Package com.opengamma.strata.measure.capfloor

Interface IborCapFloorMarketDataLookup

  • All Superinterfaces:
    CalculationParameter
    public interface IborCapFloorMarketDataLookup
extends CalculationParameter
    The lookup that provides access to cap/floor volatilities in market data.

    The cap/floor market lookup provides access to the volatilities used to price cap/floors.

    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 IborCapFloorMarketDataLookup of​(IborIndex index,
                                       IborCapletFloorletVolatilitiesId 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 cap/floor lookup containing the specified mapping

      • of

        static IborCapFloorMarketDataLookup of​(Map<IborIndex,​IborCapletFloorletVolatilitiesId> 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 cap/floor lookup containing the specified volatilities

      • getVolatilityIndices

        ImmutableSet<IborIndex> getVolatilityIndices()
        Gets the set of indices that volatilities are provided for.
        Returns:
        the set of indices

      • getVolatilityIds

        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:
        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​(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 IborCapFloorScenarioMarketData 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 IborCapFloorMarketData 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

        IborCapletFloorletVolatilities volatilities​(IborIndex index,
                                            MarketData marketData)
        Obtains cap/floor volatilities based on the specified market data.

        This provides IborCapletFloorletVolatilities suitable for pricing a cap/floor. Although this method can be used directly, it is typically invoked indirectly via IborCapFloorMarketData: 

          // bind the baseData to this lookup
  IborCapFloorMarketData view = lookup.marketDataView(baseData);
  
  // pass around CapFloorMarketData within the function to use in pricing
  IborCapletFloorletVolatilities 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