RatesMarketDataLookup (OpenGamma Strata Measure)

All Superinterfaces:

CalculationParameter, FxRateLookup
```
public interface RatesMarketDataLookup
extends FxRateLookup, CalculationParameter
```
The lookup that provides access to rates in market data.
The rates market lookup provides access to discount curves and forward curves. This includes Ibor index rates, Overnight index rates, Price index rates, FX rates and discounting.
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

All Methods Static Methods Instance Methods Abstract Methods Default Methods
Modifier and Type	Method and Description
`FxRateProvider`	`fxRateProvider(MarketData marketData)` Obtains an FX rate provider based on the specified market data.
`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<Index>`	`getForwardIndices()` Gets the set of indices that forward rates are provided for.
`ImmutableSet<MarketDataId<?>>`	`getForwardMarketDataIds(Index index)` Gets the identifiers used to obtain the forward rates for the specified index.
`default FxRateLookup`	`getFxRateLookup()` Gets the underlying FX lookup.
`default ObservableSource`	`getObservableSource()` Gets the observable source.
`default RatesMarketData`	`marketDataView(MarketData marketData)` Obtains a filtered view of the complete set of market data.
`default RatesScenarioMarketData`	`marketDataView(ScenarioMarketData marketData)` Obtains a filtered view of the complete set of market data.
`static RatesMarketDataLookup`	`of(CurveGroupName groupName, Map<Currency,CurveName> discountCurves, Map<? extends Index,CurveName> forwardCurves)` Obtains an instance based on a group of discount and forward curves.
`static RatesMarketDataLookup`	`of(Map<Currency,CurveId> discountCurveIds, Map<Index,CurveId> forwardCurveIds)` Obtains an instance based on a map of discount and forward curve identifiers.
`static RatesMarketDataLookup`	`of(Map<Currency,CurveId> discountCurveIds, Map<Index,CurveId> forwardCurveIds, ObservableSource obsSource, FxRateLookup fxLookup)` Obtains an instance based on a map of discount and forward curve identifiers, specifying the source of FX rates.
`static RatesMarketDataLookup`	`of(RatesCurveGroup curveGroup)` Obtains an instance based on a curve group.
`static RatesMarketDataLookup`	`of(RatesCurveGroupDefinition curveGroupDefinition)` Obtains an instance based on a curve group definition.
`static RatesMarketDataLookup`	`of(RatesCurveGroupDefinition curveGroupDefinition, ObservableSource observableSource, FxRateLookup fxLookup)` Obtains an instance based on a curve group definition.
`default Class<? extends CalculationParameter>`	`queryType()` Gets the type that the lookup will be queried by.
`RatesProvider`	`ratesProvider(MarketData marketData)` Obtains a rates provider based on the specified market data.
`default FunctionRequirements`	`requirements(Currency currency, Index... indices)` Creates market data requirements for the specified currency and indices.
`default FunctionRequirements`	`requirements(Set<Currency> currencies)` Creates market data requirements for the specified currencies.
`FunctionRequirements`	`requirements(Set<Currency> currencies, Set<? extends Index> indices)` Creates market data requirements for the specified currencies and indices.

Methods inherited from interface com.opengamma.strata.calc.runner.FxRateLookup
ofMatrix, ofMatrix, ofRates, ofRates, ofRates, ofRates

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

- Method Detail
  - of
```
static RatesMarketDataLookup of(Map<Currency,CurveId> discountCurveIds,
                                Map<Index,CurveId> forwardCurveIds)
```
    Obtains an instance based on a map of discount and forward curve identifiers.
    The discount and forward curves refer to the curve identifier. The curves themselves are provided in ScenarioMarketData using CurveId as the identifier.
    
    Parameters:
    
    discountCurveIds - the discount curve identifiers, keyed by currency
    
    forwardCurveIds - the forward curves identifiers, keyed by index
    
    Returns:
    
    the rates lookup containing the specified curves
  - of
```
static RatesMarketDataLookup of(Map<Currency,CurveId> discountCurveIds,
                                Map<Index,CurveId> forwardCurveIds,
                                ObservableSource obsSource,
                                FxRateLookup fxLookup)
```
    Obtains an instance based on a map of discount and forward curve identifiers, specifying the source of FX rates.
    The discount and forward curves refer to the curve identifier. The curves themselves are provided in ScenarioMarketData using CurveId as the identifier. The source of market data is rarely needed, as most applications use only one underlying data source.
    
    Parameters:
    
    discountCurveIds - the discount curve identifiers, keyed by currency
    
    forwardCurveIds - the forward curves identifiers, keyed by index
    
    obsSource - the source of market data for quotes and other observable market data
    
    fxLookup - the lookup used to obtain FX rates
    
    Returns:
    
    the rates lookup containing the specified curves
  - of
```
static RatesMarketDataLookup of(CurveGroupName groupName,
                                Map<Currency,CurveName> discountCurves,
                                Map<? extends Index,CurveName> forwardCurves)
```
    Obtains an instance based on a group of discount and forward curves.
    The discount and forward curves refer to the curve name. The curves themselves are provided in ScenarioMarketData using CurveId as the identifier.
    
    Parameters:
    
    groupName - the curve group name
    
    discountCurves - the discount curves, keyed by currency
    
    forwardCurves - the forward curves, keyed by index
    
    Returns:
    
    the rates lookup containing the specified curves
  - of
```
static RatesMarketDataLookup of(RatesCurveGroup curveGroup)
```
    Obtains an instance based on a curve group.
    The discount curves and forward curves from the group are extracted and used to build the lookup.
    
    Parameters:
    
    curveGroup - the curve group to base the lookup on
    
    Returns:
    
    the rates lookup based on the specified group
  - of
```
static RatesMarketDataLookup of(RatesCurveGroupDefinition curveGroupDefinition)
```
    Obtains an instance based on a curve group definition.
    The discount curves and forward curves from the group are extracted and used to build the lookup.
    
    Parameters:
    
    curveGroupDefinition - the curve group to base the lookup on
    
    Returns:
    
    the rates lookup based on the specified group
  - of
```
static RatesMarketDataLookup of(RatesCurveGroupDefinition curveGroupDefinition,
                                ObservableSource observableSource,
                                FxRateLookup fxLookup)
```
    Obtains an instance based on a curve group definition.
    The discount curves and forward curves from the group are extracted and used to build the lookup.
    
    Parameters:
    
    curveGroupDefinition - the curve group to base the lookup on
    
    observableSource - the source of market data for quotes and other observable market data
    
    fxLookup - the lookup used to obtain FX rates
    
    Returns:
    
    the rates lookup based on the specified group
  - queryType
```
default Class<? extends CalculationParameter> queryType()
```
    Gets the type that the lookup will be queried by.
    This returns RatesMarketLookup.class. When querying parameters using CalculationParameters.findParameter(Class), RatesMarketLookup.class must be passed in to find the instance.
    
    Specified by:
    
    queryType in interface CalculationParameter
    
    Specified by:
    
    queryType in interface FxRateLookup
    
    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
  - getForwardIndices
```
ImmutableSet<Index> getForwardIndices()
```
    Gets the set of indices that forward rates are provided for.
    
    Returns:
    
    the set of forward curve indices
  - getForwardMarketDataIds
```
ImmutableSet<MarketDataId<?>> getForwardMarketDataIds(Index index)
```
    Gets the identifiers used to obtain the forward rates for the specified index.
    In most cases, the identifier will refer to a curve. 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(Set<Currency> currencies)
```
    Creates market data requirements for the specified currencies.
    This is used when discount factors are required, but forward curves are not.
    
    Parameters:
    
    currencies - the currencies, for which discount factors will be needed
    
    Returns:
    
    the requirements
    
    Throws:
    
    IllegalArgumentException - if unable to create requirements
  - requirements
```
default FunctionRequirements requirements(Currency currency,
                                          Index... indices)
```
    Creates market data requirements for the specified currency and indices.
    
    Parameters:
    
    currency - the currency, for which discount factors are needed
    
    indices - the indices, for which forward curves and time-series will be needed
    
    Returns:
    
    the requirements
    
    Throws:
    
    IllegalArgumentException - if unable to create requirements
  - requirements
```
FunctionRequirements requirements(Set<Currency> currencies,
                                  Set<? extends Index> indices)
```
    Creates market data requirements for the specified currencies and indices.
    
    Parameters:
    
    currencies - the currencies, for which discount factors will be needed
    
    indices - the indices, for which forward curves and time-series will be needed
    
    Returns:
    
    the requirements
    
    Throws:
    
    IllegalArgumentException - if unable to create requirements
  - marketDataView
```
default RatesScenarioMarketData 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 RatesMarketData 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
  - ratesProvider
```
RatesProvider ratesProvider(MarketData marketData)
```
    Obtains a rates provider based on the specified market data.
    This provides a RatesProvider suitable for pricing a rates product. Although this method can be used directly, it is typically invoked indirectly via RatesMarketData:
```
  // bind the baseData to this lookup
  RatesMarketData view = lookup.marketView(baseData);
  
  // pass around RatesMarketData within the function to use in pricing
  RatesProvider provider = view.ratesProvider();
 
```
    Parameters:
    
    marketData - the complete set of market data for one scenario
    
    Returns:
    
    the rates provider
  - fxRateProvider
```
FxRateProvider fxRateProvider(MarketData marketData)
```
    Obtains an FX rate provider based on the specified market data.
    This provides an FxRateProvider suitable for obtaining FX rates. Although this method can be used directly, it is typically invoked indirectly via RatesMarketData:
```
  // bind the baseData to this lookup
  RatesMarketData view = lookup.marketView(baseData);
  
  // pass around RatesMarketData within the function to use in pricing
  RatesProvider provider = view.fxRateProvider();
 
```
    Specified by:
    
    fxRateProvider in interface FxRateLookup
    
    Parameters:
    
    marketData - the complete set of market data for one scenario
    
    Returns:
    
    the FX rate provider
  - getObservableSource
```
default ObservableSource getObservableSource()
```
    Gets the observable source.
    
    Returns:
    
    the observable source
  - getFxRateLookup
```
default FxRateLookup getFxRateLookup()
```
    Gets the underlying FX lookup.
    
    Returns:
    
    the underlying FX lookup

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Interface RatesMarketDataLookup

Method Summary

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

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

Method Detail

of

of

of

of

of

of

queryType

getDiscountCurrencies

getDiscountMarketDataIds

getForwardIndices

getForwardMarketDataIds

requirements

requirements

requirements

marketDataView

marketDataView

ratesProvider

fxRateProvider

getObservableSource

getFxRateLookup