/**
* Merges discounting curve providers.
*
* @param providers The providers to merge, not null or empty
* @return The merged providers
*/
public static MulticurveProviderDiscount mergeDiscountingProviders(
final Collection<MulticurveProviderDiscount> providers) {
ArgumentChecker.notNull(providers, "providers");
ArgumentChecker.notEmpty(providers, "providers");
final MulticurveProviderDiscount result = new MulticurveProviderDiscount();
for (final MulticurveProviderDiscount provider : providers) {
for (final Map.Entry<Currency, YieldAndDiscountCurve> entry :
provider.getDiscountingCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
for (final Map.Entry<IborIndex, YieldAndDiscountCurve> entry :
provider.getForwardIborCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
for (final Map.Entry<IndexON, YieldAndDiscountCurve> entry :
provider.getForwardONCurves().entrySet()) {
result.setCurve(entry.getKey(), entry.getValue());
}
final FXMatrix matrix = provider.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();
result
.getFxRates()
.addCurrency(
initialCurrency, otherCurrency, matrix.getFxRate(initialCurrency, otherCurrency));
}
}
}
return result;
}
@Override
protected void buildMessage(
final FudgeSerializer serializer, final MutableFudgeMsg message, final FXMatrix object) {
final Map<Currency, Integer> currencies = object.getCurrencies();
for (final Map.Entry<Currency, Integer> entry : currencies.entrySet()) {
message.add(CURRENCY_FIELD, entry.getKey().getCode());
message.add(ORDER_FIELD, entry.getValue());
}
final double[][] rates = object.getRates();
for (final double[] array : rates) {
message.add(ENTRIES_FIELD, array.length);
final MutableFudgeMsg msg = serializer.newMessage();
serializer.addToMessageWithClassHeaders(msg, ROW_FIELD, null, array);
message.add(FX_RATES_FIELD, msg);
}
}
/**
* Merges a discounting 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 MulticurveProviderDiscount mergeDiscountingProviders(
final MulticurveProviderDiscount provider, final FXMatrix matrix) {
ArgumentChecker.notNull(provider, "provider");
ArgumentChecker.notNull(matrix, "matrix");
final MulticurveProviderDiscount 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
.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;
}
