/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.rate;
import java.util.Optional;
import java.util.Set;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.currency.MultiCurrencyAmount;
import com.opengamma.strata.basics.index.FxIndex;
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.timeseries.LocalDateDoubleTimeSeries;
import com.opengamma.strata.data.MarketDataName;
import com.opengamma.strata.market.curve.Curve;
import com.opengamma.strata.market.curve.CurveName;
import com.opengamma.strata.market.param.CurrencyParameterSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivities;
import com.opengamma.strata.market.sensitivity.PointSensitivity;
import com.opengamma.strata.pricer.BaseProvider;
import com.opengamma.strata.pricer.DiscountFactors;
import com.opengamma.strata.pricer.ZeroRateSensitivity;
import com.opengamma.strata.pricer.fx.FxForwardRates;
import com.opengamma.strata.pricer.fx.FxForwardSensitivity;
import com.opengamma.strata.pricer.fx.FxIndexRates;
import com.opengamma.strata.pricer.fx.FxIndexSensitivity;
/**
* A provider of rates, such as Ibor and Overnight, used for pricing financial instruments.
* <p>
* This provides the environmental information against which pricing occurs.
* The valuation date, FX rates, discount factors, time-series and forward curves are included.
* <p>
* The standard independent implementation is {@link ImmutableRatesProvider}.
* <p>
* All implementations of this interface must be immutable and thread-safe.
*/
public interface RatesProvider
extends BaseProvider {
/**
* Gets the set of Ibor indices that are available.
*
* @return the set of Ibor indices
*/
public abstract Set<IborIndex> getIborIndices();
/**
* Gets the set of Overnight indices that are available.
*
* @return the set of Overnight indices
*/
public abstract Set<OvernightIndex> getOvernightIndices();
/**
* Gets the set of Price indices that are available.
*
* @return the set of Price indices
*/
public abstract Set<PriceIndex> getPriceIndices();
//-------------------------------------------------------------------------
/**
* Gets the rates for an FX index.
* <p>
* This returns an object that can provide historic and forward rates for the specified index.
* <p>
* An FX rate is the conversion rate between two currencies. An FX index is the rate
* as published by a specific organization, typically at a well-known time-of-day.
*
* @param index the index to find rates for
* @return the rates for the specified index
* @throws IllegalArgumentException if the rates are not available
*/
public abstract FxIndexRates fxIndexRates(FxIndex index);
//-------------------------------------------------------------------------
/**
* Gets the forward FX rates for a currency pair.
* <p>
* This returns an object that can provide forward rates for the specified currency pair.
* See {@link #fxIndexRates(FxIndex)} for forward rates with daily fixings.
*
* @param currencyPair the currency pair to find forward rates for
* @return the forward rates for the specified currency pair
* @throws IllegalArgumentException if the rates are not available
*/
public abstract FxForwardRates fxForwardRates(CurrencyPair currencyPair);
//-------------------------------------------------------------------------
/**
* Gets the rates for an Ibor index.
* <p>
* The rate of the Ibor index, such as 'GBP-LIBOR-3M', varies over time.
* This returns an object that can provide historic and forward rates for the specified index.
*
* @param index the index to find rates for
* @return the rates for the specified index
* @throws IllegalArgumentException if the rates are not available
*/
public abstract IborIndexRates iborIndexRates(IborIndex index);
//-------------------------------------------------------------------------
/**
* Gets the rates for an Overnight index.
* <p>
* The rate of the Overnight index, such as 'EUR-EONIA', varies over time.
* This returns an object that can provide historic and forward rates for the specified index.
*
* @param index the index to find rates for
* @return the rates for the specified index
* @throws IllegalArgumentException if the rates are not available
*/
public abstract OvernightIndexRates overnightIndexRates(OvernightIndex index);
//-------------------------------------------------------------------------
/**
* Gets the values for an Price index.
* <p>
* The value of the Price index, such as 'US-CPI-U', varies over time.
* This returns an object that can provide historic and forward values for the specified index.
*
* @param index the index to find values for
* @return the values for the specified index
* @throws IllegalArgumentException if the values are not available
*/
public abstract PriceIndexValues priceIndexValues(PriceIndex index);
//-------------------------------------------------------------------------
/**
* Computes the parameter sensitivity.
* <p>
* This computes the {@link CurrencyParameterSensitivities} associated with the {@link PointSensitivities}.
* This corresponds to the projection of the point sensitivity to the internal parameters representation.
* <p>
* For example, the point sensitivities could represent the sensitivity to a date on the first
* of each month in a year relative to a specific forward curve. This method converts to the point
* sensitivities to be relative to each parameter on the underlying curve, such as the 1 day, 1 week,
* 1 month, 3 month, 12 month and 5 year nodal points.
*
* @param pointSensitivities the point sensitivities
* @return the sensitivity to the curve parameters
*/
public default CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) {
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof ZeroRateSensitivity) {
ZeroRateSensitivity pt = (ZeroRateSensitivity) point;
DiscountFactors factors = discountFactors(pt.getCurveCurrency());
sens = sens.combinedWith(factors.parameterSensitivity(pt));
} else if (point instanceof IborRateSensitivity) {
IborRateSensitivity pt = (IborRateSensitivity) point;
IborIndexRates rates = iborIndexRates(pt.getIndex());
sens = sens.combinedWith(rates.parameterSensitivity(pt));
} else if (point instanceof OvernightRateSensitivity) {
OvernightRateSensitivity pt = (OvernightRateSensitivity) point;
OvernightIndexRates rates = overnightIndexRates(pt.getIndex());
sens = sens.combinedWith(rates.parameterSensitivity(pt));
} else if (point instanceof FxIndexSensitivity) {
FxIndexSensitivity pt = (FxIndexSensitivity) point;
FxIndexRates rates = fxIndexRates(pt.getIndex());
sens = sens.combinedWith(rates.parameterSensitivity(pt));
} else if (point instanceof InflationRateSensitivity) {
InflationRateSensitivity pt = (InflationRateSensitivity) point;
PriceIndexValues rates = priceIndexValues(pt.getIndex());
sens = sens.combinedWith(rates.parameterSensitivity(pt));
} else if (point instanceof FxForwardSensitivity) {
FxForwardSensitivity pt = (FxForwardSensitivity) point;
FxForwardRates rates = fxForwardRates(pt.getCurrencyPair());
sens = sens.combinedWith(rates.parameterSensitivity(pt));
}
}
return sens;
}
/**
* Computes the currency exposure.
* <p>
* This computes the currency exposure in the form of a {@link MultiCurrencyAmount} associated with the
* {@link PointSensitivities}. This corresponds to the projection of the point sensitivity to the
* currency exposure associated to an {@link FxIndexSensitivity}.
* <p>
* For example, the point sensitivities could represent the sensitivity to a FX Index.
* This method produces the implicit currency exposure embedded in the FX index sensitivity.
* <p>
* Reference: Currency Exposure and FX index, OpenGamma Documentation 32, July 2015.
*
* @param pointSensitivities the point sensitivities
* @return the currency exposure
*/
public default MultiCurrencyAmount currencyExposure(PointSensitivities pointSensitivities) {
MultiCurrencyAmount ce = MultiCurrencyAmount.empty();
for (PointSensitivity point : pointSensitivities.getSensitivities()) {
if (point instanceof FxIndexSensitivity) {
FxIndexSensitivity pt = (FxIndexSensitivity) point;
FxIndexRates rates = fxIndexRates(pt.getIndex());
ce = ce.plus(rates.currencyExposure(pt));
}
if (point instanceof FxForwardSensitivity) {
FxForwardSensitivity pt = (FxForwardSensitivity) point;
pt = (FxForwardSensitivity) pt.convertedTo(pt.getReferenceCurrency(), this);
FxForwardRates rates = fxForwardRates(pt.getCurrencyPair());
ce = ce.plus(rates.currencyExposure(pt));
}
}
return ce;
}
//-------------------------------------------------------------------------
/**
* Finds the market data with the specified name.
* <p>
* This is most commonly used to find a {@link Curve} using a {@link CurveName}.
* If the market data cannot be found, empty is returned.
*
* @param <T> the type of the market data value
* @param name the name to find
* @return the market data value, empty if not found
*/
public abstract <T> Optional<T> findData(MarketDataName<T> name);
/**
* Gets the time series.
* <p>
* This returns time series for the index.
*
* @param index the index
* @return the time series
*/
public abstract LocalDateDoubleTimeSeries timeSeries(Index index);
//-------------------------------------------------------------------------
/**
* Converts this provider to an equivalent {@code ImmutableRatesProvider}.
*
* @return the equivalent immutable rates provider
*/
public abstract ImmutableRatesProvider toImmutableRatesProvider();
}