com.opengamma.strata.pricer.rate

Class ImmutableRatesProvider

java.lang.Object

com.opengamma.strata.pricer.rate.ImmutableRatesProvider

All Implemented Interfaces:

FxRateProvider, BaseProvider, RatesProvider, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableRatesProvider
extends Object
implements RatesProvider, org.joda.beans.ImmutableBean, Serializable

The default immutable rates provider, used to calculate analytic measures.

This provides the environmental information against which pricing occurs. This includes FX rates, discount factors and forward curves.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ImmutableRatesProvider.Meta The meta-bean for ImmutableRatesProvider.

Method Summary

Modifier and Type	Method and Description
static ImmutableRatesProviderBuilder	builder(LocalDate valuationDate) Creates a builder specifying the valuation date.
static ImmutableRatesProvider	combined(FxRateProvider fx, ImmutableRatesProvider... providers) Combines a number of rates providers.
ImmutableRatesProvider	combinedWith(ImmutableRatesProvider other, FxRateProvider fxProvider) Combines this provider with another.
<T> T	data(MarketDataId<T> id) Gets market data of a specific type.
DiscountFactors	discountFactors(Currency currency) Gets the discount factors for a currency.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name) Finds the market data with the specified name.
FxForwardRates	fxForwardRates(CurrencyPair currencyPair) Gets the forward FX rates for a currency pair.
FxIndexRates	fxIndexRates(FxIndex index) Gets the rates for an FX index.
double	fxRate(Currency baseCurrency, Currency counterCurrency) Gets the FX rate for the specified currency pair on the valuation date.
Map<CurveName,Curve>	getCurves() Returns a map containing all the curves, keyed by curve name.
Map<CurveId,Curve>	getCurves(CurveGroupName groupName) Returns a map containing all the curves, keyed by curve identifier.
ImmutableSet<Currency>	getDiscountCurrencies() Gets the set of currencies that discount factors are provided for.
ImmutableMap<Currency,Curve>	getDiscountCurves() Gets the discount curves, defaulted to an empty map.
FxRateProvider	getFxRateProvider() Gets the provider of foreign exchange rates.
ImmutableSet<IborIndex>	getIborIndices() Gets the set of Ibor indices that are available.
ImmutableMap<Index,Curve>	getIndexCurves() Gets the forward curves, defaulted to an empty map.
ImmutableSet<OvernightIndex>	getOvernightIndices() Gets the set of Overnight indices that are available.
ImmutableSet<PriceIndex>	getPriceIndices() Gets the set of Price indices that are available.
ImmutableMap<Index,LocalDateDoubleTimeSeries>	getTimeSeries() Gets the time-series, defaulted to an empty map.
ImmutableSet<Index>	getTimeSeriesIndices() Gets the set of indices that have time-series available.
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
IborIndexRates	iborIndexRates(IborIndex index) Gets the rates for an Ibor index.
Stream<Index>	indices() Gets the forward indices that are available.
static ImmutableRatesProvider.Meta	meta() The meta-bean for ImmutableRatesProvider.
ImmutableRatesProvider.Meta	metaBean()
OvernightIndexRates	overnightIndexRates(OvernightIndex index) Gets the rates for an Overnight index.
PriceIndexValues	priceIndexValues(PriceIndex index) Gets the values for an Price index.
LocalDateDoubleTimeSeries	timeSeries(Index index) Gets the time series.
ImmutableRatesProviderBuilder	toBuilder() Converts this instance to a builder allowing changes to be made.
ImmutableRatesProvider	toImmutableRatesProvider() Converts this provider to an equivalent ImmutableRatesProvider.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.pricer.rate.RatesProvider

currencyExposure, parameterSensitivity

Methods inherited from interface com.opengamma.strata.pricer.BaseProvider

discountFactor, fxRate

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

convert, convert, lazy, minimal, noConversion

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

combined

public static ImmutableRatesProvider combined(FxRateProvider fx,
                                              ImmutableRatesProvider... providers)

Combines a number of rates providers.

If the two providers have curves or time series for the same currency or index, an IllegalAccessException is thrown. The FxRateProviders is not populated with the given provider; no attempt is done on merging the embedded FX providers.

Parameters:

fx - the FX provider for the resulting rate provider

providers - the rates providers to be merged

Returns:

the combined rates provider

builder

public static ImmutableRatesProviderBuilder builder(LocalDate valuationDate)

Creates a builder specifying the valuation date.

Parameters:

valuationDate - the valuation date

Returns:

the builder

toBuilder

public ImmutableRatesProviderBuilder toBuilder()

Converts this instance to a builder allowing changes to be made.

Returns:

the builder

getDiscountCurrencies

public ImmutableSet<Currency> getDiscountCurrencies()

Description copied from interface: BaseProvider

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

Specified by:

getDiscountCurrencies in interface BaseProvider

Returns:

the set of discount curve currencies

indices

public Stream<Index> indices()

Description copied from interface: RatesProvider

Gets the forward indices that are available.

Normally this will only return Ibor, Overnight and Price indices, however it may return other types of index.

Specified by:

indices in interface RatesProvider

Returns:

the indices

getIborIndices

public ImmutableSet<IborIndex> getIborIndices()

Description copied from interface: RatesProvider

Gets the set of Ibor indices that are available.

If an index is present in the result of this method, then RatesProvider.iborIndexRates(IborIndex) should not throw an exception.

Specified by:

getIborIndices in interface RatesProvider

Returns:

the set of Ibor indices

getOvernightIndices

public ImmutableSet<OvernightIndex> getOvernightIndices()

Description copied from interface: RatesProvider

Gets the set of Overnight indices that are available.

If an index is present in the result of this method, then RatesProvider.overnightIndexRates(OvernightIndex) should not throw an exception.

Specified by:

getOvernightIndices in interface RatesProvider

Returns:

the set of Overnight indices

getPriceIndices

public ImmutableSet<PriceIndex> getPriceIndices()

Description copied from interface: RatesProvider

Gets the set of Price indices that are available.

If an index is present in the result of this method, then RatesProvider.priceIndexValues(PriceIndex) should not throw an exception.

Specified by:

getPriceIndices in interface RatesProvider

Returns:

the set of Price indices

getTimeSeriesIndices

public ImmutableSet<Index> getTimeSeriesIndices()

Description copied from interface: RatesProvider

Gets the set of indices that have time-series available.

Note that the method RatesProvider.timeSeries(Index) returns an empty time-series when the index is not known, thus this method is useful to determine if there actually is a time-series in the underlying data.

Specified by:

getTimeSeriesIndices in interface RatesProvider

Returns:

the set of indices with time-series

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: RatesProvider

Finds the market data with the specified name.

This is most commonly used to find a Curve using a CurveName. If the market data cannot be found, empty is returned.

Specified by:

findData in interface RatesProvider

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

data

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

Description copied from interface: BaseProvider

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.

Specified by:

data in interface BaseProvider

Type Parameters:

T - the type of the value

Parameters:

id - the identifier to find

Returns:

the data associated with the key

timeSeries

public LocalDateDoubleTimeSeries timeSeries(Index index)

Description copied from interface: RatesProvider

Gets the time series.

This returns time series for the index.

Specified by:

timeSeries in interface RatesProvider

Parameters:

index - the index

Returns:

the time series, empty if time-series not found

fxRate

public double fxRate(Currency baseCurrency,
                     Currency counterCurrency)

Description copied from interface: BaseProvider

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

Specified by:

fxRate in interface BaseProvider

Parameters:

baseCurrency - the base currency, to convert from

counterCurrency - the counter currency, to convert to

Returns:

the current FX rate for the currency pair

discountFactors

public DiscountFactors discountFactors(Currency currency)

Description copied from interface: BaseProvider

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.

Specified by:

discountFactors in interface BaseProvider

Parameters:

currency - the currency to get the discount factors for

Returns:

the discount factors for the specified currency

fxIndexRates

public FxIndexRates fxIndexRates(FxIndex index)

Description copied from interface: RatesProvider

Gets the rates for an FX index.

This returns an object that can provide historic and forward rates for the specified index.

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.

Specified by:

fxIndexRates in interface RatesProvider

Parameters:

index - the index to find rates for

Returns:

the rates for the specified index

fxForwardRates

public FxForwardRates fxForwardRates(CurrencyPair currencyPair)

Description copied from interface: RatesProvider

Gets the forward FX rates for a currency pair.

This returns an object that can provide forward rates for the specified currency pair. See RatesProvider.fxIndexRates(FxIndex) for forward rates with daily fixings.

Specified by:

fxForwardRates in interface RatesProvider

Parameters:

currencyPair - the currency pair to find forward rates for

Returns:

the forward rates for the specified currency pair

iborIndexRates

public IborIndexRates iborIndexRates(IborIndex index)

Description copied from interface: RatesProvider

Gets the rates for an Ibor index.

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.

Specified by:

iborIndexRates in interface RatesProvider

Parameters:

index - the index to find rates for

Returns:

the rates for the specified index

overnightIndexRates

public OvernightIndexRates overnightIndexRates(OvernightIndex index)

Description copied from interface: RatesProvider

Gets the rates for an Overnight index.

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.

Specified by:

overnightIndexRates in interface RatesProvider

Parameters:

index - the index to find rates for

Returns:

the rates for the specified index

priceIndexValues

public PriceIndexValues priceIndexValues(PriceIndex index)

Description copied from interface: RatesProvider

Gets the values for an Price index.

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.

Specified by:

priceIndexValues in interface RatesProvider

Parameters:

index - the index to find values for

Returns:

the values for the specified index

combinedWith

public ImmutableRatesProvider combinedWith(ImmutableRatesProvider other,
                                           FxRateProvider fxProvider)

Combines this provider with another.

If the two providers have curves or time series for the same currency or index, an IllegalAccessException is thrown. No attempt is made to combine the FX providers, instead one is supplied.

Parameters:

other - the other rates provider

fxProvider - the FX rate provider to use

Returns:

the combined provider

toImmutableRatesProvider

public ImmutableRatesProvider toImmutableRatesProvider()

Description copied from interface: RatesProvider

Converts this provider to an equivalent ImmutableRatesProvider.

Specified by:

toImmutableRatesProvider in interface RatesProvider

Returns:

the equivalent immutable rates provider

getCurves

public Map<CurveName,Curve> getCurves()

Returns a map containing all the curves, keyed by curve name.

No checks are performed to see if one curve name is mapped to two different curves.

Returns:

the map of curves

getCurves

public Map<CurveId,Curve> getCurves(CurveGroupName groupName)

Returns a map containing all the curves, keyed by curve identifier.

No checks are performed to see if one curve name is mapped to two different curves.

This method is useful when transforming a rates provider to MarketData.

Parameters:

groupName - the curve group name

Returns:

the map of curves, keyed by CurveId.

meta

public static ImmutableRatesProvider.Meta meta()

The meta-bean for ImmutableRatesProvider.

Returns:

the meta-bean, not null

metaBean

public ImmutableRatesProvider.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date. All curves and other data items in this provider are calibrated for this date.

Specified by:

getValuationDate in interface BaseProvider

Returns:

the value of the property, not null

getFxRateProvider

public FxRateProvider getFxRateProvider()

Gets the provider of foreign exchange rates. Conversions where both currencies are the same always succeed.

Returns:

the value of the property, not null

getDiscountCurves

public ImmutableMap<Currency,Curve> getDiscountCurves()

Gets the discount curves, defaulted to an empty map. The curve data, predicting the future, associated with each currency.

Returns:

the value of the property, not null

getIndexCurves

public ImmutableMap<Index,Curve> getIndexCurves()

Gets 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.

Returns:

the value of the property, not null

getTimeSeries

public ImmutableMap<Index,LocalDateDoubleTimeSeries> getTimeSeries()

Gets the time-series, defaulted to an empty map. The historic data associated with each index.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object