com.opengamma.strata.measure.rate.DefaultRatesMarketDataLookup 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.rate;
import static com.opengamma.strata.collect.Guavate.not;
import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import java.io.Serializable;
import java.lang.invoke.MethodHandles;
import java.util.Collection;
import java.util.Map;
import java.util.Set;
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.ImmutableValidator;
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.google.common.collect.Sets;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.basics.index.FloatingRateIndex;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.calc.runner.FxRateLookup;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.ObservableId;
import com.opengamma.strata.data.ObservableSource;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.market.observable.IndexQuoteId;
import com.opengamma.strata.pricer.rate.RatesProvider;
/**
* The rates lookup, used to select curves for pricing.
*
* This provides access to discount curves and forward 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 DefaultRatesMarketDataLookup
implements RatesMarketDataLookup, ImmutableBean, Serializable {
/**
* The discount curves in the group, keyed by currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap discountCurves;
/**
* The forward curves in the group, keyed by index.
*/
@PropertyDefinition(validate = "notNull", builderType = "Map")
private final ImmutableMap forwardCurves;
/**
* The source of market data for quotes and other observable market data.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final ObservableSource observableSource;
/**
* The lookup used to obtain {@code FxRateProvider}.
*/
@PropertyDefinition(validate = "notNull", alias = "fxLookup", overrideGet = true)
private final FxRateLookup fxRateLookup;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a map of discount and forward curve identifiers.
*
* The discount and forward curves refer to the curve identifier.
* The curves themselves are provided in {@link ScenarioMarketData}
* using {@link CurveId} as the identifier.
*
* @param discountCurveIds the discount curve identifiers, keyed by currency
* @param forwardCurveIds the forward curves identifiers, keyed by index
* @param obsSource the source of market data for FX, quotes and other observable market data
* @param fxLookup the lookup used to obtain FX rates
* @return the rates lookup containing the specified curves
*/
public static DefaultRatesMarketDataLookup of(
Map discountCurveIds,
Map forwardCurveIds,
ObservableSource obsSource,
FxRateLookup fxLookup) {
return new DefaultRatesMarketDataLookup(discountCurveIds, forwardCurveIds, obsSource, fxLookup);
}
//-------------------------------------------------------------------------
@Override
public ImmutableSet getDiscountCurrencies() {
return discountCurves.keySet();
}
@Override
public ImmutableSet> getDiscountMarketDataIds(Currency currency) {
CurveId id = discountCurves.get(currency);
if (id == null) {
throw new IllegalArgumentException(msgCurrencyNotFound(currency));
}
return ImmutableSet.of(id);
}
@Override
public ImmutableSet getForwardIndices() {
return forwardCurves.keySet();
}
@Override
public ImmutableSet> getForwardMarketDataIds(Index index) {
CurveId id = forwardCurves.get(index);
if (id == null) {
throw new IllegalArgumentException(msgIndexNotFound(index));
}
return ImmutableSet.of(id);
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(Set currencies, Set indices) {
for (Currency currency : currencies) {
if (!discountCurves.keySet().contains(currency)) {
throw new IllegalArgumentException(msgCurrencyNotFound(currency));
}
}
for (Index index : indices) {
if (!forwardCurves.keySet().contains(index) && !isHistoric(index)) {
throw new IllegalArgumentException(msgIndexNotFound(index));
}
}
// keys for time-series (requested for historic indices)
Set indexQuoteIds = indices.stream()
.map(IndexQuoteId::of)
.collect(toImmutableSet());
// keys for forward curves (not requested for historic indices)
Set> indexCurveIds = indices.stream()
.filter(not(this::isHistoric))
.map(idx -> forwardCurves.get(idx))
.collect(toImmutableSet());
// keys for discount factors
Set> discountFactorsIds = currencies.stream()
.map(ccy -> discountCurves.get(ccy))
.collect(toImmutableSet());
return FunctionRequirements.builder()
.valueRequirements(Sets.union(indexCurveIds, discountFactorsIds))
.timeSeriesRequirements(indexQuoteIds)
.outputCurrencies(currencies)
.observableSource(observableSource)
.build();
}
// returns true if the index is historic (no longer active)
private boolean isHistoric(Index index) {
if (index instanceof FloatingRateIndex) {
FloatingRateIndex fri = (FloatingRateIndex) index;
return !fri.isActive();
}
return false;
}
//-------------------------------------------------------------------------
@Override
public RatesProvider ratesProvider(MarketData marketData) {
return DefaultLookupRatesProvider.of(this, marketData);
}
@Override
public FxRateProvider fxRateProvider(MarketData marketData) {
return fxRateLookup.fxRateProvider(marketData);
}
//-------------------------------------------------------------------------
String msgCurrencyNotFound(Currency currency) {
return Messages.format("Rates lookup has no discount curve defined for currency '{}'", currency);
}
String msgIndexNotFound(Index index) {
return Messages.format("Rates lookup has no forward curve defined for index '{}'", index);
}
@ImmutableValidator
private void validate() {
validateObservableSource(forwardCurves.values());
validateObservableSource(discountCurves.values());
}
/**
* Checks that the observable source in this instance matches the source in the IDs.
*/
private void validateObservableSource(Collection curveIds) {
for (CurveId curveId : curveIds) {
if (!curveId.getObservableSource().equals(observableSource)) {
throw new IllegalArgumentException(
Messages.format(
"The observable source '{}' must match the observable source in all curve IDs but found {}",
observableSource,
curveId));
}
}
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code DefaultRatesMarketDataLookup}.
*/
private static final TypedMetaBean META_BEAN =
LightMetaBean.of(
DefaultRatesMarketDataLookup.class,
MethodHandles.lookup(),
new String[] {
"discountCurves",
"forwardCurves",
"observableSource",
"fxRateLookup"},
ImmutableMap.of(),
ImmutableMap.of(),
null,
null)
.withAlias("fxLookup", "fxRateLookup");
/**
* The meta-bean for {@code DefaultRatesMarketDataLookup}.
* @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 DefaultRatesMarketDataLookup(
Map discountCurves,
Map forwardCurves,
ObservableSource observableSource,
FxRateLookup fxRateLookup) {
JodaBeanUtils.notNull(discountCurves, "discountCurves");
JodaBeanUtils.notNull(forwardCurves, "forwardCurves");
JodaBeanUtils.notNull(observableSource, "observableSource");
JodaBeanUtils.notNull(fxRateLookup, "fxRateLookup");
this.discountCurves = ImmutableMap.copyOf(discountCurves);
this.forwardCurves = ImmutableMap.copyOf(forwardCurves);
this.observableSource = observableSource;
this.fxRateLookup = fxRateLookup;
validate();
}
@Override
public TypedMetaBean metaBean() {
return META_BEAN;
}
//-----------------------------------------------------------------------
/**
* Gets the discount curves in the group, keyed by currency.
* @return the value of the property, not null
*/
public ImmutableMap getDiscountCurves() {
return discountCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the forward curves in the group, keyed by index.
* @return the value of the property, not null
*/
public ImmutableMap getForwardCurves() {
return forwardCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the source of market data for quotes and other observable market data.
* @return the value of the property, not null
*/
@Override
public ObservableSource getObservableSource() {
return observableSource;
}
//-----------------------------------------------------------------------
/**
* Gets the lookup used to obtain {@code FxRateProvider}.
* @return the value of the property, not null
*/
@Override
public FxRateLookup getFxRateLookup() {
return fxRateLookup;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
DefaultRatesMarketDataLookup other = (DefaultRatesMarketDataLookup) obj;
return JodaBeanUtils.equal(discountCurves, other.discountCurves) &&
JodaBeanUtils.equal(forwardCurves, other.forwardCurves) &&
JodaBeanUtils.equal(observableSource, other.observableSource) &&
JodaBeanUtils.equal(fxRateLookup, other.fxRateLookup);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(discountCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(forwardCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(observableSource);
hash = hash * 31 + JodaBeanUtils.hashCode(fxRateLookup);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("DefaultRatesMarketDataLookup{");
buf.append("discountCurves").append('=').append(JodaBeanUtils.toString(discountCurves)).append(',').append(' ');
buf.append("forwardCurves").append('=').append(JodaBeanUtils.toString(forwardCurves)).append(',').append(' ');
buf.append("observableSource").append('=').append(JodaBeanUtils.toString(observableSource)).append(',').append(' ');
buf.append("fxRateLookup").append('=').append(JodaBeanUtils.toString(fxRateLookup));
buf.append('}');
return buf.toString();
}
//-------------------------- AUTOGENERATED END --------------------------
}