com.opengamma.strata.measure.fxopt

Interface FxOptionMarketDataLookup

All Superinterfaces:

CalculationParameter

public interface FxOptionMarketDataLookup
extends CalculationParameter

The lookup that provides access to FX options volatilities in market data.

The FX options market lookup provides access to the volatilities used to price FX 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<CurrencyPair>	getVolatilityCurrencyPairs() Gets the set of currency pairs that volatilities are provided for.
ImmutableSet<MarketDataId<?>>	getVolatilityIds(CurrencyPair currencyPair) Gets the identifiers used to obtain the volatilities for the specified currency pair.
default FxOptionMarketData	marketDataView(MarketData marketData) Obtains a filtered view of the complete set of market data.
default FxOptionScenarioMarketData	marketDataView(ScenarioMarketData marketData) Obtains a filtered view of the complete set of market data.
static FxOptionMarketDataLookup	of(CurrencyPair currencyPair, FxOptionVolatilitiesId volatilityId) Obtains an instance based on a single mapping from currency pair to volatility identifier.
static FxOptionMarketDataLookup	of(Map<CurrencyPair,FxOptionVolatilitiesId> 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(CurrencyPair... currencyPairs) Creates market data requirements for the specified currency pairs.
FunctionRequirements	requirements(Set<CurrencyPair> currencyPairs) Creates market data requirements for the specified currency pairs.
FxOptionVolatilities	volatilities(CurrencyPair currencyPair, MarketData marketData) Obtains FX options volatilities based on the specified market data.

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

filter

Method Detail

of

static FxOptionMarketDataLookup of(CurrencyPair currencyPair,
                                   FxOptionVolatilitiesId volatilityId)

Obtains an instance based on a single mapping from currency pair to volatility identifier.

The lookup provides volatilities for the specified currency pair.

Parameters:

currencyPair - the currency pair

volatilityId - the volatility identifier

Returns:

the FX options lookup containing the specified mapping

of

static FxOptionMarketDataLookup of(Map<CurrencyPair,FxOptionVolatilitiesId> volatilityIds)

Obtains an instance based on a map of volatility identifiers.

The map is used to specify the appropriate volatilities to use for each currency pair.

Parameters:

volatilityIds - the volatility identifiers, keyed by currency pair

Returns:

the FX options lookup containing the specified volatilities

queryType

default Class<? extends CalculationParameter> queryType()

Gets the type that the lookup will be queried by.

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

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

getVolatilityCurrencyPairs

ImmutableSet<CurrencyPair> getVolatilityCurrencyPairs()

Gets the set of currency pairs that volatilities are provided for.

Returns:

the set of currency pairs

getVolatilityIds

ImmutableSet<MarketDataId<?>> getVolatilityIds(CurrencyPair currencyPair)

Gets the identifiers used to obtain the volatilities for the specified currency pair.

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

Parameters:

currencyPair - the currency pair for which identifiers are required

Returns:

the set of market data identifiers

Throws:

IllegalArgumentException - if the currency pair is not found

requirements

default FunctionRequirements requirements(CurrencyPair... currencyPairs)

Creates market data requirements for the specified currency pairs.

Parameters:

currencyPairs - the currency pairs, for which volatilities are required

Returns:

the requirements

requirements

FunctionRequirements requirements(Set<CurrencyPair> currencyPairs)

Creates market data requirements for the specified currency pairs.

Parameters:

currencyPairs - the currency pairs, for which volatilities are required

Returns:

the requirements

marketDataView

default FxOptionScenarioMarketData 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 FxOptionMarketData 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

FxOptionVolatilities volatilities(CurrencyPair currencyPair,
                                  MarketData marketData)

Obtains FX options volatilities based on the specified market data.

This provides FxOptionVolatilities suitable for pricing FX options. Although this method can be used directly, it is typically invoked indirectly via FxOptionMarketData:

  // bind the baseData to this lookup
  FxOptionMarketData view = lookup.marketDataView(baseData);
  
  // pas around FxOptionMarketData within the function to use in pricing
  FxOptionVolatilities vols = view.volatilities(currencyPair);
 

Parameters:

currencyPair - the currency pair

marketData - the complete set of market data for one scenario

Returns:

the volatilities

Throws:

MarketDataNotFoundException - if the currency pair is not found