com.opengamma.strata.data.scenario

Interface ScenarioPerturbation<T>

Type Parameters:

T - the type of the market data handled by the perturbation

public interface ScenarioPerturbation<T>

A perturbation that can be applied to a market data box to create market data for use in one or more scenarios.

A perturbation is used to change market data in some way. It applies to a single piece of data, such as a discount curve or volatility surface. For example, a 5 basis point parallel shift of a curve, or a 10% increase in the quoted price of a security.

Implementations must be immutable and thread-safe beans.

Method Summary

Modifier and Type	Method and Description
MarketDataBox<T>	applyTo(MarketDataBox<T> marketData, ReferenceData refData) Applies this perturbation to the market data in a box, returning a box containing new, modified data.
Class<T>	getMarketDataType() Returns the market data type that the perturbation changes.
int	getScenarioCount() Returns the number of scenarios for which this perturbation generates data.
static <T> ScenarioPerturbation<T>	none() Returns an instance that does not perturb the input.

Method Detail

none

static <T> ScenarioPerturbation<T> none()

Returns an instance that does not perturb the input.

This is useful for creating base scenarios where none of the market data is perturbed.

Type Parameters:

T - the type of the market data handled by the perturbation

Returns:

a perturbation that returns its input unchanged

applyTo

MarketDataBox<T> applyTo(MarketDataBox<T> marketData,
                         ReferenceData refData)

Applies this perturbation to the market data in a box, returning a box containing new, modified data.

The original market data must not be altered. Instead a perturbed copy must be returned.

Parameters:

marketData - the market data to perturb

refData - the reference data

Returns:

new market data derived by applying the perturbation to the input data

Throws:

RuntimeException - if unable to perform the perturbation

getScenarioCount

int getScenarioCount()

Returns the number of scenarios for which this perturbation generates data.

Returns:

the number of scenarios for which this perturbation generates data

getMarketDataType

Class<T> getMarketDataType()

Returns the market data type that the perturbation changes.

Returns:

the data type