage then looks again at the nodes, and if there are still any invalid nodes, an exception is thrown.
    This approach means that in most cases, only those nodes that have fixed dates, such as futures, need to be annotated with CurveNodeDateOrder.
    
    Specified by:
    
    filtered in interface CurveDefinition
    
    Parameters:
    
    valuationDate - the valuation date
    
    refData - the reference data
    
    Returns:
    
    the resolved definition, that should be used in preference to this one
  - metadata
```
public CurveMetadata metadata(LocalDate valuationDate,
                              ReferenceData refData)
```
    Description copied from interface: CurveDefinition
    
    Creates 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 optional parameter-level metadata will be populated on the resulting metadata. The size of the parameter-level metadata will match the number of parameters of this curve.
    
    Specified by:
    
    metadata in interface CurveDefinition
    
    Parameters:
    
    valuationDate - the valuation date
    
    refData - the reference data
    
    Returns:
    
    the metadata
  - curve
```
public ParameterizedFunctionalCurve curve(LocalDate valuationDate,
                                          CurveMetadata metadata,
                                          DoubleArray parameters)
```
    Description copied from interface: CurveDefinition
    
    Creates the curve from an array of parameter values.
    The meaning of the parameters is determined by the implementation. The size of the array must match the count of parameters.
    
    Specified by:
    
    curve in interface CurveDefinition
    
    Parameters:
    
    valuationDate - the valuation date
    
    metadata - the curve metadata
    
    parameters - the array of parameters
    
    Returns:
    
    the curve
  - getParameterCount
```
public int getParameterCount()
```
    Description copied from interface: CurveDefinition
    
    Gets the number of parameters in the curve.
    This returns the number of parameters in the curve, which is not necessarily equal the size of getNodes().
    
    Specified by:
    
    getParameterCount in interface CurveDefinition
    
    Returns:
    
    the number of parameters
  - initialGuess
```
public ImmutableList<Double> initialGuess(MarketData marketData)
```
    Description copied from interface: CurveDefinition
    
    Gets the list of all initial guesses.
    This returns initial guess for the curve parameters. The valuation date is defined by the market data.
    
    Specified by:
    
    initialGuess in interface CurveDefinition
    
    Parameters:
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    Returns:
    
    the initial guess
  - meta
```
public static ParameterizedFunctionalCurveDefinition.Meta meta()
```
    The meta-bean for ParameterizedFunctionalCurveDefinition.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static ParameterizedFunctionalCurveDefinition.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public ParameterizedFunctionalCurveDefinition.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getName
```
public CurveName getName()
```
    Gets the curve name.
    
    Specified by:
    
    getName in interface CurveDefinition
    
    Returns:
    
    the value of the property, not null
  - getXValueType
```
public ValueType getXValueType()
```
    Gets the x-value type, providing meaning to the x-values of the curve.
    This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.
    If using the builder, this defaults to ValueType.UNKNOWN.
    
    Returns:
    
    the value of the property, not null
  - getYValueType
```
public ValueType getYValueType()
```
    Gets the y-value type, providing meaning to the y-values of the curve.
    This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using ValueType.ZERO_RATE.
    If using the builder, this defaults to ValueType.UNKNOWN.
    
    Specified by:
    
    getYValueType in interface CurveDefinition
    
    Returns:
    
    the value of the property, not null
  - getDayCount
```
public Optional<DayCount> getDayCount()
```
    Gets the day count, optional.
    If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.
    
    Returns:
    
    the optional value of the property, not null
  - getNodes
```
public ImmutableList<CurveNode> getNodes()
```
    Gets the nodes of the underlying instruments.
    The nodes are used to find the quoted values to which the curve is calibrated.
    
    Specified by:
    
    getNodes in interface CurveDefinition
    
    Returns:
    
    the value of the property, not null
  - getInitialGuess
```
public ImmutableList<Double> getInitialGuess()
```
    Gets the initial guess values for the curve parameters.
    The size must be the same as the number of the curve parameters.
    
    Returns:
    
    the value of the property, not null
  - getParameterMetadata
```
public ImmutableList<ParameterMetadata> getParameterMetadata()
```
    Gets the parameter metadata of the curve, defaulted to empty metadata instances.
    The size of the list must be the same as the number of the curve parameters.
    
    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 ParameterizedFunctionalCurveDefinition.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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class ParameterizedFunctionalCurveDefinition

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.market.curve.CurveDefinition

Methods inherited from interface org.joda.beans.Bean

Method Detail

filtered

metadata

curve

getParameterCount

initialGuess

meta

builder

metaBean

getName

getXValueType

getYValueType

getDayCount

getNodes

getInitialGuess

getParameterMetadata

getValueFunction

getDerivativeFunction

getSensitivityFunction

toBuilder

equals

hashCode

toString