Interface SwaptionMarketDataLookup

  • All Superinterfaces:
    CalculationParameter

    public interface SwaptionMarketDataLookup
    extends CalculationParameter
    The lookup that provides access to swaption volatilities in market data.

    The swaption market lookup provides access to the volatilities used to price swaptions.

    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 SwaptionMarketDataLookup of​(IborIndex index,
                                           SwaptionVolatilitiesId volatilityId)
        Obtains an instance based on a single mapping from index to volatility identifier.

        The lookup provides volatilities for the specified index.

        Parameters:
        index - the Ibor index
        volatilityId - the volatility identifier
        Returns:
        the swaption lookup containing the specified mapping
      • of

        static SwaptionMarketDataLookup of​(java.util.Map<IborIndex,​SwaptionVolatilitiesId> volatilityIds)
        Obtains an instance based on a map of volatility identifiers.

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

        Parameters:
        volatilityIds - the volatility identifiers, keyed by index
        Returns:
        the swaption lookup containing the specified volatilities
      • getVolatilityIndices

        com.google.common.collect.ImmutableSet<IborIndex> getVolatilityIndices()
        Gets the set of indices that volatilities are provided for.
        Returns:
        the set of indices
      • getVolatilityIds

        com.google.common.collect.ImmutableSet<MarketDataId<?>> getVolatilityIds​(IborIndex index)
        Gets the identifiers used to obtain the volatilities for the specified currency.

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

        Parameters:
        index - the index for which identifiers are required
        Returns:
        the set of market data identifiers
        Throws:
        java.lang.IllegalArgumentException - if the index is not found
      • requirements

        default FunctionRequirements requirements​(IborIndex... indices)
        Creates market data requirements for the specified indices.
        Parameters:
        indices - the indices, for which volatilities are required
        Returns:
        the requirements
      • requirements

        FunctionRequirements requirements​(java.util.Set<IborIndex> indices)
        Creates market data requirements for the specified indices.
        Parameters:
        indices - the indices, for which volatilities are required
        Returns:
        the requirements
      • marketDataView

        default SwaptionScenarioMarketData 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 SwaptionMarketData 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

        SwaptionVolatilities volatilities​(IborIndex index,
                                          MarketData marketData)
        Obtains swaption volatilities based on the specified market data.

        This provides SwaptionVolatilities suitable for pricing a swaption. Although this method can be used directly, it is typically invoked indirectly via SwaptionMarketData:

          // bind the baseData to this lookup
          SwaptionMarketData view = lookup.marketDataView(baseData);
          
          // pass around SwaptionMarketData within the function to use in pricing
          SwaptionVolatilities vols = view.volatilities(index);
         
        Parameters:
        index - the Ibor index
        marketData - the complete set of market data for one scenario
        Returns:
        the volatilities
        Throws:
        MarketDataNotFoundException - if the index is not found