/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.rate;
import java.time.LocalDate;
import java.util.HashMap;
import java.util.Map;
import java.util.Map.Entry;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.FxMatrix;
import com.opengamma.strata.basics.currency.FxRateProvider;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.basics.index.OvernightIndex;
import com.opengamma.strata.basics.index.PriceIndex;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.market.curve.Curve;
/**
* Builder for the immutable rates provider.
*
* @see ImmutableRatesProvider
*/
public final class ImmutableRatesProviderBuilder {
/**
* The valuation date.
* All curves and other data items in this provider are calibrated for this date.
*/
private final LocalDate valuationDate;
/**
* The provider of foreign exchange rates.
* Conversions where both currencies are the same always succeed.
*/
private FxRateProvider fxRateProvider = FxMatrix.empty();
/**
* The discount curves, defaulted to an empty map.
* The curve data, predicting the future, associated with each currency.
*/
private final Map<Currency, Curve> discountCurves = new HashMap<>();
/**
* The forward curves, defaulted to an empty map.
* The curve data, predicting the future, associated with each index.
* This is used for Ibor, Overnight and Price indices.
*/
private final Map<Index, Curve> indexCurves = new HashMap<>();
/**
* The time-series, defaulted to an empty map.
* The historic data associated with each index.
*/
private final Map<Index, LocalDateDoubleTimeSeries> timeSeries = new HashMap<>();
//-------------------------------------------------------------------------
/**
* Creates an instance specifying the valuation date.
*
* @param valuationDate the valuation date
*/
ImmutableRatesProviderBuilder(LocalDate valuationDate) {
this.valuationDate = ArgChecker.notNull(valuationDate, "valuationDate");
}
//-------------------------------------------------------------------------
/**
* Sets the FX rate provider.
*
* @param fxRateProvider the rate provider
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder fxRateProvider(FxRateProvider fxRateProvider) {
this.fxRateProvider = ArgChecker.notNull(fxRateProvider, "fxRateProvider");
return this;
}
//-------------------------------------------------------------------------
/**
* Adds a discount curve to the provider.
* <p>
* This adds the specified discount curve to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the currency as the key.
*
* @param currency the currency of the curve
* @param discountCurve the discount curve
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder discountCurve(Currency currency, Curve discountCurve) {
ArgChecker.notNull(currency, "currency");
ArgChecker.notNull(discountCurve, "discountCurve");
this.discountCurves.put(currency, discountCurve);
return this;
}
/**
* Adds discount curves to the provider.
* <p>
* This adds the specified discount curves to the provider.
* This operates using {@link Map#putAll(Map)} semantics using the currency as the key.
*
* @param discountCurves the discount curves
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder discountCurves(Map<Currency, ? extends Curve> discountCurves) {
ArgChecker.notNull(discountCurves, "discountCurves");
for (Entry<Currency, ? extends Curve> entry : discountCurves.entrySet()) {
discountCurve(entry.getKey(), entry.getValue());
}
return this;
}
//-------------------------------------------------------------------------
/**
* Adds an Ibor index forward curve to the provider.
* <p>
* This adds the specified forward curve to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the Ibor index forward curve
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder iborIndexCurve(IborIndex index, Curve forwardCurve) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
this.indexCurves.put(index, forwardCurve);
return this;
}
/**
* Adds an Ibor index forward curve to the provider with associated time-series.
* <p>
* This adds the specified forward curve and time-series to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the index forward curve
* @param timeSeries the associated time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder iborIndexCurve(
IborIndex index,
Curve forwardCurve,
LocalDateDoubleTimeSeries timeSeries) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
ArgChecker.notNull(timeSeries, "timeSeries");
this.indexCurves.put(index, forwardCurve);
this.timeSeries.put(index, timeSeries);
return this;
}
//-------------------------------------------------------------------------
/**
* Adds an Overnight index forward curve to the provider.
* <p>
* This adds the specified forward curve to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the Overnight index forward curve
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder overnightIndexCurve(OvernightIndex index, Curve forwardCurve) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
this.indexCurves.put(index, forwardCurve);
return this;
}
/**
* Adds an Overnight index forward curve to the provider with associated time-series.
* <p>
* This adds the specified forward curve and time-series to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the index forward curve
* @param timeSeries the associated time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder overnightIndexCurve(
OvernightIndex index,
Curve forwardCurve,
LocalDateDoubleTimeSeries timeSeries) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
ArgChecker.notNull(timeSeries, "timeSeries");
this.indexCurves.put(index, forwardCurve);
this.timeSeries.put(index, timeSeries);
return this;
}
//-------------------------------------------------------------------------
/**
* Adds a Price index forward curve to the provider.
* <p>
* This adds the specified forward curve to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the Price index forward curve
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder priceIndexCurve(PriceIndex index, Curve forwardCurve) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
this.indexCurves.put(index, forwardCurve);
return this;
}
/**
* Adds an index forward curve to the provider with associated time-series.
* <p>
* This adds the specified forward curve and time-series to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the index forward curve
* @param timeSeries the associated time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder priceIndexCurve(
PriceIndex index,
Curve forwardCurve,
LocalDateDoubleTimeSeries timeSeries) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
ArgChecker.notNull(timeSeries, "timeSeries");
this.indexCurves.put(index, forwardCurve);
this.timeSeries.put(index, timeSeries);
return this;
}
//-------------------------------------------------------------------------
/**
* Adds an index forward curve to the provider.
* <p>
* This adds the specified forward curve to the provider.
* This is used for Ibor, Overnight and Price indices.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the Ibor index forward curve
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder indexCurve(Index index, Curve forwardCurve) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
if (index instanceof IborIndex || index instanceof OvernightIndex || index instanceof PriceIndex) {
this.indexCurves.put(index, forwardCurve);
} else {
throw new IllegalArgumentException("Unsupported index: " + index);
}
return this;
}
/**
* Adds an index forward curve to the provider with associated time-series.
* <p>
* This adds the specified forward curve to the provider.
* This is used for Ibor, Overnight and Price indices.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the index of the curve
* @param forwardCurve the Ibor index forward curve
* @param timeSeries the time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder indexCurve(Index index, Curve forwardCurve, LocalDateDoubleTimeSeries timeSeries) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(forwardCurve, "forwardCurve");
if (index instanceof IborIndex || index instanceof OvernightIndex || index instanceof PriceIndex) {
this.indexCurves.put(index, forwardCurve);
this.timeSeries.put(index, timeSeries);
} else {
throw new IllegalArgumentException("Unsupported index: " + index);
}
return this;
}
/**
* Adds index forward curves to the provider with associated time-series.
* <p>
* This adds the specified index forward curves to the provider.
* This is used for Ibor, Overnight and Price indices.
* This operates using {@link Map#putAll(Map)} semantics using the index as the key.
*
* @param indexCurves the index forward curves
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder indexCurves(Map<? extends Index, ? extends Curve> indexCurves) {
ArgChecker.noNulls(indexCurves, "indexCurves");
for (Entry<? extends Index, ? extends Curve> entry : indexCurves.entrySet()) {
indexCurve(entry.getKey(), entry.getValue());
}
return this;
}
/**
* Adds index forward curves to the provider with associated time-series.
* <p>
* This adds the specified index forward curves to the provider.
* This is used for Ibor, Overnight and Price indices.
* This operates using {@link Map#putAll(Map)} semantics using the index as the key.
*
* @param indexCurves the index forward curves
* @param timeSeries the associated time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder indexCurves(
Map<? extends Index, ? extends Curve> indexCurves,
Map<? extends Index, LocalDateDoubleTimeSeries> timeSeries) {
ArgChecker.noNulls(indexCurves, "indexCurves");
for (Entry<? extends Index, ? extends Curve> entry : indexCurves.entrySet()) {
Index index = entry.getKey();
LocalDateDoubleTimeSeries ts = timeSeries.get(index);
ts = (ts != null ? ts : LocalDateDoubleTimeSeries.empty());
indexCurve(entry.getKey(), entry.getValue(), ts);
}
return this;
}
//-------------------------------------------------------------------------
/**
* Adds a time-series to the provider.
* <p>
* This adds the specified time-series to the provider.
* This operates using {@link Map#put(Object, Object)} semantics using the index as the key.
*
* @param index the FX index
* @param timeSeries the FX index time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder timeSeries(Index index, LocalDateDoubleTimeSeries timeSeries) {
ArgChecker.notNull(index, "index");
ArgChecker.notNull(timeSeries, "timeSeries");
this.timeSeries.put(index, timeSeries);
return this;
}
/**
* Adds time-series to the provider.
* <p>
* This adds the specified time-series to the provider.
* This operates using {@link Map#putAll(Map)} semantics using the index as the key.
*
* @param timeSeries the FX index time-series
* @return this, for chaining
*/
public ImmutableRatesProviderBuilder timeSeries(Map<? extends Index, LocalDateDoubleTimeSeries> timeSeries) {
ArgChecker.noNulls(timeSeries, "timeSeries");
this.timeSeries.putAll(timeSeries);
return this;
}
//-------------------------------------------------------------------------
/**
* Completes the builder, returning the provider.
*
* @return the provider
*/
public ImmutableRatesProvider build() {
return new ImmutableRatesProvider(
valuationDate,
fxRateProvider,
discountCurves,
indexCurves,
timeSeries);
}
}