com.opengamma.strata.measure.credit.DefaultCreditRatesMarketDataLookup Maven / Gradle / Ivy
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.credit;
import java.io.Serializable;
import java.lang.invoke.MethodHandles;
import java.util.Map;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.TypedMetaBean;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.light.LightMetaBean;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.StandardId;
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.FunctionRequirements;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.collect.tuple.Pair;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.ObservableSource;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.pricer.credit.CreditRatesProvider;
/**
* The credit rates lookup, used to select curves for pricing.
*
* This provides access to credit, discount and recovery rate 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}.
*/
@BeanDefinition(style = "light")
final class DefaultCreditRatesMarketDataLookup
implements CreditRatesMarketDataLookup, ImmutableBean, Serializable {
/**
* The credit curves, keyed by standard ID and currency.
* The curve data, predicting the future, associated with each standard ID and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap, CurveId> creditCurveIds;
/**
* The discount curves, keyed by currency.
* The curve data, predicting the future, associated with each currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap discountCurveIds;
/**
* The recovery rate curves, keyed by standard ID.
* The curve data, predicting the future, associated with each standard ID.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap recoveryRateCurveIds;
/**
* The source of market data for quotes and other observable market data.
*/
@PropertyDefinition(validate = "notNull")
private final ObservableSource observableSource;
//-------------------------------------------------------------------------
static DefaultCreditRatesMarketDataLookup of(
Map, CurveId> creditCurveIds,
Map discountCurveIds,
Map recoveryRateCurveIds,
ObservableSource observableSource) {
return new DefaultCreditRatesMarketDataLookup(
creditCurveIds, discountCurveIds, recoveryRateCurveIds, observableSource);
}
//-------------------------------------------------------------------------
@Override
public ImmutableSet getDiscountCurrencies() {
return discountCurveIds.keySet();
}
@Override
public ImmutableSet> getDiscountMarketDataIds(Currency currency) {
CurveId id = discountCurveIds.get(currency);
if (id == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no discount curve defined for currency '{}'", currency));
}
return ImmutableSet.of(id);
}
@Override
public ImmutableSet> getCreditLegalEntities() {
return creditCurveIds.keySet();
}
@Override
public ImmutableSet> getCreditMarketDataIds(StandardId legalEntityId, Currency currency) {
CurveId id = creditCurveIds.get(Pair.of(legalEntityId, currency));
if (id == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no credit curve defined for legal entity ID '{}' and currency '{}'",
legalEntityId,
currency));
}
return ImmutableSet.of(id);
}
@Override
public ImmutableSet getRecoveryRateLegalEntities() {
return recoveryRateCurveIds.keySet();
}
@Override
public ImmutableSet> getRecoveryRateMarketDataIds(StandardId legalEntityId) {
CurveId id = recoveryRateCurveIds.get(legalEntityId);
if (id == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no recovery rate curve defined for legal entity ID '{}'", legalEntityId));
}
return ImmutableSet.of(id);
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(StandardId legalEntityId, Currency currency) {
CurveId creditCurveId = creditCurveIds.get(Pair.of(legalEntityId, currency));
if (creditCurveId == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no credit curve defined for '{}' and '{}'", legalEntityId, currency));
}
CurveId discountCurveId = discountCurveIds.get(currency);
if (discountCurveId == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no discount curve defined for '{}'", currency));
}
CurveId recoveryRateCurveId = recoveryRateCurveIds.get(legalEntityId);
if (recoveryRateCurveId == null) {
throw new IllegalArgumentException(Messages.format(
"Credit rates lookup has no recovery rate curve defined for '{}'", legalEntityId));
}
return FunctionRequirements.builder()
.valueRequirements(ImmutableSet.of(creditCurveId, discountCurveId, recoveryRateCurveId))
.outputCurrencies(currency)
.observableSource(observableSource)
.build();
}
//-------------------------------------------------------------------------
@Override
public CreditRatesProvider creditRatesProvider(MarketData marketData) {
return DefaultLookupCreditRatesProvider.of(this, marketData);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code DefaultCreditRatesMarketDataLookup}.
*/
private static final TypedMetaBean META_BEAN =
LightMetaBean.of(
DefaultCreditRatesMarketDataLookup.class,
MethodHandles.lookup(),
new String[] {
"creditCurveIds",
"discountCurveIds",
"recoveryRateCurveIds",
"observableSource"},
ImmutableMap.of(),
ImmutableMap.of(),
ImmutableMap.of(),
null);
/**
* The meta-bean for {@code DefaultCreditRatesMarketDataLookup}.
* @return the meta-bean, not null
*/
public static TypedMetaBean meta() {
return META_BEAN;
}
static {
MetaBean.register(META_BEAN);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private DefaultCreditRatesMarketDataLookup(
Map, CurveId> creditCurveIds,
Map discountCurveIds,
Map recoveryRateCurveIds,
ObservableSource observableSource) {
JodaBeanUtils.notNull(creditCurveIds, "creditCurveIds");
JodaBeanUtils.notNull(discountCurveIds, "discountCurveIds");
JodaBeanUtils.notNull(recoveryRateCurveIds, "recoveryRateCurveIds");
JodaBeanUtils.notNull(observableSource, "observableSource");
this.creditCurveIds = ImmutableMap.copyOf(creditCurveIds);
this.discountCurveIds = ImmutableMap.copyOf(discountCurveIds);
this.recoveryRateCurveIds = ImmutableMap.copyOf(recoveryRateCurveIds);
this.observableSource = observableSource;
}
@Override
public TypedMetaBean metaBean() {
return META_BEAN;
}
//-----------------------------------------------------------------------
/**
* Gets the credit curves, keyed by standard ID and currency.
* The curve data, predicting the future, associated with each standard ID and currency.
* @return the value of the property, not null
*/
public ImmutableMap, CurveId> getCreditCurveIds() {
return creditCurveIds;
}
//-----------------------------------------------------------------------
/**
* Gets the discount curves, keyed by currency.
* The curve data, predicting the future, associated with each currency.
* @return the value of the property, not null
*/
public ImmutableMap getDiscountCurveIds() {
return discountCurveIds;
}
//-----------------------------------------------------------------------
/**
* Gets the recovery rate curves, keyed by standard ID.
* The curve data, predicting the future, associated with each standard ID.
* @return the value of the property, not null
*/
public ImmutableMap getRecoveryRateCurveIds() {
return recoveryRateCurveIds;
}
//-----------------------------------------------------------------------
/**
* Gets the source of market data for quotes and other observable market data.
* @return the value of the property, not null
*/
public ObservableSource getObservableSource() {
return observableSource;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
DefaultCreditRatesMarketDataLookup other = (DefaultCreditRatesMarketDataLookup) obj;
return JodaBeanUtils.equal(creditCurveIds, other.creditCurveIds) &&
JodaBeanUtils.equal(discountCurveIds, other.discountCurveIds) &&
JodaBeanUtils.equal(recoveryRateCurveIds, other.recoveryRateCurveIds) &&
JodaBeanUtils.equal(observableSource, other.observableSource);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(creditCurveIds);
hash = hash * 31 + JodaBeanUtils.hashCode(discountCurveIds);
hash = hash * 31 + JodaBeanUtils.hashCode(recoveryRateCurveIds);
hash = hash * 31 + JodaBeanUtils.hashCode(observableSource);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("DefaultCreditRatesMarketDataLookup{");
buf.append("creditCurveIds").append('=').append(JodaBeanUtils.toString(creditCurveIds)).append(',').append(' ');
buf.append("discountCurveIds").append('=').append(JodaBeanUtils.toString(discountCurveIds)).append(',').append(' ');
buf.append("recoveryRateCurveIds").append('=').append(JodaBeanUtils.toString(recoveryRateCurveIds)).append(',').append(' ');
buf.append("observableSource").append('=').append(JodaBeanUtils.toString(observableSource));
buf.append('}');
return buf.toString();
}
//-------------------------- AUTOGENERATED END --------------------------
}