com.opengamma.strata.pricer

Interface BaseProvider

All Superinterfaces:

FxRateProvider

All Known Subinterfaces:

RatesProvider

All Known Implementing Classes:

ImmutableRatesProvider

public interface BaseProvider
extends FxRateProvider

A provider of data used for pricing.

This provides the valuation date, FX rates and discount factors, Sensitivity for discount factors is also available.

All implementations of this interface must be immutable and thread-safe.

Method Summary

Modifier and Type	Method and Description
<T> T	data(MarketDataId<T> id) Gets market data of a specific type.
default double	discountFactor(Currency currency, LocalDate date) Gets the discount factor applicable for a currency.
DiscountFactors	discountFactors(Currency currency) Gets the discount factors for a currency.
double	fxRate(Currency baseCurrency, Currency counterCurrency) Gets the FX rate for the specified currency pair on the valuation date.
default double	fxRate(CurrencyPair currencyPair) Gets the FX rate for the specified currency pair on the valuation date.
Set<Currency>	getDiscountCurrencies() Gets the set of currencies that discount factors are provided for.
LocalDate	getValuationDate() Gets the valuation date.

Methods inherited from interface com.opengamma.strata.basics.currency.FxRateProvider

convert, convert, lazy, minimal, noConversion

Method Detail

getValuationDate

LocalDate getValuationDate()

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Returns:

the valuation date

getDiscountCurrencies

Set<Currency> getDiscountCurrencies()

Gets the set of currencies that discount factors are provided for.

Returns:

the set of discount curve currencies

data

<T> T data(MarketDataId<T> id)

Gets market data of a specific type.

This is a general purpose mechanism to obtain market data. In general, it is desirable to pass the specific market data needed for pricing into the pricing method. However, in some cases, notably swaps, this is not feasible. It is strongly recommended to clearly state on pricing methods what data is required.

Type Parameters:

T - the type of the value

Parameters:

id - the identifier to find

Returns:

the data associated with the key

Throws:

IllegalArgumentException - if the data is not available

fxRate

double fxRate(Currency baseCurrency,
              Currency counterCurrency)

Gets the FX rate for the specified currency pair on the valuation date.

The rate returned is the rate from the base currency to the counter currency as defined by this formula: (1 * baseCurrency = fxRate * counterCurrency).

Specified by:

fxRate in interface FxRateProvider

Parameters:

baseCurrency - the base currency, to convert from

counterCurrency - the counter currency, to convert to

Returns:

the current FX rate for the currency pair

Throws:

IllegalArgumentException - if the rate is not available

fxRate

default double fxRate(CurrencyPair currencyPair)

Gets the FX rate for the specified currency pair on the valuation date.

The rate returned is the rate from the base currency to the counter currency as defined by this formula: (1 * baseCurrency = fxRate * counterCurrency).

Specified by:

fxRate in interface FxRateProvider

Parameters:

currencyPair - the ordered currency pair defining the rate required

Returns:

the current FX rate for the currency pair

Throws:

IllegalArgumentException - if the rate is not available

discountFactors

DiscountFactors discountFactors(Currency currency)

Gets the discount factors for a currency.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

currency - the currency to get the discount factors for

Returns:

the discount factors for the specified currency

Throws:

IllegalArgumentException - if the discount factors are not available

discountFactor

default double discountFactor(Currency currency,
                              LocalDate date)

Gets the discount factor applicable for a currency.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

currency - the currency to get the discount factor for

date - the date to discount to

Returns:

the discount factor

Throws:

IllegalArgumentException - if the discount factors are not available