/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.rate;
import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import java.io.Serializable;
import java.util.Map;
import java.util.Set;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.light.LightMetaBean;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.Messages;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.data.MarketDataId;
import com.opengamma.strata.data.ObservableId;
import com.opengamma.strata.data.ObservableSource;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveId;
import com.opengamma.strata.market.observable.IndexQuoteId;
import com.opengamma.strata.pricer.rate.RatesProvider;
/**
* The rates lookup, used to select curves for pricing.
* <p>
* This provides access to discount curves and forward curves.
* <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}.
*/
@BeanDefinition(style = "light")
final class DefaultRatesMarketDataLookup
implements RatesMarketDataLookup, ImmutableBean, Serializable {
/**
* The discount curves in the group, keyed by currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<Currency, CurveId> discountCurves;
/**
* The forward curves in the group, keyed by index.
*/
@PropertyDefinition(validate = "notNull", builderType = "Map<? extends Index, CurveId>")
private final ImmutableMap<Index, CurveId> forwardCurves;
/**
* The source of market data for quotes and other observable market data.
*/
@PropertyDefinition(validate = "notNull")
private final ObservableSource observableSource;
/**
* The lookup used to obtain {@code FxRateProvider}.
*/
@PropertyDefinition(validate = "notNull")
private final FxRateLookup fxLookup;
//-------------------------------------------------------------------------
/**
* Obtains an instance based on a map of discount and forward curve identifiers.
* <p>
* The discount and forward curves refer to the curve identifier.
* The curves themselves are provided in {@link ScenarioMarketData}
* using {@link CurveId} as the identifier.
*
* @param discountCurveIds the discount curve identifiers, keyed by currency
* @param forwardCurveIds the forward curves identifiers, keyed by index
* @param obsSource the source of market data for FX, quotes and other observable market data
* @param fxLookup the lookup used to obtain FX rates
* @return the rates lookup containing the specified curves
*/
public static DefaultRatesMarketDataLookup of(
Map<Currency, CurveId> discountCurveIds,
Map<? extends Index, CurveId> forwardCurveIds,
ObservableSource obsSource,
FxRateLookup fxLookup) {
return new DefaultRatesMarketDataLookup(discountCurveIds, forwardCurveIds, obsSource, fxLookup);
}
//-------------------------------------------------------------------------
@Override
public ImmutableSet<Currency> getDiscountCurrencies() {
return discountCurves.keySet();
}
@Override
public ImmutableSet<MarketDataId<?>> getDiscountMarketDataIds(Currency currency) {
CurveId id = discountCurves.get(currency);
if (id == null) {
throw new IllegalArgumentException(msgCurrencyNotFound(currency));
}
return ImmutableSet.of(id);
}
@Override
public ImmutableSet<Index> getForwardIndices() {
return forwardCurves.keySet();
}
@Override
public ImmutableSet<MarketDataId<?>> getForwardMarketDataIds(Index index) {
CurveId id = forwardCurves.get(index);
if (id == null) {
throw new IllegalArgumentException(msgIndexNotFound(index));
}
return ImmutableSet.of(id);
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(Set<Currency> currencies, Set<? extends Index> indices) {
for (Currency currency : currencies) {
if (!discountCurves.keySet().contains(currency)) {
throw new IllegalArgumentException(msgCurrencyNotFound(currency));
}
}
for (Index index : indices) {
if (!forwardCurves.keySet().contains(index)) {
throw new IllegalArgumentException(msgIndexNotFound(index));
}
}
// keys for time-series
Set<ObservableId> indexQuoteIds = indices.stream()
.map(IndexQuoteId::of)
.collect(toImmutableSet());
// keys for forward curves
Set<MarketDataId<?>> indexCurveIds = indices.stream()
.map(idx -> forwardCurves.get(idx))
.collect(toImmutableSet());
// keys for discount factors
Set<MarketDataId<?>> discountFactorsIds = currencies.stream()
.map(ccy -> discountCurves.get(ccy))
.collect(toImmutableSet());
return FunctionRequirements.builder()
.valueRequirements(Sets.union(indexCurveIds, discountFactorsIds))
.timeSeriesRequirements(indexQuoteIds)
.outputCurrencies(currencies)
.observableSource(observableSource)
.build();
}
//-------------------------------------------------------------------------
@Override
public RatesProvider ratesProvider(MarketData marketData) {
return DefaultLookupRatesProvider.of(this, marketData);
}
@Override
public FxRateProvider fxRateProvider(MarketData marketData) {
return fxLookup.fxRateProvider(marketData);
}
//-------------------------------------------------------------------------
String msgCurrencyNotFound(Currency currency) {
return Messages.format("Rates lookup has no discount curve defined for currency '{}'", currency);
}
String msgIndexNotFound(Index index) {
return Messages.format("Rates lookup has no forward curve defined for index '{}'", index);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code DefaultRatesMarketDataLookup}.
*/
private static MetaBean META_BEAN = LightMetaBean.of(DefaultRatesMarketDataLookup.class);
/**
* The meta-bean for {@code DefaultRatesMarketDataLookup}.
* @return the meta-bean, not null
*/
public static MetaBean meta() {
return META_BEAN;
}
static {
JodaBeanUtils.registerMetaBean(META_BEAN);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
private DefaultRatesMarketDataLookup(
Map<Currency, CurveId> discountCurves,
Map<? extends Index, CurveId> forwardCurves,
ObservableSource observableSource,
FxRateLookup fxLookup) {
JodaBeanUtils.notNull(discountCurves, "discountCurves");
JodaBeanUtils.notNull(forwardCurves, "forwardCurves");
JodaBeanUtils.notNull(observableSource, "observableSource");
JodaBeanUtils.notNull(fxLookup, "fxLookup");
this.discountCurves = ImmutableMap.copyOf(discountCurves);
this.forwardCurves = ImmutableMap.copyOf(forwardCurves);
this.observableSource = observableSource;
this.fxLookup = fxLookup;
}
@Override
public MetaBean metaBean() {
return META_BEAN;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets the discount curves in the group, keyed by currency.
* @return the value of the property, not null
*/
public ImmutableMap<Currency, CurveId> getDiscountCurves() {
return discountCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the forward curves in the group, keyed by index.
* @return the value of the property, not null
*/
public ImmutableMap<Index, CurveId> getForwardCurves() {
return forwardCurves;
}
//-----------------------------------------------------------------------
/**
* Gets the source of market data for quotes and other observable market data.
* @return the value of the property, not null
*/
public ObservableSource getObservableSource() {
return observableSource;
}
//-----------------------------------------------------------------------
/**
* Gets the lookup used to obtain {@code FxRateProvider}.
* @return the value of the property, not null
*/
public FxRateLookup getFxLookup() {
return fxLookup;
}
//-----------------------------------------------------------------------
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
DefaultRatesMarketDataLookup other = (DefaultRatesMarketDataLookup) obj;
return JodaBeanUtils.equal(discountCurves, other.discountCurves) &&
JodaBeanUtils.equal(forwardCurves, other.forwardCurves) &&
JodaBeanUtils.equal(observableSource, other.observableSource) &&
JodaBeanUtils.equal(fxLookup, other.fxLookup);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(discountCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(forwardCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(observableSource);
hash = hash * 31 + JodaBeanUtils.hashCode(fxLookup);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(160);
buf.append("DefaultRatesMarketDataLookup{");
buf.append("discountCurves").append('=').append(discountCurves).append(',').append(' ');
buf.append("forwardCurves").append('=').append(forwardCurves).append(',').append(' ');
buf.append("observableSource").append('=').append(observableSource).append(',').append(' ');
buf.append("fxLookup").append('=').append(JodaBeanUtils.toString(fxLookup));
buf.append('}');
return buf.toString();
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}