/**
* Merges a Hull-White curve provider and an FX matrix.
*
* @param provider The provider, not null
* @param matrix The FX matrix, not null
* @return The merged provider
*/
public static HullWhiteOneFactorProviderDiscount mergeHullWhiteProviders(
final HullWhiteOneFactorProviderDiscount provider, final FXMatrix matrix) {
ArgumentChecker.notNull(provider, "provider");
ArgumentChecker.notNull(matrix, "matrix");
final HullWhiteOneFactorProviderDiscount result = provider.copy();
final Collection<Currency> currencies = matrix.getCurrencies().keySet();
final Iterator<Currency> iterator = currencies.iterator();
if (currencies.size() > 0) {
final Currency initialCurrency = iterator.next();
while (iterator.hasNext()) {
final Currency otherCurrency = iterator.next();
result
.getMulticurveProvider()
.getFxRates()
.addCurrency(
initialCurrency, otherCurrency, matrix.getFxRate(initialCurrency, otherCurrency));
}
}
return result;
}
/**
* Merges Hull-White one-factor providers.
*
* @param providers The providers to merge, not null or empty
* @return The merged providers
*/
public static HullWhiteOneFactorProviderDiscount mergeHullWhiteProviders(
final Collection<HullWhiteOneFactorProviderDiscount> providers) {
ArgumentChecker.notNull(providers, "providers");
ArgumentChecker.notEmpty(providers, "providers");
final Iterator<HullWhiteOneFactorProviderDiscount> iter = providers.iterator();
final HullWhiteOneFactorProviderDiscount result = iter.next().copy();
while (iter.hasNext()) {
final HullWhiteOneFactorProviderDiscount provider = iter.next().copy();
final MulticurveProviderDiscount underlying = provider.getMulticurveProvider().copy();
for (final Map.Entry<Currency, YieldAndDiscountCurve> entry :
underlying.getDiscountingCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
for (final Map.Entry<IborIndex, YieldAndDiscountCurve> entry :
underlying.getForwardIborCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
for (final Map.Entry<IndexON, YieldAndDiscountCurve> entry :
underlying.getForwardONCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
final FXMatrix matrix = underlying.getFxRates();
final Collection<Currency> currencies = matrix.getCurrencies().keySet();
final Iterator<Currency> iterator = currencies.iterator();
if (currencies.size() > 0) {
final Currency initialCurrency = iterator.next();
while (iterator.hasNext()) {
final Currency otherCurrency = iterator.next();
underlying
.getFxRates()
.addCurrency(
initialCurrency, otherCurrency, matrix.getFxRate(initialCurrency, otherCurrency));
}
}
// TODO actually merge.
}
return result;
}
