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Add LegalEntityId #1762

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Jul 6, 2018
Merged

Add LegalEntityId #1762

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4 changes: 2 additions & 2 deletions ...in/java/com/opengamma/strata/measure/bond/CapitalIndexedBondTradeCalculationFunction.java
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Original file line number Diff line number Diff line change
Expand Up @@ -14,7 +14,6 @@
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.calc.Measure;
import com.opengamma.strata.calc.runner.CalculationFunction;
Expand All @@ -27,6 +26,7 @@
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecuritizedProductPortfolioItem;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.bond.CapitalIndexedBond;
Expand Down Expand Up @@ -132,7 +132,7 @@ public FunctionRequirements requirements(
CapitalIndexedBond product = target.getProduct();
Currency currency = product.getCurrency();
SecurityId securityId = product.getSecurityId();
StandardId legalEntityId = product.getLegalEntityId();
LegalEntityId legalEntityId = product.getLegalEntityId();

// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
Expand Down
79 changes: 55 additions & 24 deletions ...java/com/opengamma/strata/measure/bond/DefaultLegalEntityDiscountingMarketDataLookup.java
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Original file line number Diff line number Diff line change
Expand Up @@ -25,7 +25,6 @@
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.runner.CalculationParameter;
Expand All @@ -41,6 +40,7 @@
import com.opengamma.strata.market.curve.LegalEntityGroup;
import com.opengamma.strata.market.curve.RepoGroup;
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecurityId;

/**
Expand All @@ -57,27 +57,35 @@ final class DefaultLegalEntityDiscountingMarketDataLookup
implements LegalEntityDiscountingMarketDataLookup, ImmutableBean, Serializable {

/**
* The groups used to find a repo curve.
* The groups used to find a repo curve by security.
* <p>
* This maps either the security ID or the legal entity ID to a group.
* This maps the security ID to a group.
* The group is used to find the curve in {@code repoCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<StandardId, RepoGroup> repoCurveGroups;
private final ImmutableMap<SecurityId, RepoGroup> repoCurveSecurityGroups;
/**
* The groups used to find a repo curve by legal entity.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<LegalEntityId, RepoGroup> repoCurveGroups;
/**
* The repo curves, keyed by group and currency.
* The curve data, predicting the future, associated with each repo group and currency.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<Pair<RepoGroup, Currency>, CurveId> repoCurves;
/**
* The groups used to find an issuer curve.
* The groups used to find an issuer curve by legal entity.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
*/
@PropertyDefinition(validate = "notNull")
private final ImmutableMap<StandardId, LegalEntityGroup> issuerCurveGroups;
private final ImmutableMap<LegalEntityId, LegalEntityGroup> issuerCurveGroups;
/**
* The issuer curves, keyed by group and currency.
* The curve data, predicting the future, associated with each legal entity group and currency.
Expand All @@ -98,22 +106,24 @@ final class DefaultLegalEntityDiscountingMarketDataLookup
* The first part maps the issuer ID to a group, and the second part maps the
* group and currency to the identifier of the curve.
*
* @param repoCurveGroups the repo curve groups, mapping security or issuer ID to group
* @param repoCurveSecurityGroups the per security repo curve group overrides, mapping security ID to group
* @param repoCurveGroups the repo curve groups, mapping issuer ID to group
* @param repoCurveIds the repo curve identifiers, keyed by security ID or issuer ID and currency
* @param issuerCurveGroups the issuer curve groups, mapping issuer ID to group
* @param issuerCurveIds the issuer curves identifiers, keyed by issuer ID and currency
* @param obsSource the source of market data for quotes and other observable market data
* @return the rates lookup containing the specified curves
*/
public static <T extends NamedMarketDataId<Curve>> DefaultLegalEntityDiscountingMarketDataLookup of(
Map<StandardId, RepoGroup> repoCurveGroups,
Map<SecurityId, RepoGroup> repoCurveSecurityGroups,
Map<LegalEntityId, RepoGroup> repoCurveGroups,
Map<Pair<RepoGroup, Currency>, CurveId> repoCurveIds,
Map<StandardId, LegalEntityGroup> issuerCurveGroups,
Map<LegalEntityId, LegalEntityGroup> issuerCurveGroups,
Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurveIds,
ObservableSource obsSource) {

return new DefaultLegalEntityDiscountingMarketDataLookup(
repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource);
repoCurveSecurityGroups, repoCurveGroups, repoCurveIds, issuerCurveGroups, issuerCurveIds, obsSource);
}

/**
Expand All @@ -131,17 +141,18 @@ public static <T extends NamedMarketDataId<Curve>> DefaultLegalEntityDiscounting
* @return the rates lookup containing the specified curves
*/
public static DefaultLegalEntityDiscountingMarketDataLookup of(
Map<StandardId, RepoGroup> repoCurveGroups,
Map<LegalEntityId, RepoGroup> repoCurveGroups,
Map<Pair<RepoGroup, Currency>, CurveId> repoCurveIds,
ObservableSource obsSource) {

return new DefaultLegalEntityDiscountingMarketDataLookup(
repoCurveGroups, repoCurveIds, ImmutableMap.of(), ImmutableMap.of(), obsSource);
ImmutableMap.of(), repoCurveGroups, repoCurveIds, ImmutableMap.of(), ImmutableMap.of(), obsSource);
}

@ImmutableValidator
private void validate() {
Set<RepoGroup> uniqueRepoGroups = new HashSet<>(repoCurveGroups.values());
uniqueRepoGroups.addAll(repoCurveSecurityGroups.values());
Set<RepoGroup> uniqueRepoCurves = repoCurves.keySet().stream().map(p -> p.getFirst()).collect(toImmutableSet());
if (!uniqueRepoCurves.containsAll(uniqueRepoGroups)) {
throw new IllegalArgumentException(
Expand All @@ -159,9 +170,9 @@ private void validate() {

//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(SecurityId securityId, StandardId issuerId, Currency currency) {
public FunctionRequirements requirements(SecurityId securityId, LegalEntityId issuerId, Currency currency) {
// repo
RepoGroup repoKey = repoCurveGroups.get(securityId.getStandardId());
RepoGroup repoKey = repoCurveSecurityGroups.get(securityId);
if (repoKey == null) {
repoKey = repoCurveGroups.get(issuerId);
}
Expand Down Expand Up @@ -194,7 +205,7 @@ public FunctionRequirements requirements(SecurityId securityId, StandardId issue
}

@Override
public FunctionRequirements requirements(StandardId issuerId, Currency currency) {
public FunctionRequirements requirements(LegalEntityId issuerId, Currency currency) {
// repo
RepoGroup repoKey = repoCurveGroups.get(issuerId);
if (repoKey == null) {
Expand Down Expand Up @@ -229,6 +240,7 @@ public LegalEntityDiscountingProvider discountingProvider(MarketData marketData)
DefaultLegalEntityDiscountingMarketDataLookup.class,
MethodHandles.lookup(),
new String[] {
"repoCurveSecurityGroups",
"repoCurveGroups",
"repoCurves",
"issuerCurveGroups",
Expand All @@ -238,6 +250,7 @@ public LegalEntityDiscountingProvider discountingProvider(MarketData marketData)
ImmutableMap.of(),
ImmutableMap.of(),
ImmutableMap.of(),
ImmutableMap.of(),
null);

/**
Expand All @@ -258,16 +271,19 @@ public static TypedMetaBean<DefaultLegalEntityDiscountingMarketDataLookup> meta(
private static final long serialVersionUID = 1L;

private DefaultLegalEntityDiscountingMarketDataLookup(
Map<StandardId, RepoGroup> repoCurveGroups,
Map<SecurityId, RepoGroup> repoCurveSecurityGroups,
Map<LegalEntityId, RepoGroup> repoCurveGroups,
Map<Pair<RepoGroup, Currency>, CurveId> repoCurves,
Map<StandardId, LegalEntityGroup> issuerCurveGroups,
Map<LegalEntityId, LegalEntityGroup> issuerCurveGroups,
Map<Pair<LegalEntityGroup, Currency>, CurveId> issuerCurves,
ObservableSource observableSource) {
JodaBeanUtils.notNull(repoCurveSecurityGroups, "repoCurveSecurityGroups");
JodaBeanUtils.notNull(repoCurveGroups, "repoCurveGroups");
JodaBeanUtils.notNull(repoCurves, "repoCurves");
JodaBeanUtils.notNull(issuerCurveGroups, "issuerCurveGroups");
JodaBeanUtils.notNull(issuerCurves, "issuerCurves");
JodaBeanUtils.notNull(observableSource, "observableSource");
this.repoCurveSecurityGroups = ImmutableMap.copyOf(repoCurveSecurityGroups);
this.repoCurveGroups = ImmutableMap.copyOf(repoCurveGroups);
this.repoCurves = ImmutableMap.copyOf(repoCurves);
this.issuerCurveGroups = ImmutableMap.copyOf(issuerCurveGroups);
Expand All @@ -283,13 +299,25 @@ public TypedMetaBean<DefaultLegalEntityDiscountingMarketDataLookup> metaBean() {

//-----------------------------------------------------------------------
/**
* Gets the groups used to find a repo curve.
* Gets the groups used to find a repo curve by security.
* <p>
* This maps either the security ID or the legal entity ID to a group.
* This maps the security ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @return the value of the property, not null
*/
public ImmutableMap<SecurityId, RepoGroup> getRepoCurveSecurityGroups() {
return repoCurveSecurityGroups;
}

//-----------------------------------------------------------------------
/**
* Gets the groups used to find a repo curve by legal entity.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code repoCurves}.
* @return the value of the property, not null
*/
public ImmutableMap<StandardId, RepoGroup> getRepoCurveGroups() {
public ImmutableMap<LegalEntityId, RepoGroup> getRepoCurveGroups() {
return repoCurveGroups;
}

Expand All @@ -305,13 +333,13 @@ public ImmutableMap<Pair<RepoGroup, Currency>, CurveId> getRepoCurves() {

//-----------------------------------------------------------------------
/**
* Gets the groups used to find an issuer curve.
* Gets the groups used to find an issuer curve by legal entity.
* <p>
* This maps the legal entity ID to a group.
* The group is used to find the curve in {@code issuerCurves}.
* @return the value of the property, not null
*/
public ImmutableMap<StandardId, LegalEntityGroup> getIssuerCurveGroups() {
public ImmutableMap<LegalEntityId, LegalEntityGroup> getIssuerCurveGroups() {
return issuerCurveGroups;
}

Expand Down Expand Up @@ -342,7 +370,8 @@ public boolean equals(Object obj) {
}
if (obj != null && obj.getClass() == this.getClass()) {
DefaultLegalEntityDiscountingMarketDataLookup other = (DefaultLegalEntityDiscountingMarketDataLookup) obj;
return JodaBeanUtils.equal(repoCurveGroups, other.repoCurveGroups) &&
return JodaBeanUtils.equal(repoCurveSecurityGroups, other.repoCurveSecurityGroups) &&
JodaBeanUtils.equal(repoCurveGroups, other.repoCurveGroups) &&
JodaBeanUtils.equal(repoCurves, other.repoCurves) &&
JodaBeanUtils.equal(issuerCurveGroups, other.issuerCurveGroups) &&
JodaBeanUtils.equal(issuerCurves, other.issuerCurves) &&
Expand All @@ -354,6 +383,7 @@ public boolean equals(Object obj) {
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveSecurityGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurveGroups);
hash = hash * 31 + JodaBeanUtils.hashCode(repoCurves);
hash = hash * 31 + JodaBeanUtils.hashCode(issuerCurveGroups);
Expand All @@ -364,8 +394,9 @@ public int hashCode() {

@Override
public String toString() {
StringBuilder buf = new StringBuilder(192);
StringBuilder buf = new StringBuilder(224);
buf.append("DefaultLegalEntityDiscountingMarketDataLookup{");
buf.append("repoCurveSecurityGroups").append('=').append(repoCurveSecurityGroups).append(',').append(' ');
buf.append("repoCurveGroups").append('=').append(repoCurveGroups).append(',').append(' ');
buf.append("repoCurves").append('=').append(repoCurves).append(',').append(' ');
buf.append("issuerCurveGroups").append('=').append(issuerCurveGroups).append(',').append(' ');
Expand Down
11 changes: 6 additions & 5 deletions ...n/java/com/opengamma/strata/measure/bond/DefaultLookupLegalEntityDiscountingProvider.java
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Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,6 @@
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.light.LightMetaBean;

import com.opengamma.strata.basics.StandardId;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.tuple.Pair;
Expand All @@ -44,6 +43,7 @@
import com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider;
import com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors;
import com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity;
import com.opengamma.strata.product.LegalEntityId;
import com.opengamma.strata.product.SecurityId;

/**
Expand Down Expand Up @@ -101,8 +101,8 @@ public LocalDate getValuationDate() {

//-------------------------------------------------------------------------
@Override
public RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId, StandardId issuerId, Currency currency) {
RepoGroup repoGroup = lookup.getRepoCurveGroups().get(securityId.getStandardId());
public RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId, LegalEntityId issuerId, Currency currency) {
RepoGroup repoGroup = lookup.getRepoCurveSecurityGroups().get(securityId);
if (repoGroup == null) {
repoGroup = lookup.getRepoCurveGroups().get(issuerId);
if (repoGroup == null) {
Expand All @@ -113,7 +113,7 @@ public RepoCurveDiscountFactors repoCurveDiscountFactors(SecurityId securityId,
}

@Override
public RepoCurveDiscountFactors repoCurveDiscountFactors(StandardId issuerId, Currency currency) {
public RepoCurveDiscountFactors repoCurveDiscountFactors(LegalEntityId issuerId, Currency currency) {
RepoGroup repoGroup = lookup.getRepoCurveGroups().get(issuerId);
if (repoGroup == null) {
throw new MarketDataNotFoundException("Unable to find repo curve mapping for ID: " + issuerId);
Expand All @@ -134,7 +134,7 @@ private RepoCurveDiscountFactors repoCurveDiscountFactors(RepoGroup repoGroup, C

//-------------------------------------------------------------------------
@Override
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(StandardId issuerId, Currency currency) {
public IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityId issuerId, Currency currency) {
LegalEntityGroup legalEntityGroup = lookup.getIssuerCurveGroups().get(issuerId);
if (legalEntityGroup == null) {
throw new MarketDataNotFoundException("Unable to find issuer curve mapping for ID: " + issuerId);
Expand Down Expand Up @@ -208,6 +208,7 @@ public ImmutableLegalEntityDiscountingProvider toImmutableLegalEntityDiscounting
// build result
return ImmutableLegalEntityDiscountingProvider.builder()
.valuationDate(getValuationDate())
.repoCurveSecurityGroups(lookup.getRepoCurveSecurityGroups())
.repoCurveGroups(lookup.getRepoCurveGroups())
.repoCurves(repoCurves)
.issuerCurveGroups(lookup.getIssuerCurveGroups())
Expand Down
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