com.opengamma.strata.function.calculation.rate.MarketDataUtils.java Source code

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Here is the source code for com.opengamma.strata.function.calculation.rate.MarketDataUtils.java

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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.function.calculation.rate;

import static com.opengamma.strata.collect.Guavate.toImmutableMap;

import java.util.Set;
import java.util.function.Function;

import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.engine.marketdata.SingleCalculationMarketData;
import com.opengamma.strata.market.curve.NodalCurve;
import com.opengamma.strata.market.key.IndexRateKey;
import com.opengamma.strata.pricer.rate.ImmutableRatesProvider;
import com.opengamma.strata.pricer.rate.RatesProvider;

/**
 * Utilities for manipulating market data.
 */
public final class MarketDataUtils {

    /**
     * Restricted constructor.
     */
    private MarketDataUtils() {
    }

    //-------------------------------------------------------------------------
    /**
     * Creates a rates provider from a set of market data containing a single discounting curve,
     * and forward curves and fixing series for a given set of indices.
     * All curves are overridden by a given replacement. 
     * 
     * @param marketData  the market data
     * @param currency  the currency of the discounting curve
     * @param indices  the indices
     * @param curveOverride  the curve override
     * @return the rates provider
     */
    public static RatesProvider toSingleCurveRatesProvider(SingleCalculationMarketData marketData,
            Currency currency, Set<? extends Index> indices, NodalCurve curveOverride) {

        // TODO - we should be able to replace curves more easily than having to pick out all the
        // market data into a new rates provider.

        return ImmutableRatesProvider.builder().valuationDate(marketData.getValuationDate())
                .discountCurves(ImmutableMap.of(currency, curveOverride))
                .indexCurves(indices.stream().collect(toImmutableMap(Function.identity(), k -> curveOverride)))
                .timeSeries(indices.stream().collect(
                        toImmutableMap(Function.identity(), k -> marketData.getTimeSeries(IndexRateKey.of(k)))))
                .build();
    }

}