com.opengamma.strata.market.curve.CurveNode Maven / Gradle / Ivy
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/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.market.curve;
import java.time.LocalDate;
import java.util.Set;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.market.ValueType;
import com.opengamma.strata.market.param.DatedParameterMetadata;
import com.opengamma.strata.product.ResolvedTrade;
import com.opengamma.strata.product.Trade;
/**
* A node in the configuration specifying how to calibrate a curve.
*
* A curve node is associated with an instrument and provides a method to create a trade representing the instrument.
*/
public interface CurveNode {
/**
* Gets the label to use for the node.
*
* @return the label, not empty
*/
public abstract String getLabel();
/**
* Gets the date order rules that apply to this node within the curve.
*
* Each curve node has an associated date which defines the x-value in the curve,
* available via {@link #date(LocalDate, ReferenceData)}. Restrictions may be placed
* on the node to prevent it from being too close, before or after another node.
*
* @return the date order rules
*/
public abstract CurveNodeDateOrder getDateOrder();
/**
* Determines the market data that is required by the node.
*
* This returns the market data needed to build the trade that the node represents.
*
* @return requirements for the market data needed to build a trade representing the instrument at the node
*/
public abstract Set> requirements();
/**
* Calculates the date associated with the node.
*
* Each curve node has an associated date which defines the x-value in the curve.
* This date is visible in the {@linkplain DatedParameterMetadata parameter metadata}.
*
* @param valuationDate the valuation date used when calibrating the curve
* @param refData the reference data to use to resolve the trade
* @return the date associated with the node
*/
public abstract LocalDate date(LocalDate valuationDate, ReferenceData refData);
/**
* Returns metadata for the node.
*
* This provides curve metadata for the node at the specified valuation date.
*
* @param valuationDate the valuation date used when calibrating the curve
* @param refData the reference data to use to resolve the trade
* @return metadata for the node
*/
public abstract DatedParameterMetadata metadata(LocalDate valuationDate, ReferenceData refData);
/**
* Creates a trade representing the instrument at the node.
*
* This uses the observed market data to build the trade that the node represents.
* The reference data is typically used to find the start date of the trade from the valuation date.
* The resulting trade is not resolved.
* The notional of the trade is taken from the 'quantity' variable.
* The quantity is signed and will affect whether the trade is Buy or Sell.
* The valuation date is defined by the market data.
*
* @param quantity the quantity or notional of the trade
* @param marketData the market data required to build a trade for the instrument, including the valuation date
* @param refData the reference data, used to resolve the trade dates
* @return a trade representing the instrument at the node
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid definition
*/
public abstract Trade trade(double quantity, MarketData marketData, ReferenceData refData);
/**
* Creates a resolved trade representing the instrument at the node.
*
* This uses the observed market data to build the trade that the node represents.
* The trade is then resolved using the specified reference data if necessary.
* The valuation date is defined by the market data.
*
* Resolved objects may be bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*
* @param quantity the quantity or notional of the trade
* @param marketData the market data required to build a trade for the instrument, including the valuation date
* @param refData the reference data, used to resolve the trade
* @return a trade representing the instrument at the node
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid definition
*/
public abstract ResolvedTrade resolvedTrade(double quantity, MarketData marketData, ReferenceData refData);
/**
* Creates a resolved trade representing the instrument at the node.
*
* This uses an arbitrary quantity, typically 1, and an arbitrary market data quote, typically 0, to create a trade.
* This is useful when the trade is to be used to calculate the current par value.
* The FX provider is typically only used for cross-currency trades.
* In many cases, {@link FxRateProvider#minimal()} can be passed in.
*
* Resolved objects may be bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*
* @param valuationDate the valuation date
* @param fxProvider the FX rate provider
* @param refData the reference data, used to resolve the trade
* @return a trade representing the instrument at the node
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid definition
*/
public default ResolvedTrade sampleResolvedTrade(
LocalDate valuationDate,
FxRateProvider fxProvider,
ReferenceData refData) {
// deprecated - this will be made abstract with next set of breaking changes
throw new UnsupportedOperationException("CurveNode.sampleResolvedTrade() is not supported");
}
/**
* Gets the initial guess used for calibrating the node.
*
* This uses the observed market data to select a suitable initial guess.
* For example, a Fixed-Ibor swap would return the market quote, which is the fixed rate,
* providing that the value type is 'ZeroRate'.
* The valuation date is defined by the market data.
*
* This is primarily used as a performance hint. Since the guess is refined by
* calibration, in most cases any suitable number can be returned, such as zero.
*
* @param marketData the market data required to build a trade for the instrument, including the valuation date
* @param valueType the type of y-value that the curve will contain
* @return the initial guess of the calibrated value
*/
public abstract double initialGuess(MarketData marketData, ValueType valueType);
}