com.opengamma.strata.measure.index

Interface OvernightFutureOptionMarketDataLookup

All Superinterfaces:

CalculationParameter

public interface OvernightFutureOptionMarketDataLookup
extends CalculationParameter

The lookup that provides access to Overnight future option volatilities in market data.

The Overnight future option market lookup provides access to the volatilities used to price Overnight future 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<MarketDataId<?>>	getVolatilityIds(OvernightIndex index) Gets the identifiers used to obtain the volatilities for the specified currency.
ImmutableSet<OvernightIndex>	getVolatilityIndices() Gets the set of indices that volatilities are provided for.
default OvernightFutureOptionMarketData	marketDataView(MarketData marketData) Obtains a filtered view of the complete set of market data.
default OvernightFutureOptionScenarioMarketData	marketDataView(ScenarioMarketData marketData) Obtains a filtered view of the complete set of market data.
static OvernightFutureOptionMarketDataLookup	of(Map<OvernightIndex,OvernightFutureOptionVolatilitiesId> volatilityIds) Obtains an instance based on a map of volatility identifiers.
static OvernightFutureOptionMarketDataLookup	of(OvernightIndex index, OvernightFutureOptionVolatilitiesId volatilityId) Obtains an instance based on a single mapping from index to volatility identifier.
default Class<? extends CalculationParameter>	queryType() Gets the type that the lookup will be queried by.
default FunctionRequirements	requirements(OvernightIndex... indices) Creates market data requirements for the specified indices.
FunctionRequirements	requirements(Set<OvernightIndex> indices) Creates market data requirements for the specified indices.
OvernightFutureOptionVolatilities	volatilities(OvernightIndex index, MarketData marketData) Obtains Overnight future option volatilities based on the specified market data.

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

filter

Method Detail

of

static OvernightFutureOptionMarketDataLookup of(OvernightIndex index,
                                                OvernightFutureOptionVolatilitiesId 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 Overnight index

volatilityId - the volatility identifier

Returns:

the Overnight future option lookup containing the specified mapping

of

static OvernightFutureOptionMarketDataLookup of(Map<OvernightIndex,OvernightFutureOptionVolatilitiesId> 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 Overnight future option lookup containing the specified volatilities

queryType

default Class<? extends CalculationParameter> queryType()

Gets the type that the lookup will be queried by.

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

Specified by:

queryType in interface CalculationParameter

Returns:

the type of the parameter implementation

getVolatilityIndices

ImmutableSet<OvernightIndex> getVolatilityIndices()

Gets the set of indices that volatilities are provided for.

Returns:

the set of indices

getVolatilityIds

ImmutableSet<MarketDataId<?>> getVolatilityIds(OvernightIndex 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(OvernightIndex... 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<OvernightIndex> indices)

Creates market data requirements for the specified indices.

Parameters:

indices - the indices, for which volatilities are required

Returns:

the requirements

marketDataView

default OvernightFutureOptionScenarioMarketData 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 OvernightFutureOptionMarketData 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

OvernightFutureOptionVolatilities volatilities(OvernightIndex index,
                                               MarketData marketData)

Obtains Overnight future option volatilities based on the specified market data.

This provides OvernightFutureOptionVolatilities suitable for pricing an Overnight future option. Although this method can be used directly, it is typically invoked indirectly via OvernightFutureOptionMarketData:

  // bind the baseData to this lookup
  OvernightFutureOptionMarketData view = lookup.marketDataView(baseData);

  // pass around OvernightFutureOptionMarketData within the function to use in pricing
  OvernightFutureOptionVolatilities vols = view.volatilities(index);
 

Parameters:

index - the Overnight index

marketData - the complete set of market data for one scenario

Returns:

the volatilities

Throws:

MarketDataNotFoundException - if the index is not found