com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.bond;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.MarketDataNotFoundException;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.pricer.bond.BondFutureVolatilities;
import com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId;
import com.opengamma.strata.product.SecurityId;
/**
* The lookup that provides access to bond future volatilities in market data.
*
* The bond future option market lookup provides access to the volatilities used to price bond future options.
*
* The lookup implements {@link CalculationParameter} and is used by passing it
* as an argument to {@link CalculationRules}. It provides the link between the
* data that the function needs and the data that is available in {@link ScenarioMarketData}.
*
* Implementations of this interface must be immutable.
*/
public interface BondFutureOptionMarketDataLookup extends CalculationParameter {
/**
* Obtains an instance based on a single mapping from security ID to volatility identifier.
*
* The lookup provides volatilities for the specified security ID.
*
* @param securityId the security ID
* @param volatilityId the volatility identifier
* @return the bond future options lookup containing the specified mapping
*/
public static BondFutureOptionMarketDataLookup of(SecurityId securityId, BondFutureVolatilitiesId volatilityId) {
return DefaultBondFutureOptionMarketDataLookup.of(ImmutableMap.of(securityId, volatilityId));
}
/**
* Obtains an instance based on a map of volatility identifiers.
*
* The map is used to specify the appropriate volatilities to use for each security ID.
*
* @param volatilityIds the volatility identifiers, keyed by security ID
* @return the bond future options lookup containing the specified volatilities
*/
public static BondFutureOptionMarketDataLookup of(Map volatilityIds) {
return DefaultBondFutureOptionMarketDataLookup.of(volatilityIds);
}
//-------------------------------------------------------------------------
/**
* Gets the type that the lookup will be queried by.
*
* This returns {@code BondFutureOptionMarketLookup.class}.
* When querying parameters using {@link CalculationParameters#findParameter(Class)},
* {@code BondFutureOptionMarketLookup.class} must be passed in to find the instance.
*
* @return the type of the parameter implementation
*/
@Override
public default Class queryType() {
return BondFutureOptionMarketDataLookup.class;
}
//-------------------------------------------------------------------------
/**
* Gets the set of security IDs that volatilities are provided for.
*
* @return the set of security IDs
*/
public abstract ImmutableSet getVolatilitySecurityIds();
/**
* Gets the identifiers used to obtain the volatilities for the specified security ID.
*
* The result will typically refer to a surface or cube.
* If the security ID is not found, an exception is thrown.
*
* @param securityId the security ID for which identifiers are required
* @return the set of market data identifiers
* @throws IllegalArgumentException if the security ID is not found
*/
public abstract ImmutableSet> getVolatilityIds(SecurityId securityId);
//-------------------------------------------------------------------------
/**
* Creates market data requirements for the specified security IDs.
*
* @param securityIds the security IDs, for which volatilities are required
* @return the requirements
*/
public default FunctionRequirements requirements(SecurityId... securityIds) {
return requirements(ImmutableSet.copyOf(securityIds));
}
/**
* Creates market data requirements for the specified security IDs.
*
* @param securityIds the security IDs, for which volatilities are required
* @return the requirements
*/
public abstract FunctionRequirements requirements(Set securityIds);
//-------------------------------------------------------------------------
/**
* Obtains a filtered view of the complete set of market data.
*
* This method returns an instance that binds the lookup to the market data.
* The input is {@link ScenarioMarketData}, which contains market data for all scenarios.
*
* @param marketData the complete set of market data for all scenarios
* @return the filtered market data
*/
public default BondFutureOptionScenarioMarketData marketDataView(ScenarioMarketData marketData) {
return DefaultBondFutureOptionScenarioMarketData.of(this, marketData);
}
/**
* Obtains a filtered view of the complete set of market data.
*
* This method returns an instance that binds the lookup to the market data.
* The input is {@link MarketData}, which contains market data for one scenario.
*
* @param marketData the complete set of market data for one scenario
* @return the filtered market data
*/
public default BondFutureOptionMarketData marketDataView(MarketData marketData) {
return DefaultBondFutureOptionMarketData.of(this, marketData);
}
//-------------------------------------------------------------------------
/**
* Obtains bond future volatilities based on the specified market data.
*
* This provides {@link BondFutureVolatilities} suitable for pricing bond future options.
* Although this method can be used directly, it is typically invoked indirectly
* via {@link BondFutureOptionMarketData}:
*
* // bind the baseData to this lookup
* BondFutureOptionMarketData view = lookup.marketDataView(baseData);
*
* // pas around BondFutureOptionMarketData within the function to use in pricing
* BondFutureVolatilities vols = view.volatilities(securityId);
*
*
* @param securityId the security ID
* @param marketData the complete set of market data for one scenario
* @return the volatilities
* @throws MarketDataNotFoundException if the security ID is not found
*/
public abstract BondFutureVolatilities volatilities(SecurityId securityId, MarketData marketData);
}