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 Summary

Modifier and Type	Method and Description
ImmutableSet<MarketDataId<?>>	getVolatilityIds(IborIndex index) Gets the identifiers used to obtain the volatilities for the specified currency.
ImmutableSet<IborIndex>	getVolatilityIndices() Gets the set of indices that volatilities are provided for.
default IborCapFloorMarketData	marketDataView(MarketData marketData) Obtains a filtered view of the complete set of market data.
default IborCapFloorScenarioMarketData	marketDataView(ScenarioMarketData marketData) Obtains a filtered view of the complete set of market data.
static IborCapFloorMarketDataLookup	of(IborIndex index, IborCapletFloorletVolatilitiesId volatilityId) Obtains an instance based on a single mapping from index to volatility identifier.
static IborCapFloorMarketDataLookup	of(Map<IborIndex,IborCapletFloorletVolatilitiesId> volatilityIds) Obtains an instance based on a map of volatility identifiers.
default Class<? extends CalculationParameter>	queryType() Gets the type that the lookup will be queried by.
default FunctionRequirements	requirements(IborIndex... indices) Creates market data requirements for the specified indices.
FunctionRequirements	requirements(Set<IborIndex> indices) Creates market data requirements for the specified indices.
IborCapletFloorletVolatilities	volatilities(IborIndex index, MarketData marketData) Obtains cap/floor volatilities based on the specified market data.

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

filter

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

queryType

default Class<? extends CalculationParameter> queryType()

Gets the type that the lookup will be queried by.

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

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

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