/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.fxopt;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.MarketDataNotFoundException;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilities;
import com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId;
/**
* The lookup that provides access to FX options volatilities in market data.
* <p>
* The FX options market lookup provides access to the volatilities used to price FX options.
* <p>
* The lookup implements {@link CalculationParameter} and is used by passing it
* as an argument to {@link CalculationRules}. It provides the link between the
* data that the function needs and the data that is available in {@link ScenarioMarketData}.
* <p>
* Implementations of this interface must be immutable.
*/
public interface FxOptionMarketDataLookup extends CalculationParameter {
/**
* Obtains an instance based on a single mapping from currency pair to volatility identifier.
* <p>
* The lookup provides volatilities for the specified currency pair.
*
* @param currencyPair the currency pair
* @param volatilityId the volatility identifier
* @return the FX options lookup containing the specified mapping
*/
public static FxOptionMarketDataLookup of(CurrencyPair currencyPair, FxOptionVolatilitiesId volatilityId) {
return DefaultFxOptionMarketDataLookup.of(ImmutableMap.of(currencyPair, volatilityId));
}
/**
* Obtains an instance based on a map of volatility identifiers.
* <p>
* The map is used to specify the appropriate volatilities to use for each currency pair.
*
* @param volatilityIds the volatility identifiers, keyed by currency pair
* @return the FX options lookup containing the specified volatilities
*/
public static FxOptionMarketDataLookup of(Map<CurrencyPair, FxOptionVolatilitiesId> volatilityIds) {
return DefaultFxOptionMarketDataLookup.of(volatilityIds);
}
//-------------------------------------------------------------------------
/**
* Gets the type that the lookup will be queried by.
* <p>
* This returns {@code FxOptionMarketLookup.class}.
* When querying parameters using {@link CalculationParameters#findParameter(Class)},
* {@code FxOptionMarketLookup.class} must be passed in to find the instance.
*
* @return the type of the parameter implementation
*/
@Override
default Class<? extends CalculationParameter> queryType() {
return FxOptionMarketDataLookup.class;
}
//-------------------------------------------------------------------------
/**
* Gets the set of currency pairs that volatilities are provided for.
*
* @return the set of currency pairs
*/
public abstract ImmutableSet<CurrencyPair> getVolatilityCurrencyPairs();
/**
* Gets the identifiers used to obtain the volatilities for the specified currency pair.
* <p>
* The result will typically refer to a surface or cube.
* If the currency pair is not found, an exception is thrown.
*
* @param currencyPair the currency pair for which identifiers are required
* @return the set of market data identifiers
* @throws IllegalArgumentException if the currency pair is not found
*/
public abstract ImmutableSet<MarketDataId<?>> getVolatilityIds(CurrencyPair currencyPair);
//-------------------------------------------------------------------------
/**
* Creates market data requirements for the specified currency pairs.
*
* @param currencyPairs the currency pairs, for which volatilities are required
* @return the requirements
*/
public default FunctionRequirements requirements(CurrencyPair... currencyPairs) {
return requirements(ImmutableSet.copyOf(currencyPairs));
}
/**
* Creates market data requirements for the specified currency pairs.
*
* @param currencyPairs the currency pairs, for which volatilities are required
* @return the requirements
*/
public abstract FunctionRequirements requirements(Set<CurrencyPair> currencyPairs);
//-------------------------------------------------------------------------
/**
* Obtains a filtered view of the complete set of market data.
* <p>
* This method returns an instance that binds the lookup to the market data.
* The input is {@link ScenarioMarketData}, which contains market data for all scenarios.
*
* @param marketData the complete set of market data for all scenarios
* @return the filtered market data
*/
public default FxOptionScenarioMarketData marketDataView(ScenarioMarketData marketData) {
return DefaultFxOptionScenarioMarketData.of(this, marketData);
}
/**
* Obtains a filtered view of the complete set of market data.
* <p>
* This method returns an instance that binds the lookup to the market data.
* The input is {@link MarketData}, which contains market data for one scenario.
*
* @param marketData the complete set of market data for one scenario
* @return the filtered market data
*/
public default FxOptionMarketData marketDataView(MarketData marketData) {
return DefaultFxOptionMarketData.of(this, marketData);
}
//-------------------------------------------------------------------------
/**
* Obtains FX options volatilities based on the specified market data.
* <p>
* This provides {@link FxOptionVolatilities} suitable for pricing FX options.
* Although this method can be used directly, it is typically invoked indirectly
* via {@link FxOptionMarketData}:
* <pre>
* // 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);
* </pre>
*
* @param currencyPair the currency pair
* @param marketData the complete set of market data for one scenario
* @return the volatilities
* @throws MarketDataNotFoundException if the currency pair is not found
*/
public abstract FxOptionVolatilities volatilities(CurrencyPair currencyPair, MarketData marketData);
}