com.opengamma.strata.measure.bond

Interface BondFutureOptionMarketDataLookup

All Superinterfaces:

CalculationParameter

public interface BondFutureOptionMarketDataLookup
extends CalculationParameter

The lookup that provides access to bond future volatilities in market data.

The bond future option market lookup provides access to the volatilities used to price bond future options.

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 and Description
ImmutableSet<MarketDataId<?>>	getVolatilityIds(SecurityId securityId) Gets the identifiers used to obtain the volatilities for the specified security ID.
ImmutableSet<SecurityId>	getVolatilitySecurityIds() Gets the set of security IDs that volatilities are provided for.
default BondFutureOptionMarketData	marketDataView(MarketData marketData) Obtains a filtered view of the complete set of market data.
default BondFutureOptionScenarioMarketData	marketDataView(ScenarioMarketData marketData) Obtains a filtered view of the complete set of market data.
static BondFutureOptionMarketDataLookup	of(Map<SecurityId,BondFutureVolatilitiesId> volatilityIds) Obtains an instance based on a map of volatility identifiers.
static BondFutureOptionMarketDataLookup	of(SecurityId securityId, BondFutureVolatilitiesId volatilityId) Obtains an instance based on a single mapping from security ID to volatility identifier.
default Class<? extends CalculationParameter>	queryType() Gets the type that the lookup will be queried by.
default FunctionRequirements	requirements(SecurityId... securityIds) Creates market data requirements for the specified security IDs.
FunctionRequirements	requirements(Set<SecurityId> securityIds) Creates market data requirements for the specified security IDs.
BondFutureVolatilities	volatilities(SecurityId securityId, MarketData marketData) Obtains bond future volatilities based on the specified market data.

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

filter

Method Detail

of

static BondFutureOptionMarketDataLookup of(SecurityId securityId,
                                           BondFutureVolatilitiesId volatilityId)

Obtains an instance based on a single mapping from security ID to volatility identifier.

The lookup provides volatilities for the specified security ID.

Parameters:

securityId - the security ID

volatilityId - the volatility identifier

Returns:

the bond future options lookup containing the specified mapping

of

static BondFutureOptionMarketDataLookup of(Map<SecurityId,BondFutureVolatilitiesId> volatilityIds)

Obtains an instance based on a map of volatility identifiers.

The map is used to specify the appropriate volatilities to use for each security ID.

Parameters:

volatilityIds - the volatility identifiers, keyed by security ID

Returns:

the bond future options lookup containing the specified volatilities

queryType

default Class<? extends CalculationParameter> queryType()

Gets the type that the lookup will be queried by.

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

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

getVolatilitySecurityIds

ImmutableSet<SecurityId> getVolatilitySecurityIds()

Gets the set of security IDs that volatilities are provided for.

Returns:

the set of security IDs

getVolatilityIds

ImmutableSet<MarketDataId<?>> getVolatilityIds(SecurityId securityId)

Gets the identifiers used to obtain the volatilities for the specified security ID.

The result will typically refer to a surface or cube. If the security ID is not found, an exception is thrown.

Parameters:

securityId - the security ID for which identifiers are required

Returns:

the set of market data identifiers

Throws:

IllegalArgumentException - if the security ID is not found

requirements

default FunctionRequirements requirements(SecurityId... securityIds)

Creates market data requirements for the specified security IDs.

Parameters:

securityIds - the security IDs, for which volatilities are required

Returns:

the requirements

requirements

FunctionRequirements requirements(Set<SecurityId> securityIds)

Creates market data requirements for the specified security IDs.

Parameters:

securityIds - the security IDs, for which volatilities are required

Returns:

the requirements

marketDataView

default BondFutureOptionScenarioMarketData 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 BondFutureOptionMarketData 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

BondFutureVolatilities volatilities(SecurityId securityId,
                                    MarketData marketData)

Obtains bond future volatilities based on the specified market data.

This provides BondFutureVolatilities suitable for pricing bond future options. Although this method can be used directly, it is typically invoked indirectly via BondFutureOptionMarketData:

  // bind the baseData to this lookup
  BondFutureOptionMarketData view = lookup.marketDataView(baseData);
  
  // pas around BondFutureOptionMarketData within the function to use in pricing
  BondFutureVolatilities vols = view.volatilities(securityId);
 

Parameters:

securityId - the security ID

marketData - the complete set of market data for one scenario

Returns:

the volatilities

Throws:

MarketDataNotFoundException - if the security ID is not found