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.rate; import static com.opengamma.strata.collect.Guavate.toImmutableSet; import java.io.Serializable; import java.util.Map; import java.util.Set; import org.joda.beans.BeanDefinition; import org.joda.beans.ImmutableBean; 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.currency.Currency; import com.opengamma.strata.basics.currency.FxRateProvider; 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.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. * <p> * This provides access to discount curves and forward 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 DefaultRatesMarketDataLookup implements RatesMarketDataLookup, ImmutableBean, Serializable { /** * The discount curves in the group, keyed by currency. */ @PropertyDefinition(validate = "notNull") private final ImmutableMap<Currency, CurveId> discountCurves; /** * The forward curves in the group, keyed by index. */ @PropertyDefinition(validate = "notNull", builderType = "Map<? extends Index, CurveId>") private final ImmutableMap<Index, CurveId> forwardCurves; /** * The source of market data for quotes and other observable market data. */ @PropertyDefinition(validate = "notNull") private final ObservableSource observableSource; /** * The lookup used to obtain {@code FxRateProvider}. */ @PropertyDefinition(validate = "notNull") private final FxRateLookup fxLookup; //------------------------------------------------------------------------- /** * Obtains an instance based on a map of discount and forward curve identifiers. * <p> * 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<Currency, CurveId> discountCurveIds, Map<? extends Index, CurveId> forwardCurveIds, ObservableSource obsSource, FxRateLookup fxLookup) { return new DefaultRatesMarketDataLookup(discountCurveIds, forwardCurveIds, obsSource, fxLookup); } //------------------------------------------------------------------------- @Override public ImmutableSet<Currency> getDiscountCurrencies() { return discountCurves.keySet(); } @Override public ImmutableSet<MarketDataId<?>> getDiscountMarketDataIds(Currency currency) { CurveId id = discountCurves.get(currency); if (id == null) { throw new IllegalArgumentException(msgCurrencyNotFound(currency)); } return ImmutableSet.of(id); } @Override public ImmutableSet<Index> getForwardIndices() { return forwardCurves.keySet(); } @Override public ImmutableSet<MarketDataId<?>> 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<Currency> currencies, Set<? extends Index> indices) { for (Currency currency : currencies) { if (!discountCurves.keySet().contains(currency)) { throw new IllegalArgumentException(msgCurrencyNotFound(currency)); } } for (Index index : indices) { if (!forwardCurves.keySet().contains(index)) { throw new IllegalArgumentException(msgIndexNotFound(index)); } } // keys for time-series Set<ObservableId> indexQuoteIds = indices.stream().map(IndexQuoteId::of).collect(toImmutableSet()); // keys for forward curves Set<MarketDataId<?>> indexCurveIds = indices.stream().map(idx -> forwardCurves.get(idx)) .collect(toImmutableSet()); // keys for discount factors Set<MarketDataId<?>> 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(); } //------------------------------------------------------------------------- @Override public RatesProvider ratesProvider(MarketData marketData) { return DefaultLookupRatesProvider.of(this, marketData); } @Override public FxRateProvider fxRateProvider(MarketData marketData) { return fxLookup.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); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code DefaultRatesMarketDataLookup}. */ private static MetaBean META_BEAN = LightMetaBean.of(DefaultRatesMarketDataLookup.class); /** * The meta-bean for {@code DefaultRatesMarketDataLookup}. * @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 DefaultRatesMarketDataLookup(Map<Currency, CurveId> discountCurves, Map<? extends Index, CurveId> forwardCurves, ObservableSource observableSource, FxRateLookup fxLookup) { JodaBeanUtils.notNull(discountCurves, "discountCurves"); JodaBeanUtils.notNull(forwardCurves, "forwardCurves"); JodaBeanUtils.notNull(observableSource, "observableSource"); JodaBeanUtils.notNull(fxLookup, "fxLookup"); this.discountCurves = ImmutableMap.copyOf(discountCurves); this.forwardCurves = ImmutableMap.copyOf(forwardCurves); this.observableSource = observableSource; this.fxLookup = fxLookup; } @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 discount curves in the group, keyed by currency. * @return the value of the property, not null */ public ImmutableMap<Currency, CurveId> getDiscountCurves() { return discountCurves; } //----------------------------------------------------------------------- /** * Gets the forward curves in the group, keyed by index. * @return the value of the property, not null */ public ImmutableMap<Index, CurveId> getForwardCurves() { return forwardCurves; } //----------------------------------------------------------------------- /** * 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; } //----------------------------------------------------------------------- /** * Gets the lookup used to obtain {@code FxRateProvider}. * @return the value of the property, not null */ public FxRateLookup getFxLookup() { return fxLookup; } //----------------------------------------------------------------------- @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(fxLookup, other.fxLookup); } 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(fxLookup); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(160); buf.append("DefaultRatesMarketDataLookup{"); buf.append("discountCurves").append('=').append(discountCurves).append(',').append(' '); buf.append("forwardCurves").append('=').append(forwardCurves).append(',').append(' '); buf.append("observableSource").append('=').append(observableSource).append(',').append(' '); buf.append("fxLookup").append('=').append(JodaBeanUtils.toString(fxLookup)); buf.append('}'); return buf.toString(); } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }