Package com.opengamma.strata.calc.runner

Interface FxRateLookup

All Superinterfaces:

CalculationParameter

All Known Subinterfaces:

RatesMarketDataLookup

public interface FxRateLookup
extends CalculationParameter

The lookup that provides access to FX rates in market data.

An instance of MarketData can contain many different FX rates. This lookup allows a specific set of rates to be obtained.

Implementations of this interface must be immutable.

Method Summary

Modifier and Type	Method	Description
FxRateProvider	fxRateProvider(MarketData marketData)	Obtains an FX rate provider based on the specified market data.
static FxRateLookup	ofMatrix()	Obtains an instance that uses an FX matrix.
static FxRateLookup	ofMatrix(FxMatrixId matrixId)	Obtains an instance that uses an FX matrix.
static FxRateLookup	ofRates()	Obtains the standard instance.
static FxRateLookup	ofRates(Currency triangulationCurrency)	Obtains an instance that uses triangulation on the specified currency.
static FxRateLookup	ofRates(Currency triangulationCurrency, ObservableSource observableSource)	Obtains an instance that uses triangulation on the specified currency.
static FxRateLookup	ofRates(ObservableSource observableSource)	Obtains the standard instance.
default Class<? extends CalculationParameter>	queryType()	Gets the type that the parameter will be queried by.

Methods inherited from interface com.opengamma.strata.calc.runner.CalculationParameter

filter

Method Detail

ofRates

static FxRateLookup ofRates()

Obtains the standard instance.

This expects the market data to contain instances of FxRateId based on the default ObservableSource. Triangulation will use the default of the currency, typically USD.

Returns:

the FX rate lookup

ofRates

static FxRateLookup ofRates(ObservableSource observableSource)

Obtains the standard instance.

This expects the market data to contain instances of FxRateId based on the specified ObservableSource. Triangulation will use the default of the currency, typically USD.

Parameters:

observableSource - the source of observable market data

Returns:

the FX rate lookup

ofRates

static FxRateLookup ofRates(Currency triangulationCurrency)

Obtains an instance that uses triangulation on the specified currency.

This expects the market data to contain instances of FxRateId based on the default ObservableSource. Triangulation will use the specified currency.

Parameters:

triangulationCurrency - the triangulation currency

Returns:

the FX rate lookup

ofRates

static FxRateLookup ofRates(Currency triangulationCurrency,
                            ObservableSource observableSource)

Obtains an instance that uses triangulation on the specified currency.

This expects the market data to contain instances of FxRateId based on the specified ObservableSource. Triangulation will use the specified currency.

Parameters:

triangulationCurrency - the triangulation currency

observableSource - the source of observable market data

Returns:

the FX rate lookup

ofMatrix

static FxRateLookup ofMatrix()

Obtains an instance that uses an FX matrix.

This expects the market data to contain an instance of FxMatrix accessed by the standard FxMatrixId.

Returns:

the FX rate lookup

ofMatrix

static FxRateLookup ofMatrix(FxMatrixId matrixId)

Obtains an instance that uses an FX matrix.

This expects the market data to contain an instance of FxMatrix accessed by the specified FxMatrixId.

Parameters:

matrixId - the FX matrix identifier

Returns:

the FX rate lookup

queryType

default Class<? extends CalculationParameter> queryType()

Description copied from interface: CalculationParameter

Gets the type that the parameter will be queried by.

Parameters can be queried using CalculationParameters.findParameter(Class). This type is the key that callers must use in that method.

By default, this is just Object.getClass(). It will only differ if the query type is an interface rather than the concrete class.

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

fxRateProvider

FxRateProvider fxRateProvider(MarketData marketData)

Obtains an FX rate provider based on the specified market data.

This provides an FxRateProvider suitable for obtaining FX rates.

Parameters:

marketData - the complete set of market data for one scenario

Returns:

the FX rate provider