com.opengamma.strata.market.curve

Class RatesCurveGroupDefinitionBuilder

java.lang.Object

com.opengamma.strata.market.curve.RatesCurveGroupDefinitionBuilder

public final class RatesCurveGroupDefinitionBuilder
extends Object

A mutable builder for creating instances of CurveGroupDefinition.

Method Summary

Modifier and Type	Method and Description
RatesCurveGroupDefinitionBuilder	addCurve(CurveDefinition curveDefinition, Currency currency, RateIndex index, RateIndex... otherIndices) Adds the definition of a curve to the curve group definition which is used to provide discount rates and forward rates.
RatesCurveGroupDefinitionBuilder	addCurve(CurveName curveName, Currency currency, RateIndex index, RateIndex... otherIndices) Adds a curve to the curve group definition which is used to provide discount rates and forward rates.
RatesCurveGroupDefinitionBuilder	addDiscountCurve(CurveDefinition curveDefinition, Currency currency, Currency... otherCurrencies) Adds the definition of a discount curve to the curve group definition.
RatesCurveGroupDefinitionBuilder	addDiscountCurve(CurveName curveName, Currency currency, Currency... otherCurrencies) Adds the definition of a discount curve to the curve group definition.
RatesCurveGroupDefinitionBuilder	addForwardCurve(CurveDefinition curveDefinition, Index index, Index... otherIndices) Adds the definition of a forward curve to the curve group definition.
RatesCurveGroupDefinitionBuilder	addForwardCurve(CurveName curveName, Index index, Index... otherIndices) Adds the definition of a forward curve to the curve group definition.
RatesCurveGroupDefinitionBuilder	addSeasonality(CurveName curveName, SeasonalityDefinition seasonalityDefinition) Adds a seasonality to the curve group definition.
RatesCurveGroupDefinition	build() Builds the definition of the curve group from the data in this object.
RatesCurveGroupDefinitionBuilder	computeJacobian(boolean computeJacobian) Sets the 'compute Jacobian' flag of the curve group definition.
RatesCurveGroupDefinitionBuilder	computePvSensitivityToMarketQuote(boolean computePvSensitivityToMarketQuote) Sets the 'compute PV sensitivity to market quote' flag of the curve group definition.
RatesCurveGroupDefinitionBuilder	name(CurveGroupName name) Sets the name of the curve group definition.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

name

public RatesCurveGroupDefinitionBuilder name(CurveGroupName name)

Sets the name of the curve group definition.

Parameters:

name - the name of the curve group, not empty

Returns:

this builder

computeJacobian

public RatesCurveGroupDefinitionBuilder computeJacobian(boolean computeJacobian)

Sets the 'compute Jacobian' flag of the curve group definition.

Parameters:

computeJacobian - the flag indicating if the Jacobian matrices should be computed and stored in metadata or not

Returns:

this builder

computePvSensitivityToMarketQuote

public RatesCurveGroupDefinitionBuilder computePvSensitivityToMarketQuote(boolean computePvSensitivityToMarketQuote)

Sets the 'compute PV sensitivity to market quote' flag of the curve group definition.

If set, the Jacobian matrices will also be calculated, even if not requested.

Parameters:

computePvSensitivityToMarketQuote - the flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not

Returns:

this builder

addDiscountCurve

public RatesCurveGroupDefinitionBuilder addDiscountCurve(CurveDefinition curveDefinition,
                                                         Currency currency,
                                                         Currency... otherCurrencies)

Adds the definition of a discount curve to the curve group definition.

Parameters:

curveDefinition - the discount curve configuration

otherCurrencies - additional currencies for which the curve can provide discount factors

currency - the currency for which the curve provides discount rates

Returns:

this builder

addDiscountCurve

public RatesCurveGroupDefinitionBuilder addDiscountCurve(CurveName curveName,
                                                         Currency currency,
                                                         Currency... otherCurrencies)

Adds the definition of a discount curve to the curve group definition.

A curve added with this method cannot be calibrated by the market data system as it does not include a curve definition. It is intended to be used with curves which are supplied by the user.

Parameters:

curveName - the name of the curve

otherCurrencies - additional currencies for which the curve can provide discount factors

currency - the currency for which the curve provides discount rates

Returns:

this builder

addForwardCurve

public RatesCurveGroupDefinitionBuilder addForwardCurve(CurveDefinition curveDefinition,
                                                        Index index,
                                                        Index... otherIndices)

Adds the definition of a forward curve to the curve group definition.

Parameters:

curveDefinition - the definition of the forward curve

index - the index for which the curve provides forward rates

otherIndices - the additional indices for which the curve provides forward rates

Returns:

this builder

addForwardCurve

public RatesCurveGroupDefinitionBuilder addForwardCurve(CurveName curveName,
                                                        Index index,
                                                        Index... otherIndices)

Adds the definition of a forward curve to the curve group definition.

A curve added with this method cannot be calibrated by the market data system as it does not include a curve definition. It is intended to be used with curves which are supplied by the user.

Parameters:

curveName - the name of the curve

index - the index for which the curve provides forward rates

otherIndices - the additional indices for which the curve provides forward rates

Returns:

this builder

addCurve

public RatesCurveGroupDefinitionBuilder addCurve(CurveDefinition curveDefinition,
                                                 Currency currency,
                                                 RateIndex index,
                                                 RateIndex... otherIndices)

Adds the definition of a curve to the curve group definition which is used to provide discount rates and forward rates.

Parameters:

curveDefinition - the definition of the forward curve

currency - the currency for which the curve provides discount rates

index - the index for which the curve provides forward rates

otherIndices - the additional indices for which the curve provides forward rates

Returns:

this builder

addCurve

public RatesCurveGroupDefinitionBuilder addCurve(CurveName curveName,
                                                 Currency currency,
                                                 RateIndex index,
                                                 RateIndex... otherIndices)

Adds a curve to the curve group definition which is used to provide discount rates and forward rates.

A curve added with this method cannot be calibrated by the market data system as it does not include a curve definition. It is intended to be used with curves which are supplied by the user.

Parameters:

curveName - the name of the curve

currency - the currency for which the curve provides discount rates

index - the index for which the curve provides forward rates

otherIndices - the additional indices for which the curve provides forward rates

Returns:

this builder

addSeasonality

public RatesCurveGroupDefinitionBuilder addSeasonality(CurveName curveName,
                                                       SeasonalityDefinition seasonalityDefinition)

Adds a seasonality to the curve group definition.

Parameters:

curveName - the name of the curve

seasonalityDefinition - the seasonality associated to the curve

Returns:

this builder

build

public RatesCurveGroupDefinition build()

Builds the definition of the curve group from the data in this object.

Returns:

the definition of the curve group built from the data in this object