com.opengamma.strata.measure.rate

Class RatesCurveGroupMarketDataFunction

java.lang.Object

com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

All Implemented Interfaces:

MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

public class RatesCurveGroupMarketDataFunction
extends Object
implements MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

Market data function that builds a curve group.

This function calibrates curves, turning a RatesCurveGroupDefinition into a RatesCurveGroup.

Constructor Summary

Constructors

Constructor and Description
RatesCurveGroupMarketDataFunction() Creates a new function for building curve groups using the standard measures.
RatesCurveGroupMarketDataFunction(CalibrationMeasures calibrationMeasures) Creates a new function for building curve groups.

Method Summary

Modifier and Type	Method and Description
MarketDataBox<RatesCurveGroup>	build(RatesCurveGroupId id, MarketDataConfig marketDataConfig, ScenarioMarketData marketData, ReferenceData refData)
Class<RatesCurveGroupId>	getMarketDataIdType()
MarketDataRequirements	requirements(RatesCurveGroupId id, MarketDataConfig marketDataConfig)

Methods inherited from class java.lang.Object

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

Constructor Detail

RatesCurveGroupMarketDataFunction

public RatesCurveGroupMarketDataFunction()

Creates a new function for building curve groups using the standard measures.

This will use the standard par spread measures for calibration. The MarketDataConfig may contain a RootFinderConfig to define the tolerances.

RatesCurveGroupMarketDataFunction

public RatesCurveGroupMarketDataFunction(CalibrationMeasures calibrationMeasures)

Creates a new function for building curve groups.

The default calibrator is specified. The MarketDataConfig may contain a RootFinderConfig that alters the tolerances used in calibration.

Parameters:

calibrationMeasures - the calibration measures to be used in the calibrator

Method Detail

requirements

public MarketDataRequirements requirements(RatesCurveGroupId id,
                                           MarketDataConfig marketDataConfig)

Specified by:

requirements in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

build

public MarketDataBox<RatesCurveGroup> build(RatesCurveGroupId id,
                                            MarketDataConfig marketDataConfig,
                                            ScenarioMarketData marketData,
                                            ReferenceData refData)

Specified by:

build in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>

getMarketDataIdType

public Class<RatesCurveGroupId> getMarketDataIdType()

Specified by:

getMarketDataIdType in interface MarketDataFunction<RatesCurveGroup,RatesCurveGroupId>