Package com.opengamma.strata.measure.fxopt

Interface FxOptionMarketDataLookup

  • All Superinterfaces:
    CalculationParameter
    public interface FxOptionMarketDataLookup
extends CalculationParameter
    The lookup that provides access to FX options volatilities in market data.

    The FX options market lookup provides access to the volatilities used to price FX options.

    The lookup implements CalculationParameter and is used by passing it as an argument to CalculationRules. It provides the link between the data that the function needs and the data that is available in ScenarioMarketData.

    Implementations of this interface must be immutable.

    • Method Detail

      • of

        static FxOptionMarketDataLookup of​(CurrencyPair currencyPair,
                                   FxOptionVolatilitiesId volatilityId)
        Obtains an instance based on a single mapping from currency pair to volatility identifier.

        The lookup provides volatilities for the specified currency pair.

        Parameters:
        currencyPair - the currency pair
        volatilityId - the volatility identifier
        Returns:
        the FX options lookup containing the specified mapping

      • of

        static FxOptionMarketDataLookup of​(Map<CurrencyPair,​FxOptionVolatilitiesId> volatilityIds)
        Obtains an instance based on a map of volatility identifiers.

        The map is used to specify the appropriate volatilities to use for each currency pair.

        Parameters:
        volatilityIds - the volatility identifiers, keyed by currency pair
        Returns:
        the FX options lookup containing the specified volatilities

      • getVolatilityCurrencyPairs

        ImmutableSet<CurrencyPair> getVolatilityCurrencyPairs()
        Gets the set of currency pairs that volatilities are provided for.
        Returns:
        the set of currency pairs

      • getVolatilityIds

        ImmutableSet<MarketDataId<?>> getVolatilityIds​(CurrencyPair currencyPair)
        Gets the identifiers used to obtain the volatilities for the specified currency pair.

        The result will typically refer to a surface or cube. If the currency pair is not found, an exception is thrown.

        Parameters:
        currencyPair - the currency pair for which identifiers are required
        Returns:
        the set of market data identifiers
        Throws:
        IllegalArgumentException - if the currency pair is not found

      • requirements

        default FunctionRequirements requirements​(CurrencyPair... currencyPairs)
        Creates market data requirements for the specified currency pairs.
        Parameters:
        currencyPairs - the currency pairs, for which volatilities are required
        Returns:
        the requirements

      • requirements

        FunctionRequirements requirements​(Set<CurrencyPair> currencyPairs)
        Creates market data requirements for the specified currency pairs.
        Parameters:
        currencyPairs - the currency pairs, for which volatilities are required
        Returns:
        the requirements

      • marketDataView

        default FxOptionScenarioMarketData marketDataView​(ScenarioMarketData marketData)
        Obtains a filtered view of the complete set of market data.

        This method returns an instance that binds the lookup to the market data. The input is ScenarioMarketData, which contains market data for all scenarios.

        Parameters:
        marketData - the complete set of market data for all scenarios
        Returns:
        the filtered market data

      • marketDataView

        default FxOptionMarketData marketDataView​(MarketData marketData)
        Obtains a filtered view of the complete set of market data.

        This method returns an instance that binds the lookup to the market data. The input is MarketData, which contains market data for one scenario.

        Parameters:
        marketData - the complete set of market data for one scenario
        Returns:
        the filtered market data

      • volatilities

        FxOptionVolatilities volatilities​(CurrencyPair currencyPair,
                                  MarketData marketData)
        Obtains FX options volatilities based on the specified market data.

        This provides FxOptionVolatilities suitable for pricing FX options. Although this method can be used directly, it is typically invoked indirectly via FxOptionMarketData: 

          // bind the baseData to this lookup
  FxOptionMarketData view = lookup.marketDataView(baseData);
  
  // pas around FxOptionMarketData within the function to use in pricing
  FxOptionVolatilities vols = view.volatilities(currencyPair);
        Parameters:
        currencyPair - the currency pair
        marketData - the complete set of market data for one scenario
        Returns:
        the volatilities
        Throws:
        MarketDataNotFoundException - if the currency pair is not found