Package com.opengamma.strata.measure.bond

Interface LegalEntityDiscountingMarketDataLookup

All Superinterfaces:

CalculationParameter

public interface LegalEntityDiscountingMarketDataLookup
extends CalculationParameter

The lookup that provides access to legal entity discounting in market data.

The legal entity discounting market lookup provides access to repo and issuer curves.

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 Summary

Modifier and Type	Method	Description
LegalEntityDiscountingProvider	discountingProvider(MarketData marketData)	Obtains a discounting provider based on the specified market data.
default LegalEntityDiscountingMarketData	marketDataView(MarketData marketData)	Obtains a filtered view of the complete set of market data.
default LegalEntityDiscountingScenarioMarketData	marketDataView(ScenarioMarketData marketData)	Obtains a filtered view of the complete set of market data.
static LegalEntityDiscountingMarketDataLookup	of(LegalEntityCurveGroup curveGroup, Map<LegalEntityId,RepoGroup> repoCurveGroups)	Obtains an instance based on a curve group and group map.
static LegalEntityDiscountingMarketDataLookup	of(LegalEntityCurveGroup curveGroup, Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups)	Obtains an instance based on a curve group and group maps.
static LegalEntityDiscountingMarketDataLookup	of(LegalEntityCurveGroup curveGroup, Map<SecurityId,RepoGroup> repoCurveSecurityGroups, Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups)	Obtains an instance based on a curve group and group maps.
static LegalEntityDiscountingMarketDataLookup	of(Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds)	Obtains an instance based on maps for repo curves.
static LegalEntityDiscountingMarketDataLookup	of(Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds, ObservableSource obsSource)	Obtains an instance based on maps for repo curves.
static LegalEntityDiscountingMarketDataLookup	of(Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds)	Obtains an instance based on a maps for repo and issuer curves.
static LegalEntityDiscountingMarketDataLookup	of(Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds, ObservableSource obsSource)	Obtains an instance based on a maps for repo and issuer curves.
static LegalEntityDiscountingMarketDataLookup	of(Map<SecurityId,RepoGroup> repoCurveSecurityGroups, Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds)	Obtains an instance based on a maps for repo and issuer curves.
static LegalEntityDiscountingMarketDataLookup	of(Map<SecurityId,RepoGroup> repoCurveSecurityGroups, Map<LegalEntityId,RepoGroup> repoCurveGroups, Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds, Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups, Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds, ObservableSource obsSource)	Obtains an instance based on a maps for repo and issuer curves.
default Class<? extends CalculationParameter>	queryType()	Gets the type that the lookup will be queried by.
FunctionRequirements	requirements(LegalEntityId issuerId, Currency currency)	Creates market data requirements for the specified issuer.
FunctionRequirements	requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency)	Creates market data requirements for the specified security and issuer.

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

filter

Method Detail

of

static LegalEntityDiscountingMarketDataLookup of(Map<SecurityId,RepoGroup> repoCurveSecurityGroups,
                                                 Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups,
                                                 Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds)

Obtains an instance based on a maps for repo and issuer curves.

Both the repo and issuer curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Parameters:

repoCurveSecurityGroups - the per security repo curve groups overrides, mapping security ID to group

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

issuerCurveIds - the issuer curves identifiers, keyed by issuer ID and currency

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(Map<SecurityId,RepoGroup> repoCurveSecurityGroups,
                                                 Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups,
                                                 Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds,
                                                 ObservableSource obsSource)

Obtains an instance based on a maps for repo and issuer curves.

Both the repo and issuer curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Parameters:

repoCurveSecurityGroups - the per security repo curve groups overrides, mapping security ID to group

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

issuerCurveIds - the issuer curves identifiers, keyed by issuer ID and currency

obsSource - the source of market data for quotes and other observable market data

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups,
                                                 Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds)

Obtains an instance based on a maps for repo and issuer curves.

Both the repo and issuer curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Parameters:

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

issuerCurveIds - the issuer curves identifiers, keyed by issuer ID and currency

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups,
                                                 Map<Pair<LegalEntityGroup,Currency>,CurveId> issuerCurveIds,
                                                 ObservableSource obsSource)

Obtains an instance based on a maps for repo and issuer curves.

Both the repo and issuer curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Parameters:

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

issuerCurveIds - the issuer curves identifiers, keyed by issuer ID and currency

obsSource - the source of market data for quotes and other observable market data

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(LegalEntityCurveGroup curveGroup,
                                                 Map<SecurityId,RepoGroup> repoCurveSecurityGroups,
                                                 Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups)

Obtains an instance based on a curve group and group maps.

The two maps define mapping from the issuer ID to a group.

Parameters:

curveGroup - the curve group to base the lookup on

repoCurveSecurityGroups - the per security repo curve groups overrides, mapping security ID to group

repoCurveGroups - the repo curve groups, mapping issuer ID to group

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(LegalEntityCurveGroup curveGroup,
                                                 Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<LegalEntityId,LegalEntityGroup> issuerCurveGroups)

Obtains an instance based on a curve group and group maps.

The two maps define mapping from the issuer ID to a group.

Parameters:

curveGroup - the curve group to base the lookup on

repoCurveGroups - the repo curve groups, mapping issuer ID to group

issuerCurveGroups - the issuer curve groups, mapping issuer ID to group

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds)

Obtains an instance based on maps for repo curves.

The repo curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Issuer curves are not defined in the instance.

Parameters:

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers, keyed by repo group and currency

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(Map<LegalEntityId,RepoGroup> repoCurveGroups,
                                                 Map<Pair<RepoGroup,Currency>,CurveId> repoCurveIds,
                                                 ObservableSource obsSource)

Obtains an instance based on maps for repo curves.

The repo curves are defined in two parts. The first part maps the issuer ID to a group, and the second part maps the group and currency to the identifier of the curve.

Issuer curves are not defined in the instance.

Parameters:

repoCurveGroups - the repo curve groups, mapping issuer ID to group

repoCurveIds - the repo curve identifiers, keyed by repo group and currency

obsSource - the source of market data for quotes and other observable market data

Returns:

the rates lookup containing the specified curves

of

static LegalEntityDiscountingMarketDataLookup of(LegalEntityCurveGroup curveGroup,
                                                 Map<LegalEntityId,RepoGroup> repoCurveGroups)

Obtains an instance based on a curve group and group map.

The two maps define mapping from the issuer ID to a group.

Issuer curves are not defined in the instance.

Parameters:

curveGroup - the curve group to base the lookup on

repoCurveGroups - the repo curve groups, mapping issuer ID to group

Returns:

the rates lookup containing the specified curves

queryType

default Class<? extends CalculationParameter> queryType()

Gets the type that the lookup will be queried by.

This returns LegalEntityDiscountingMarketDataLookup.class. When querying parameters using CalculationParameters.findParameter(Class), LegalEntityDiscountingMarketDataLookup.class must be passed in to find the instance.

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

requirements

FunctionRequirements requirements(SecurityId securityId,
                                  LegalEntityId issuerId,
                                  Currency currency)

Creates market data requirements for the specified security and issuer.

Parameters:

securityId - the security ID

issuerId - the legal entity issuer ID

currency - the currency of the security

Returns:

the requirements

Throws:

IllegalArgumentException - if unable to create requirements

requirements

FunctionRequirements requirements(LegalEntityId issuerId,
                                  Currency currency)

Creates market data requirements for the specified issuer.

Parameters:

issuerId - the legal entity issuer ID

currency - the currency of the security

Returns:

the requirements

Throws:

IllegalArgumentException - if unable to create requirements

marketDataView

default LegalEntityDiscountingScenarioMarketData 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 LegalEntityDiscountingMarketData 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

discountingProvider

LegalEntityDiscountingProvider discountingProvider(MarketData marketData)

Obtains a discounting provider based on the specified market data.

This provides a LegalEntityDiscountingProvider suitable for pricing a product. Although this method can be used directly, it is typically invoked indirectly via LegalEntityDiscountingMarketData:

  // bind the baseData to this lookup
  LegalEntityDiscountingMarketData view = lookup.marketView(baseData);
  
  // pass around RatesMarketData within the function to use in pricing
  LegalEntityDiscountingProvider provider = view.discountingProvider();
 

Parameters:

marketData - the complete set of market data for one scenario

Returns:

the discounting provider