com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup 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 com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.currency.Currency;
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.collect.MapStream;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.ObservableSource;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveGroupName;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.market.curve.LegalEntityCurveGroup;
import com.opengamma.strata.market.curve.LegalEntityGroup;
import com.opengamma.strata.market.curve.RepoGroup;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecurityId;
/**
* The lookup that provides access to legal entity discounting in market data.
*
* The legal entity discounting market lookup provides access to repo and issuer curves.
*
* 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 LegalEntityDiscountingMarketDataLookup extends CalculationParameter {
/**
* Obtains an instance based on a maps for repo and issuer curves.
*
* Both the repo and issuer curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveSecurityGroups the per security repo curve groups overrides, mapping security ID to group
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveSecurityGroups,
Map repoCurveGroups,
Map, CurveId> repoCurveIds,
Map issuerCurveGroups,
Map, CurveId> issuerCurveIds) {
return DefaultLegalEntityDiscountingMarketDataLookup.of(
repoCurveSecurityGroups, repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, ObservableSource.NONE);
}
/**
* Obtains an instance based on a maps for repo and issuer curves.
*
* Both the repo and issuer curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveSecurityGroups the per security repo curve groups overrides, mapping security ID to group
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @param obsSource the source of market data for quotes and other observable market data
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveSecurityGroups,
Map repoCurveGroups,
Map, CurveId> repoCurveIds,
Map issuerCurveGroups,
Map, CurveId> issuerCurveIds,
ObservableSource obsSource) {
return DefaultLegalEntityDiscountingMarketDataLookup.of(
repoCurveSecurityGroups, repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource);
}
/**
* Obtains an instance based on a maps for repo and issuer curves.
*
* Both the repo and issuer curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveGroups,
Map, CurveId> repoCurveIds,
Map issuerCurveGroups,
Map, CurveId> issuerCurveIds) {
return DefaultLegalEntityDiscountingMarketDataLookup.of(
ImmutableMap.of(), repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, ObservableSource.NONE);
}
/**
* Obtains an instance based on a maps for repo and issuer curves.
*
* Both the repo and issuer curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @param obsSource the source of market data for quotes and other observable market data
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveGroups,
Map, CurveId> repoCurveIds,
Map issuerCurveGroups,
Map, CurveId> issuerCurveIds,
ObservableSource obsSource) {
return DefaultLegalEntityDiscountingMarketDataLookup.of(
ImmutableMap.of(), repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource);
}
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a curve group and group maps.
*
* The two maps define mapping from the issuer ID to a group.
*
* @param curveGroup the curve group to base the lookup on
* @param repoCurveSecurityGroups the per security repo curve groups overrides, mapping security ID to group
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
LegalEntityCurveGroup curveGroup,
Map repoCurveSecurityGroups,
Map repoCurveGroups,
Map issuerCurveGroups) {
CurveGroupName groupName = curveGroup.getName();
Map, CurveId> repoCurveIds = MapStream.of(curveGroup.getRepoCurves())
.mapValues(c -> CurveId.of(groupName, c.getName()))
.toMap();
Map, CurveId> issuerCurveIds = MapStream.of(curveGroup.getIssuerCurves())
.mapValues(c -> CurveId.of(groupName, c.getName()))
.toMap();
return DefaultLegalEntityDiscountingMarketDataLookup.of(
repoCurveSecurityGroups, repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, ObservableSource.NONE);
}
/**
* Obtains an instance based on a curve group and group maps.
*
* The two maps define mapping from the issuer ID to a group.
*
* @param curveGroup the curve group to base the lookup on
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
LegalEntityCurveGroup curveGroup,
Map repoCurveGroups,
Map issuerCurveGroups) {
return of(curveGroup, ImmutableMap.of(), repoCurveGroups, issuerCurveGroups);
}
//-------------------------------------------------------------------------
/**
* Obtains an instance based on maps for repo curves.
*
* The repo curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* Issuer curves are not defined in the instance.
*
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers, keyed by repo group and currency
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveGroups,
Map, CurveId> repoCurveIds) {
return LegalEntityDiscountingMarketDataLookup.of(repoCurveGroups, repoCurveIds, ObservableSource.NONE);
}
/**
* Obtains an instance based on maps for repo curves.
*
* The repo curves are defined in two parts.
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* Issuer curves are not defined in the instance.
*
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers, keyed by repo group and currency
* @param obsSource the source of market data for quotes and other observable market data
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
Map repoCurveGroups,
Map, CurveId> repoCurveIds,
ObservableSource obsSource) {
return DefaultLegalEntityDiscountingMarketDataLookup.of(repoCurveGroups, repoCurveIds, obsSource);
}
/**
* Obtains an instance based on a curve group and group map.
*
* The two maps define mapping from the issuer ID to a group.
*
* Issuer curves are not defined in the instance.
*
* @param curveGroup the curve group to base the lookup on
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @return the rates lookup containing the specified curves
*/
public static LegalEntityDiscountingMarketDataLookup of(
LegalEntityCurveGroup curveGroup,
Map repoCurveGroups) {
CurveGroupName groupName = curveGroup.getName();
Map, CurveId> repoCurveIds = MapStream.of(curveGroup.getRepoCurves())
.mapValues(c -> CurveId.of(groupName, c.getName()))
.toMap();
return LegalEntityDiscountingMarketDataLookup.of(repoCurveGroups, repoCurveIds, ObservableSource.NONE);
}
//-------------------------------------------------------------------------
/**
* Gets the type that the lookup will be queried by.
*
* This returns {@code LegalEntityDiscountingMarketDataLookup.class}.
* When querying parameters using {@link CalculationParameters#findParameter(Class)},
* {@code LegalEntityDiscountingMarketDataLookup.class} must be passed in to find the instance.
*
* @return the type of the parameter implementation
*/
@Override
public default Class queryType() {
return LegalEntityDiscountingMarketDataLookup.class;
}
//-------------------------------------------------------------------------
/**
* Creates market data requirements for the specified security and issuer.
*
* @param securityId the security ID
* @param issuerId the legal entity issuer ID
* @param currency the currency of the security
* @return the requirements
* @throws IllegalArgumentException if unable to create requirements
*/
public abstract FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency);
/**
* Creates market data requirements for the specified issuer.
*
* @param issuerId the legal entity issuer ID
* @param currency the currency of the security
* @return the requirements
* @throws IllegalArgumentException if unable to create requirements
*/
public abstract FunctionRequirements requirements(LegalEntityId issuerId, Currency currency);
//-------------------------------------------------------------------------
/**
* 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 LegalEntityDiscountingScenarioMarketData marketDataView(ScenarioMarketData marketData) {
return DefaultLegalEntityDiscountingScenarioMarketData.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 LegalEntityDiscountingMarketData marketDataView(MarketData marketData) {
return DefaultLegalEntityDiscountingMarketData.of(this, marketData);
}
//-------------------------------------------------------------------------
/**
* Obtains a discounting provider based on the specified market data.
*
* This provides a {@link LegalEntityDiscountingProvider} suitable for pricing a product.
* Although this method can be used directly, it is typically invoked indirectly
* via {@link LegalEntityDiscountingMarketData}:
*
* // bind the baseData to this lookup
* LegalEntityDiscountingMarketData view = lookup.marketView(baseData);
*
* // pass around RatesMarketData within the function to use in pricing
* LegalEntityDiscountingProvider provider = view.discountingProvider();
*
*
* @param marketData the complete set of market data for one scenario
* @return the discounting provider
*/
public abstract LegalEntityDiscountingProvider discountingProvider(MarketData marketData);
}