com.opengamma.strata.measure.credit

Interface CreditRatesMarketDataLookup

All Superinterfaces:

CalculationParameter

public interface CreditRatesMarketDataLookup
extends CalculationParameter

The lookup that provides access to credit rates in market data.

The credit rates market lookup provides access to credit, discount and recovery rate 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 and Description
CreditRatesProvider	creditRatesProvider(MarketData marketData) Obtains credit rates provider based on the specified market data.
ImmutableSet<Pair<StandardId,Currency>>	getCreditLegalEntities() Gets the set of pairs of legal entity ID and currency that credit curves are provided for.
ImmutableSet<MarketDataId<?>>	getCreditMarketDataIds(StandardId standardId, Currency currency) Gets the identifiers used to obtain the credit curve for the pair of legal entity ID and currency.
ImmutableSet<Currency>	getDiscountCurrencies() Gets the set of currencies that discount factors are provided for.
ImmutableSet<MarketDataId<?>>	getDiscountMarketDataIds(Currency currency) Gets the identifiers used to obtain the discount factors for the specified currency.
ImmutableSet<StandardId>	getRecoveryRateLegalEntities() Gets the set of legal entity IDs that recovery rate curves are provided for.
ImmutableSet<MarketDataId<?>>	getRecoveryRateMarketDataIds(StandardId standardId) Gets the identifiers used to obtain the recovery rate curve for the legal entity ID.
default CreditRatesMarketData	marketDataView(MarketData marketData) Obtains a filtered view of the complete set of market data.
default CreditRatesScenarioMarketData	marketDataView(ScenarioMarketData marketData) Obtains a filtered view of the complete set of market data.
static CreditRatesMarketDataLookup	of(Map<Pair<StandardId,Currency>,CurveId> creditCurveIds, Map<Currency,CurveId> discountCurveIds, Map<StandardId,CurveId> recoveryRateCurveIds) Obtains an instance based on a maps for credit, discount and recovery rate curves.
static CreditRatesMarketDataLookup	of(Map<Pair<StandardId,Currency>,CurveId> creditCurveIds, Map<Currency,CurveId> discountCurveIds, Map<StandardId,CurveId> recoveryRateCurveIds, ObservableSource observableSource) Obtains an instance based on a maps for credit, discount and recovery rate curves.
default Class<? extends CalculationParameter>	queryType() Gets the type that the lookup will be queried by.
FunctionRequirements	requirements(StandardId legalEntityId, Currency currency) Creates market data requirements for the specified standard ID and currency.

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

filter

Method Detail

of

static CreditRatesMarketDataLookup of(Map<Pair<StandardId,Currency>,CurveId> creditCurveIds,
                                      Map<Currency,CurveId> discountCurveIds,
                                      Map<StandardId,CurveId> recoveryRateCurveIds)

Obtains an instance based on a maps for credit, discount and recovery rate curves.

Parameters:

creditCurveIds - the credit curve identifiers, keyed by legal entity ID and currency

discountCurveIds - the discount curve identifiers, keyed by currency

recoveryRateCurveIds - the recovery rate curve identifiers, keyed by legal entity ID

Returns:

the rates lookup containing the specified curves

of

static CreditRatesMarketDataLookup of(Map<Pair<StandardId,Currency>,CurveId> creditCurveIds,
                                      Map<Currency,CurveId> discountCurveIds,
                                      Map<StandardId,CurveId> recoveryRateCurveIds,
                                      ObservableSource observableSource)

Obtains an instance based on a maps for credit, discount and recovery rate curves.

Parameters:

creditCurveIds - the credit curve identifiers, keyed by legal entity ID and currency

discountCurveIds - the discount curve identifiers, keyed by currency

recoveryRateCurveIds - the recovery rate curve identifiers, keyed by legal entity ID

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

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

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

getDiscountCurrencies

ImmutableSet<Currency> getDiscountCurrencies()

Gets the set of currencies that discount factors are provided for.

Returns:

the set of discount curve currencies

getDiscountMarketDataIds

ImmutableSet<MarketDataId<?>> getDiscountMarketDataIds(Currency currency)

Gets the identifiers used to obtain the discount factors for the specified currency.

In most cases, the identifier will refer to a curve. If the currency is not found, an exception is thrown.

Parameters:

currency - the currency for which identifiers are required

Returns:

the set of market data identifiers

Throws:

IllegalArgumentException - if the currency is not found

getCreditLegalEntities

ImmutableSet<Pair<StandardId,Currency>> getCreditLegalEntities()

Gets the set of pairs of legal entity ID and currency that credit curves are provided for.

Returns:

the set of pairs of legal entity ID and currency

getCreditMarketDataIds

ImmutableSet<MarketDataId<?>> getCreditMarketDataIds(StandardId standardId,
                                                     Currency currency)

Gets the identifiers used to obtain the credit curve for the pair of legal entity ID and currency.

In most cases, the identifier will refer to a curve. If the pair is not found, an exception is thrown.

Parameters:

standardId - the legal entity ID

currency - the currency

Returns:

the set of market data identifiers

Throws:

IllegalArgumentException - if the pair is not found

getRecoveryRateLegalEntities

ImmutableSet<StandardId> getRecoveryRateLegalEntities()

Gets the set of legal entity IDs that recovery rate curves are provided for.

Returns:

the set of legal entity IDs

getRecoveryRateMarketDataIds

ImmutableSet<MarketDataId<?>> getRecoveryRateMarketDataIds(StandardId standardId)

Gets the identifiers used to obtain the recovery rate curve for the legal entity ID.

In most cases, the identifier will refer to a curve. If the ID is not found, an exception is thrown.

Parameters:

standardId - the legal entity ID

Returns:

the set of market data identifiers

Throws:

IllegalArgumentException - if the ID is not found

requirements

FunctionRequirements requirements(StandardId legalEntityId,
                                  Currency currency)

Creates market data requirements for the specified standard ID and currency.

Parameters:

legalEntityId - legal entity ID

currency - the currency

Returns:

the requirements

Throws:

IllegalArgumentException - if unable to create requirements

marketDataView

default CreditRatesScenarioMarketData 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 CreditRatesMarketData 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

creditRatesProvider

CreditRatesProvider creditRatesProvider(MarketData marketData)

Obtains credit rates provider based on the specified market data.

This provides CreditRatesProvider suitable for pricing credit products. Although this method can be used directly, it is typically invoked indirectly via CreditRatesMarketData:

  // bind the baseData to this lookup
  CreditRatesMarketData view = lookup.marketView(baseData);
  
  // pass around CreditRatesMarketData within the function to use in pricing
  CreditRatesProvider provider = view.creditRatesProvider();
 

Parameters:

marketData - the complete set of market data for one scenario

Returns:

the rates provider