Java tutorial
/** * 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 static com.opengamma.strata.collect.Guavate.toImmutableSet; import java.io.Serializable; import java.util.HashSet; import java.util.Map; import java.util.Set; import org.joda.beans.BeanDefinition; import org.joda.beans.ImmutableBean; import org.joda.beans.ImmutableValidator; import org.joda.beans.JodaBeanUtils; import org.joda.beans.MetaBean; import org.joda.beans.Property; import org.joda.beans.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.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.ObservableSource; import com.opengamma.strata.data.scenario.ScenarioMarketData; import com.opengamma.strata.market.curve.CurveId; import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider; import com.opengamma.strata.pricer.bond.LegalEntityGroup; import com.opengamma.strata.pricer.bond.RepoGroup; import com.opengamma.strata.product.SecurityId; /** * The legal entity discounting lookup, used to select curves for pricing. * <p> * This provides access to repo and issuer curves. * <p> * 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 DefaultLegalEntityDiscountingMarketDataLookup implements LegalEntityDiscountingMarketDataLookup, ImmutableBean, Serializable { /** * The groups used to find a repo curve. * <p> * This maps either the security ID or the legal entity ID to a group. * The group is used to find the curve in {@code repoCurves}. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap<StandardId, RepoGroup> repoCurveGroups; /** * The repo curves, keyed by group and currency. * The curve data, predicting the future, associated with each repo group and currency. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap<Pair<RepoGroup, Currency>, CurveId> repoCurves; /** * The groups used to find an issuer curve. * <p> * This maps the legal entity ID to a group. * The group is used to find the curve in {@code issuerCurves}. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap<StandardId, LegalEntityGroup> issuerCurveGroups; /** * The issuer curves, keyed by group and currency. * The curve data, predicting the future, associated with each legal entity group and currency. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurves; /** * The source of market data for quotes and other observable market data. */ @PropertyDefinition(validate = "notNull") private final ObservableSource observableSource; //------------------------------------------------------------------------- /** * Obtains an instance based on a maps for repo and issuer curves. * <p> * 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 security or issuer ID to group * @param repoCurveIds the repo curve identifiers, keyed by security ID or issuer ID and currency * @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 DefaultLegalEntityDiscountingMarketDataLookup of(Map<StandardId, RepoGroup> repoCurveGroups, Map<Pair<RepoGroup, Currency>, CurveId> repoCurveIds, Map<StandardId, LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurveIds, ObservableSource obsSource) { return new DefaultLegalEntityDiscountingMarketDataLookup(repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource); } @ImmutableValidator private void validate() { Set<RepoGroup> uniqueRepoGroups = new HashSet<>(repoCurveGroups.values()); Set<RepoGroup> uniqueRepoCurves = repoCurves.keySet().stream().map(p -> p.getFirst()) .collect(toImmutableSet()); if (!uniqueRepoCurves.containsAll(uniqueRepoGroups)) { throw new IllegalArgumentException("Repo curve groups defined without matching curve mappings: " + Sets.difference(uniqueRepoGroups, uniqueRepoCurves)); } Set<LegalEntityGroup> uniqueIssuerGroups = new HashSet<>(issuerCurveGroups.values()); Set<LegalEntityGroup> uniqueIssuerCurves = issuerCurves.keySet().stream().map(p -> p.getFirst()) .collect(toImmutableSet()); if (!uniqueIssuerCurves.containsAll(uniqueIssuerGroups)) { throw new IllegalArgumentException("Issuer curve groups defined without matching curve mappings: " + Sets.difference(uniqueIssuerGroups, uniqueIssuerCurves)); } } //------------------------------------------------------------------------- @Override public FunctionRequirements requirements(SecurityId securityId, StandardId issuerId, Currency currency) { // repo RepoGroup repoKey = repoCurveGroups.get(securityId.getStandardId()); if (repoKey == null) { repoKey = repoCurveGroups.get(issuerId); } if (repoKey == null) { throw new IllegalArgumentException( Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId)); } CurveId repoCurveId = repoCurves.get(Pair.of(repoKey, currency)); if (repoCurveId == null) { throw new IllegalArgumentException( Messages.format("Legal entity discounting lookup has no repo curve defined for '{}' and '{}'", securityId, issuerId)); } // issuer LegalEntityGroup issuerKey = issuerCurveGroups.get(issuerId); if (issuerKey == null) { throw new IllegalArgumentException(Messages .format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId)); } CurveId issuerCurveId = issuerCurves.get(Pair.of(issuerKey, currency)); if (issuerCurveId == null) { throw new IllegalArgumentException(Messages .format("Legal entity discounting lookup has no issuer curve defined for '{}'", issuerId)); } // result return FunctionRequirements.builder().valueRequirements(ImmutableSet.of(repoCurveId, issuerCurveId)) .outputCurrencies(currency).observableSource(observableSource).build(); } //------------------------------------------------------------------------- @Override public LegalEntityDiscountingProvider discountingProvider(MarketData marketData) { return DefaultLookupLegalEntityDiscountingProvider.of(this, marketData); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code DefaultLegalEntityDiscountingMarketDataLookup}. */ private static MetaBean META_BEAN = LightMetaBean.of(DefaultLegalEntityDiscountingMarketDataLookup.class); /** * The meta-bean for {@code DefaultLegalEntityDiscountingMarketDataLookup}. * @return the meta-bean, not null */ public static MetaBean meta() { return META_BEAN; } static { JodaBeanUtils.registerMetaBean(META_BEAN); } /** * The serialization version id. */ private static final long serialVersionUID = 1L; private DefaultLegalEntityDiscountingMarketDataLookup(Map<StandardId, RepoGroup> repoCurveGroups, Map<Pair<RepoGroup, Currency>, CurveId> repoCurves, Map<StandardId, LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurves, ObservableSource observableSource) { JodaBeanUtils.notNull(repoCurveGroups, "repoCurveGroups"); JodaBeanUtils.notNull(repoCurves, "repoCurves"); JodaBeanUtils.notNull(issuerCurveGroups, "issuerCurveGroups"); JodaBeanUtils.notNull(issuerCurves, "issuerCurves"); JodaBeanUtils.notNull(observableSource, "observableSource"); this.repoCurveGroups = ImmutableMap.copyOf(repoCurveGroups); this.repoCurves = ImmutableMap.copyOf(repoCurves); this.issuerCurveGroups = ImmutableMap.copyOf(issuerCurveGroups); this.issuerCurves = ImmutableMap.copyOf(issuerCurves); this.observableSource = observableSource; validate(); } @Override public MetaBean metaBean() { return META_BEAN; } @Override public <R> Property<R> property(String propertyName) { return metaBean().<R>metaProperty(propertyName).createProperty(this); } @Override public Set<String> propertyNames() { return metaBean().metaPropertyMap().keySet(); } //----------------------------------------------------------------------- /** * Gets the groups used to find a repo curve. * <p> * This maps either the security ID or the legal entity ID to a group. * The group is used to find the curve in {@code repoCurves}. * @return the value of the property, not null */ public ImmutableMap<StandardId, RepoGroup> getRepoCurveGroups() { return repoCurveGroups; } //----------------------------------------------------------------------- /** * Gets the repo curves, keyed by group and currency. * The curve data, predicting the future, associated with each repo group and currency. * @return the value of the property, not null */ public ImmutableMap<Pair<RepoGroup, Currency>, CurveId> getRepoCurves() { return repoCurves; } //----------------------------------------------------------------------- /** * Gets the groups used to find an issuer curve. * <p> * This maps the legal entity ID to a group. * The group is used to find the curve in {@code issuerCurves}. * @return the value of the property, not null */ public ImmutableMap<StandardId, LegalEntityGroup> getIssuerCurveGroups() { return issuerCurveGroups; } //----------------------------------------------------------------------- /** * Gets the issuer curves, keyed by group and currency. * The curve data, predicting the future, associated with each legal entity group and currency. * @return the value of the property, not null */ public ImmutableMap<Pair<LegalEntityGroup, Currency>, CurveId> getIssuerCurves() { return issuerCurves; } //----------------------------------------------------------------------- /** * 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()) { DefaultLegalEntityDiscountingMarketDataLookup other = (DefaultLegalEntityDiscountingMarketDataLookup) obj; return JodaBeanUtils.equal(repoCurveGroups, other.repoCurveGroups) && JodaBeanUtils.equal(repoCurves, other.repoCurves) && JodaBeanUtils.equal(issuerCurveGroups, other.issuerCurveGroups) && JodaBeanUtils.equal(issuerCurves, other.issuerCurves) && JodaBeanUtils.equal(observableSource, other.observableSource); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveGroups); hash = hash * 31 + JodaBeanUtils.hashCode(repoCurves); hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurveGroups); hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurves); hash = hash * 31 + JodaBeanUtils.hashCode(observableSource); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(192); buf.append("DefaultLegalEntityDiscountingMarketDataLookup{"); buf.append("repoCurveGroups").append('=').append(repoCurveGroups).append(',').append(' '); buf.append("repoCurves").append('=').append(repoCurves).append(',').append(' '); buf.append("issuerCurveGroups").append('=').append(issuerCurveGroups).append(',').append(' '); buf.append("issuerCurves").append('=').append(issuerCurves).append(',').append(' '); buf.append("observableSource").append('=').append(JodaBeanUtils.toString(observableSource)); buf.append('}'); return buf.toString(); } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }