Package com.opengamma.strata.measure.rate

Class RatesCurveGroupMarketDataFunction

java.lang.Object

com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

All Implemented Interfaces:

MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

public class RatesCurveGroupMarketDataFunction
extends Object
implements MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

Market data function that builds a curve group.

This function calibrates curves, turning a RatesCurveGroupDefinition into a RatesCurveGroup.

Constructor Summary

Constructors

Constructor	Description
RatesCurveGroupMarketDataFunction()	Creates a new function for building curve groups using the standard measures.
RatesCurveGroupMarketDataFunction(CalibrationMeasures calibrationMeasures)	Creates a new function for building curve groups.

Method Summary

Modifier and Type	Method	Description
MarketDataBox<RatesCurveGroup>	build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)	Builds and returns the market data identified by the ID.
Class<RatesCurveGroupId>	getMarketDataIdType()	Returns the type of market data ID this function can handle.
MarketDataRequirements	requirements(RatesCurveGroupId id, MarketDataConfig marketDataConfig)	Returns requirements representing the data needed to build the item of market data identified by the ID.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

RatesCurveGroupMarketDataFunction

public RatesCurveGroupMarketDataFunction()

Creates a new function for building curve groups using the standard measures.

This will use the standard par spread measures for calibration. The MarketDataConfig may contain a RootFinderConfig to define the tolerances.

RatesCurveGroupMarketDataFunction

public RatesCurveGroupMarketDataFunction(CalibrationMeasures calibrationMeasures)

Creates a new function for building curve groups.

The default calibrator is specified. The MarketDataConfig may contain a RootFinderConfig that alters the tolerances used in calibration.

Parameters:

calibrationMeasures - the calibration measures to be used in the calibrator

Method Detail

requirements

public MarketDataRequirements requirements(RatesCurveGroupId id,
                                           MarketDataConfig marketDataConfig)

Description copied from interface: MarketDataFunction

Returns requirements representing the data needed to build the item of market data identified by the ID.

Specified by:

requirements in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

Parameters:

id - an ID identifying an item of market data

marketDataConfig - configuration specifying how market data values should be built

Returns:

requirements representing the data needed to build the item of market data identified by the ID

build

public MarketDataBox<RatesCurveGroup> build(RatesCurveGroupId id,
                                            MarketDataConfig marketDataConfig,
                                            ScenarioMarketData marketData,
                                            ReferenceData refData)

Description copied from interface: MarketDataFunction

Builds and returns the market data identified by the ID.

If the data cannot be built the result contains details of the problem.

Specified by:

build in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

Parameters:

id - ID of the market data that should be built

marketDataConfig - configuration specifying how the market data should be built

marketData - a set of market data including any data required to build the requested data

refData - the reference data

Returns:

built market data, or details of the problems that prevented building

getMarketDataIdType

public Class<RatesCurveGroupId> getMarketDataIdType()

Description copied from interface: MarketDataFunction

Returns the type of market data ID this function can handle.

Specified by:

getMarketDataIdType in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

Returns:

the type of market data ID this function can handle