Package com.opengamma.strata.calc.runner

Interface CalculationFunction<T extends CalculationTarget>

Type Parameters:

T - the type of target handled by this function

All Known Implementing Classes:

BillTradeCalculationFunction, BondFutureOptionTradeCalculationFunction, BondFutureTradeCalculationFunction, BulletPaymentTradeCalculationFunction, CapitalIndexedBondTradeCalculationFunction, CdsIndexTradeCalculationFunction, CdsTradeCalculationFunction, CmsTradeCalculationFunction, DsfTradeCalculationFunction, FixedCouponBondTradeCalculationFunction, FraTradeCalculationFunction, FxNdfTradeCalculationFunction, FxSingleBarrierOptionTradeCalculationFunction, FxSingleTradeCalculationFunction, FxSwapTradeCalculationFunction, FxVanillaOptionTradeCalculationFunction, GenericSecurityPositionCalculationFunction, GenericSecurityTradeCalculationFunction, IborCapFloorTradeCalculationFunction, IborFutureOptionTradeCalculationFunction, IborFutureTradeCalculationFunction, OvernightFutureTradeCalculationFunction, SecurityPositionCalculationFunction, SecurityTradeCalculationFunction, SwaptionTradeCalculationFunction, SwapTradeCalculationFunction, TermDepositTradeCalculationFunction

public interface CalculationFunction<T extends CalculationTarget>

Primary interface for all calculation functions that calculate measures.

Implementations of this interface provide the ability to calculate one or more measures for a target (trade) using one or more sets of market data (scenarios). The methods of the function allow the CalculationRunner to correctly invoke the function:

• targetType() - the target type that the function applies to
• supportedMeasures() - the set of measures that can be calculated
• naturalCurrency(CalculationTarget, ReferenceData) - the "natural" currency of the target
• requirements(CalculationTarget, Set, CalculationParameters, ReferenceData) - the market data requirements for performing the calculation
• calculate(CalculationTarget, Set, CalculationParameters, ScenarioMarketData, ReferenceData) - perform the calculation

If any of the calculated values contain any currency amounts and implement ScenarioFxConvertible the calculation runner will automatically convert the amounts into the reporting currency.

Method Summary

Modifier and Type	Method	Description
Map<Measure,Result<?>>	calculate(T target, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData marketData, ReferenceData refData)	Calculates values of multiple measures for the target using multiple sets of market data.
default Optional<String>	identifier(T target)	Returns an identifier that should uniquely identify the specified target.
Currency	naturalCurrency(T target, ReferenceData refData)	Returns the "natural" currency for the specified target.
FunctionRequirements	requirements(T target, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)	Determines the market data required by this function to perform its calculations.
Set<Measure>	supportedMeasures()	Returns the set of measures that the function can calculate.
Class<T>	targetType()	Gets the target type that this function applies to.

Method Detail

targetType

Class<T> targetType()

Gets the target type that this function applies to.

The target type will typically be a concrete class.

Returns:

the target type

supportedMeasures

Set<Measure> supportedMeasures()

Returns the set of measures that the function can calculate.

Returns:

the read-only set of measures that the function can calculate

identifier

default Optional<String> identifier(T target)

Returns an identifier that should uniquely identify the specified target.

This identifier is used in error messages to identify the target. This should normally be overridden to provide a suitable identifier. For example, if the target is a trade, there will typically be a trade identifier available.

This method must not throw an exception.

Parameters:

target - the target of the calculation

Returns:

the identifier of the target, empty if no suitable identifier available

naturalCurrency

Currency naturalCurrency(T target,
                         ReferenceData refData)

Returns the "natural" currency for the specified target.

This is the currency to which currency amounts are converted if the "natural" reporting currency is requested using ReportingCurrency.NATURAL. Most targets have a "natural" currency, for example the currency of a FRA or the base currency of an FX forward.

It is required that all functions that return a currency-convertible measure must choose a "natural" currency for each trade. The choice must be consistent not random, given the same trade the same currency must be returned. This might involve picking, the first leg or base currency from a currency pair. An exception must only be thrown if the function handles no currency-convertible measures.

Parameters:

target - the target of the calculation

refData - the reference data to be used in the calculation

Returns:

the "natural" currency of the target

Throws:

IllegalStateException - if the function calculates no currency-convertible measures

requirements

FunctionRequirements requirements(T target,
                                  Set<Measure> measures,
                                  CalculationParameters parameters,
                                  ReferenceData refData)

Determines the market data required by this function to perform its calculations.

Any market data needed by the calculate method should be specified.

The set of measures may include measures that are not supported by this function.

Parameters:

target - the target of the calculation

measures - the set of measures to be calculated

parameters - the parameters that affect how the calculation is performed

refData - the reference data to be used in the calculation

Returns:

the requirements specifying the market data the function needs to perform calculations

calculate

Map<Measure,Result<?>> calculate(T target,
                                       Set<Measure> measures,
                                       CalculationParameters parameters,
                                       ScenarioMarketData marketData,
                                       ReferenceData refData)

Calculates values of multiple measures for the target using multiple sets of market data.

The set of measures must only contain measures that the function supports, as returned by supportedMeasures(). The market data must provide at least the set of data requested by requirements(CalculationTarget, Set, CalculationParameters, ReferenceData).

The result of this method will often be an instance of ScenarioArray, which handles the common case where there is one calculated value for each scenario. However, it is also possible for the function to calculate an aggregated result, such as the maximum or minimum value across all scenarios, in which case the result would not implement ScenarioArray.

Parameters:

target - the target of the calculation

measures - the set of measures to calculate

parameters - the parameters that affect how the calculation is performed

marketData - the multi-scenario market data to be used in the calculation

refData - the reference data to be used in the calculation

Returns:

the read-only map of calculated values, keyed by their measure