RatesCurveGroupDefinition (OpenGamma Strata Market)

java.lang.Object
- com.opengamma.strata.market.curve.RatesCurveGroupDefinition

All Implemented Interfaces:

CurveGroupDefinition, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class RatesCurveGroupDefinition
extends Object
implements CurveGroupDefinition, org.joda.beans.ImmutableBean, Serializable
```
Provides the definition of how to calibrate a group of curves.
A curve group contains one or more entries, each of which contains the definition of a curve and a set of currencies and indices specifying how the curve is to be used. The currencies are used to specify that the curve is to be used as a discount curve. The indices are used to specify that the curve is to be used as a forward curve.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class RatesCurveGroupDefinition.Meta
The meta-bean for RatesCurveGroupDefinition.

Nested Classes
Modifier and Type	Class and Description
`static class`	`RatesCurveGroupDefinition.Meta` The meta-bean for `RatesCurveGroupDefinition`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`RatesCurveGroupDefinition`	`bindTimeSeries(LocalDate valuationDate, Map<Index,LocalDateDoubleTimeSeries> tsMap)` Returns a definition that is bound to a time-series.
`static RatesCurveGroupDefinitionBuilder`	`builder()` Returns a mutable builder for building the definition for a curve group.
`RatesCurveGroupDefinition`	`combinedWith(RatesCurveGroupDefinition other)` Combines this definition with another one.
`RatesCurveGroupId`	`createGroupId(ObservableSource source)` Creates an identifier that can be used to resolve this definition.
`boolean`	`equals(Object obj)`
`RatesCurveGroupDefinition`	`filtered(LocalDate valuationDate, ReferenceData refData)` Returns a filtered version of this definition with no invalid nodes.
`Optional<CurveDefinition>`	`findCurveDefinition(CurveName curveName)` Finds the definition for the curve with the specified name.
`Optional<CurveName>`	`findDiscountCurveName(Currency discountCurrency)` Finds the discount curve name for the specified currency.
`Optional<RatesCurveGroupEntry>`	`findEntry(CurveName curveName)` Finds the entry for the curve with the specified name.
`Optional<CurveName>`	`findForwardCurveName(Index forwardIndex)` Finds the forward curve name for the specified index.
`ImmutableSet<CurveName>`	`findForwardCurveNames(FloatingRateName forwardName)` Finds the forward curve names for the specified floating rate name.
`ImmutableList<CurveDefinition>`	`getCurveDefinitions()` Gets definitions which specify how the curves are calibrated.
`ImmutableList<RatesCurveGroupEntry>`	`getEntries()` Gets the configuration for building the curves in the group.
`CurveGroupName`	`getName()` Gets the name of the curve group.
`ImmutableMap<CurveName,SeasonalityDefinition>`	`getSeasonalityDefinitions()` Gets definitions which specify which seasonality should be used for some price index curves.
`int`	`getTotalParameterCount()` Gets the total number of parameters in the group.
`int`	`hashCode()`
`ImmutableList<Double>`	`initialGuesses(MarketData marketData)` Gets the list of all initial guesses.
`boolean`	`isComputeJacobian()` Gets the flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
`boolean`	`isComputePvSensitivityToMarketQuote()` Gets the flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not.
`static RatesCurveGroupDefinition.Meta`	`meta()` The meta-bean for `RatesCurveGroupDefinition`.
`RatesCurveGroupDefinition.Meta`	`metaBean()`
`ImmutableList<CurveMetadata>`	`metadata(LocalDate valuationDate, ReferenceData refData)` Creates the curve metadata for each definition.
`static RatesCurveGroupDefinition`	`of(CurveGroupName name, Collection<RatesCurveGroupEntry> entries, Collection<CurveDefinition> curveDefinitions)` Returns a curve group definition with the specified name and containing the specified entries.
`static RatesCurveGroupDefinition`	`of(CurveGroupName name, Collection<RatesCurveGroupEntry> entries, Collection<CurveDefinition> curveDefinitions, Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)` Returns a curve group definition with the specified name and containing the specified entries and seasonality.
`ImmutableList<ResolvedTrade>`	`resolvedTrades(MarketData marketData, ReferenceData refData)` Creates a list of trades representing the instrument at each node.
`RatesCurveGroupDefinitionBuilder`	`toBuilder()` Converts to builder.
`String`	`toString()`
`RatesCurveGroupDefinition`	`withCurveDefinitions(List<CurveDefinition> curveDefinitions)` Returns a copy of this object containing the specified curve definitions.
`RatesCurveGroupDefinition`	`withName(CurveGroupName name)` Returns a copy of this definition with a different name.
`RatesCurveGroupDefinition`	`withSeasonalityDefinitions(Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)` Returns a copy of this object containing the specified seasonality definitions.

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - builder
```
public static RatesCurveGroupDefinitionBuilder builder()
```
    Returns a mutable builder for building the definition for a curve group.
    
    Returns:
    
    a mutable builder for building the definition for a curve group
  - of
```
public static RatesCurveGroupDefinition of(CurveGroupName name,
                                           Collection<RatesCurveGroupEntry> entries,
                                           Collection<CurveDefinition> curveDefinitions)
```
    Returns a curve group definition with the specified name and containing the specified entries.
    The Jacobian matrices are computed. The Present Value sensitivity to Market quotes are not computed.
    
    Parameters:
    
    name - the name of the curve group
    
    entries - entries describing the curves in the group
    
    curveDefinitions - definitions which specify how the curves are calibrated
    
    Returns:
    
    a curve group definition with the specified name and containing the specified entries
  - of
```
public static RatesCurveGroupDefinition of(CurveGroupName name,
                                           Collection<RatesCurveGroupEntry> entries,
                                           Collection<CurveDefinition> curveDefinitions,
                                           Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)
```
    Returns a curve group definition with the specified name and containing the specified entries and seasonality.
    The Jacobian matrices are computed. The Present Value sensitivity to Market quotes are not computed.
    
    Parameters:
    
    name - the name of the curve group
    
    entries - entries describing the curves in the group
    
    curveDefinitions - definitions which specify how the curves are calibrated
    
    seasonalityDefinitions - definitions which specify the seasonality to use for different curves
    
    Returns:
    
    a curve group definition with the specified name and containing the specified entries
  - createGroupId
```
public RatesCurveGroupId createGroupId(ObservableSource source)
```
    Description copied from interface: CurveGroupDefinition
    
    Creates an identifier that can be used to resolve this definition.
    
    Specified by:
    
    createGroupId in interface CurveGroupDefinition
    
    Parameters:
    
    source - the source of data
    
    Returns:
    
    the curve, empty if not found
  - filtered
```
public RatesCurveGroupDefinition filtered(LocalDate valuationDate,
                                          ReferenceData refData)
```
    Returns a filtered version of this definition with no invalid nodes.
    A curve is formed of a number of nodes, each of which has an associated date. To be valid, the curve node dates must be in order from earliest to latest. This method applies rules to remove invalid nodes.
    
    Parameters:
    
    valuationDate - the valuation date
    
    refData - the reference data
    
    Returns:
    
    the resolved definition, that should be used in preference to this one
    
    Throws:
    
    IllegalArgumentException - if the curve nodes are invalid
  - bindTimeSeries
```
public RatesCurveGroupDefinition bindTimeSeries(LocalDate valuationDate,
                                                Map<Index,LocalDateDoubleTimeSeries> tsMap)
```
    Returns a definition that is bound to a time-series.
    Curves related to a price index are better described when a starting point is added with the last fixing in the time series. This method finds price index curves, and ensures that they are unique (not used for any other index or discounting). Each price index curve is then bound to the matching time-series with the last fixing month equal to the last element in the time series which is in the past.
    
    Parameters:
    
    valuationDate - the valuation date
    
    tsMap - the map of index to time series
    
    Returns:
    
    the new instance
  - findDiscountCurveName
```
public Optional<CurveName> findDiscountCurveName(Currency discountCurrency)
```
    Finds the discount curve name for the specified currency.
    If the curve name is not found, optional empty is returned.
    
    Parameters:
    
    discountCurrency - the currency to find a discount curve name for
    
    Returns:
    
    the curve name
  - findForwardCurveName
```
public Optional<CurveName> findForwardCurveName(Index forwardIndex)
```
    Finds the forward curve name for the specified index.
    If the curve name is not found, optional empty is returned.
    
    Parameters:
    
    forwardIndex - the index to find a forward curve name for
    
    Returns:
    
    the curve name
  - findForwardCurveNames
```
public ImmutableSet<CurveName> findForwardCurveNames(FloatingRateName forwardName)
```
    Finds the forward curve names for the specified floating rate name.
    If the curve name is not found, optional empty is returned.
    
    Parameters:
    
    forwardName - the floating rate name to find a forward curve name for
    
    Returns:
    
    the set of curve names
  - findEntry
```
public Optional<RatesCurveGroupEntry> findEntry(CurveName curveName)
```
    Finds the entry for the curve with the specified name.
    If the curve is not found, optional empty is returned.
    
    Parameters:
    
    curveName - the name of the curve
    
    Returns:
    
    the entry for the curve with the specified name
  - findCurveDefinition
```
public Optional<CurveDefinition> findCurveDefinition(CurveName curveName)
```
    Finds the definition for the curve with the specified name.
    If the curve is not found, optional empty is returned.
    
    Parameters:
    
    curveName - the name of the curve
    
    Returns:
    
    the definition for the curve with the specified name
  - metadata
```
public ImmutableList<CurveMetadata> metadata(LocalDate valuationDate,
                                             ReferenceData refData)
```
    Creates the curve metadata for each definition.
    This method returns a list of metadata, one for each curve definition.
    
    Parameters:
    
    valuationDate - the valuation date
    
    refData - the reference data
    
    Returns:
    
    the metadata
  - getTotalParameterCount
```
public int getTotalParameterCount()
```
    Gets the total number of parameters in the group.
    This returns the total number of parameters in the group, which equals the number of nodes. The result of resolvedTrades(MarketData, ReferenceData), and initialGuesses(MarketData) will be of this size.
    
    Returns:
    
    the number of parameters
  - resolvedTrades
```
public ImmutableList<ResolvedTrade> resolvedTrades(MarketData marketData,
                                                   ReferenceData refData)
```
    Creates a list of trades representing the instrument at each node.
    This uses the observed market data to build the trade that each node represents. The result combines the list of trades from each curve in order. Each trade is created with a quantity of 1. The valuation date is defined by the market data.
    
    Parameters:
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    refData - the reference data, used to resolve the trades
    
    Returns:
    
    the list of all trades
  - initialGuesses
```
public ImmutableList<Double> initialGuesses(MarketData marketData)
```
    Gets the list of all initial guesses.
    This returns a list that combines the list of initial guesses from each curve in order. The valuation date is defined by the market data.
    
    Parameters:
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    Returns:
    
    the list of all initial guesses
  - withCurveDefinitions
```
public RatesCurveGroupDefinition withCurveDefinitions(List<CurveDefinition> curveDefinitions)
```
    Returns a copy of this object containing the specified curve definitions.
    Curves are ignored if there is no entry in this definition with the same curve name.
    
    Parameters:
    
    curveDefinitions - curve definitions
    
    Returns:
    
    a copy of this object containing the specified curve definitions
  - withSeasonalityDefinitions
```
public RatesCurveGroupDefinition withSeasonalityDefinitions(Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)
```
    Returns a copy of this object containing the specified seasonality definitions.
    Seasonality definitions are ignored if there is no entry in this definition with the same curve name.
    
    Parameters:
    
    seasonalityDefinitions - seasonality definitions
    
    Returns:
    
    a copy of this object containing the specified seasonality definitions
  - withName
```
public RatesCurveGroupDefinition withName(CurveGroupName name)
```
    Returns a copy of this definition with a different name.
    
    Parameters:
    
    name - the name of the new curve group definition
    
    Returns:
    
    a copy of this curve group definition with a different name
  - combinedWith
```
public RatesCurveGroupDefinition combinedWith(RatesCurveGroupDefinition other)
```
    Combines this definition with another one.
    This combines the curve definitions, curve entries and seasonality with those from the other definition. An exception is thrown if unable to merge, such as if the curve definitions clash. The group name will be taken from this definition only. The seasonality will be taken from this definition only if there is a clash. The boolean flags will be combined using logical OR.
    
    Parameters:
    
    other - the other definition
    
    Returns:
    
    the combined curve group definition
    
    Throws:
    
    IllegalArgumentException - if unable to merge
  - toBuilder
```
public RatesCurveGroupDefinitionBuilder toBuilder()
```
    Converts to builder.
    
    Returns:
    
    the builder
  - meta
```
public static RatesCurveGroupDefinition.Meta meta()
```
    The meta-bean for RatesCurveGroupDefinition.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public RatesCurveGroupDefinition.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getName
```
public CurveGroupName getName()
```
    Gets the name of the curve group.
    
    Specified by:
    
    getName in interface CurveGroupDefinition
    
    Returns:
    
    the value of the property, not null
  - getEntries
```
public ImmutableList<RatesCurveGroupEntry> getEntries()
```
    Gets the configuration for building the curves in the group.
    
    Returns:
    
    the value of the property, not null
  - getCurveDefinitions
```
public ImmutableList<CurveDefinition> getCurveDefinitions()
```
    Gets definitions which specify how the curves are calibrated.
    Curve definitions are required for curves that need to be calibrated. A definition is not necessary if the curve is not built by the Strata curve calibrator.
    
    Returns:
    
    the value of the property, not null
  - getSeasonalityDefinitions
```
public ImmutableMap<CurveName,SeasonalityDefinition> getSeasonalityDefinitions()
```
    Gets definitions which specify which seasonality should be used for some price index curves.
    If a curve linked to a price index does not have an entry in the map, no seasonality is used for that curve.
    
    Returns:
    
    the value of the property, not null
  - isComputeJacobian
```
public boolean isComputeJacobian()
```
    Gets the flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
    
    Returns:
    
    the value of the property
  - isComputePvSensitivityToMarketQuote
```
public boolean isComputePvSensitivityToMarketQuote()
```
    Gets the flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not.
    
    Returns:
    
    the value of the property
  - 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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class RatesCurveGroupDefinition

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

builder

of

of

createGroupId

filtered

bindTimeSeries

findDiscountCurveName

findForwardCurveName

findForwardCurveNames

findEntry

findCurveDefinition

metadata

getTotalParameterCount

resolvedTrades

initialGuesses

withCurveDefinitions

withSeasonalityDefinitions

withName

combinedWith

toBuilder

meta

metaBean

getName

getEntries

getCurveDefinitions

getSeasonalityDefinitions

isComputeJacobian

isComputePvSensitivityToMarketQuote

equals

hashCode

toString