Handle observable source when creating lookups

modules/measure/src/main/java/com/opengamma/strata/measure/rate/DefaultRatesMarketDataLookup.java

@@ -10,6 +10,7 @@
 
 import java.io.Serializable;
 import java.lang.invoke.MethodHandles;
+import java.util.Collection;
 import java.util.Map;
 import java.util.Set;
 
@@ -18,6 +19,7 @@
 import org.joda.beans.MetaBean;
 import org.joda.beans.TypedMetaBean;
 import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableValidator;
 import org.joda.beans.gen.PropertyDefinition;
 import org.joda.beans.impl.light.LightMetaBean;
 
@@ -195,6 +197,27 @@ String msgIndexNotFound(Index index) {
     return Messages.format("Rates lookup has no forward curve defined for index '{}'", index);
   }
 
+  @ImmutableValidator
+  private void validate() {
+    validateObservableSource(forwardCurves.values());
+    validateObservableSource(discountCurves.values());
+  }
+
+  /**
+   * Checks that the observable source in this instance matches the source in the IDs.
+   */
+  private void validateObservableSource(Collection<CurveId> curveIds) {
+    for (CurveId curveId : curveIds) {
+      if (!curveId.getObservableSource().equals(observableSource)) {
+        throw new IllegalArgumentException(
+            Messages.format(
+                "The observable source '{}' must match the observable source in all curve IDs but found {}",
+                observableSource,
+                curveId));
+      }
+    }
+  }
+
   //------------------------- AUTOGENERATED START -------------------------
   /**
    * The meta-bean for {@code DefaultRatesMarketDataLookup}.
@@ -244,6 +267,7 @@ private DefaultRatesMarketDataLookup(
     this.forwardCurves = ImmutableMap.copyOf(forwardCurves);
     this.observableSource = observableSource;
     this.fxRateLookup = fxRateLookup;
+    validate();
   }
 
   @Override

modules/measure/src/main/java/com/opengamma/strata/measure/rate/RatesMarketDataLookup.java

@@ -165,15 +165,16 @@ public static RatesMarketDataLookup of(RatesCurveGroupDefinition curveGroupDefin
    * @param fxLookup  the lookup used to obtain FX rates
    * @return the rates lookup based on the specified group
    */
-  public static RatesMarketDataLookup of(RatesCurveGroupDefinition curveGroupDefinition,
+  public static RatesMarketDataLookup of(
+      RatesCurveGroupDefinition curveGroupDefinition,
       ObservableSource observableSource,
       FxRateLookup fxLookup) {
 
     CurveGroupName groupName = curveGroupDefinition.getName();
     Map<Currency, CurveId> discountCurves = new HashMap<>();
     Map<Index, CurveId> forwardCurves = new HashMap<>();
     for (RatesCurveGroupEntry entry : curveGroupDefinition.getEntries()) {
-      CurveId curveId = CurveId.of(groupName, entry.getCurveName());
+      CurveId curveId = CurveId.of(groupName, entry.getCurveName(), observableSource);
       entry.getDiscountCurrencies().forEach(ccy -> discountCurves.put(ccy, curveId));
       entry.getIndices().forEach(idx -> forwardCurves.put(idx, curveId));
     }

modules/measure/src/test/java/com/opengamma/strata/measure/rate/DefaultRatesMarketDataLookupTest.java

@@ -0,0 +1,58 @@
+/*
+ * Copyright (C) 2019 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.measure.rate;
+
+import static org.assertj.core.api.Assertions.assertThatIllegalArgumentException;
+
+import java.util.Map;
+
+import org.testng.annotations.Test;
+
+import com.google.common.collect.ImmutableMap;
+import com.opengamma.strata.basics.currency.Currency;
+import com.opengamma.strata.basics.index.IborIndex;
+import com.opengamma.strata.basics.index.IborIndices;
+import com.opengamma.strata.calc.runner.FxRateLookup;
+import com.opengamma.strata.data.ObservableSource;
+import com.opengamma.strata.market.curve.CurveGroupName;
+import com.opengamma.strata.market.curve.CurveId;
+import com.opengamma.strata.market.curve.CurveName;
+
+@Test
+public class DefaultRatesMarketDataLookupTest {
+
+  /**
+   * Validates the observable source in the curve IDs match the observable source passed in.
+   */
+  public void validateObservableSourceDiscountCurves() {
+    ObservableSource observableSource = ObservableSource.of("source");
+    CurveId curveId = CurveId.of(CurveGroupName.of("group"), CurveName.of("curves"), observableSource);
+    Map<Currency, CurveId> curveMap = ImmutableMap.of(Currency.USD, curveId);
+    // This should complete successfully
+    DefaultRatesMarketDataLookup.of(curveMap, ImmutableMap.of(), observableSource, FxRateLookup.ofRates());
+    // This should blow up because the source in the IDs doesn't match the source passed to the method
+    assertThatIllegalArgumentException()
+        .isThrownBy(() ->
+            DefaultRatesMarketDataLookup.of(curveMap, ImmutableMap.of(), ObservableSource.NONE, FxRateLookup.ofRates()))
+        .withMessageContaining("must match the observable source in all curve IDs");
+  }
+
+  /**
+   * Validates the observable source in the curve IDs match the observable source passed in.
+   */
+  public void validateObservableSourceForwardCurves() {
+    ObservableSource observableSource = ObservableSource.of("source");
+    CurveId curveId = CurveId.of(CurveGroupName.of("group"), CurveName.of("curves"), observableSource);
+    Map<IborIndex, CurveId> curveMap = ImmutableMap.of(IborIndices.AUD_BBSW_1M, curveId);
+    // This should complete successfully
+    DefaultRatesMarketDataLookup.of(ImmutableMap.of(), curveMap, observableSource, FxRateLookup.ofRates());
+    // This should blow up because the source in the IDs doesn't match the source passed to the method
+    assertThatIllegalArgumentException()
+        .isThrownBy(() ->
+            DefaultRatesMarketDataLookup.of(ImmutableMap.of(), curveMap, ObservableSource.NONE, FxRateLookup.ofRates()))
+        .withMessageContaining("must match the observable source in all curve IDs");
+  }
+}

modules/measure/src/test/java/com/opengamma/strata/measure/rate/RatesMarketDataLookupTest.java

@@ -25,13 +25,15 @@
 import static org.testng.Assert.assertEquals;
 
 import java.time.LocalDate;
+import java.util.List;
 import java.util.Map;
 import java.util.Optional;
 
 import org.joda.beans.ImmutableBean;
 import org.joda.beans.ser.JodaBeanSer;
 import org.testng.annotations.Test;
 
+import com.google.common.collect.ImmutableList;
 import com.google.common.collect.ImmutableMap;
 import com.google.common.collect.ImmutableSet;
 import com.opengamma.strata.basics.currency.Currency;
@@ -53,10 +55,13 @@
 import com.opengamma.strata.data.scenario.ScenarioMarketData;
 import com.opengamma.strata.market.curve.ConstantCurve;
 import com.opengamma.strata.market.curve.Curve;
+import com.opengamma.strata.market.curve.CurveGroupName;
 import com.opengamma.strata.market.curve.CurveId;
 import com.opengamma.strata.market.curve.CurveName;
 import com.opengamma.strata.market.curve.Curves;
 import com.opengamma.strata.market.curve.RatesCurveGroup;
+import com.opengamma.strata.market.curve.RatesCurveGroupDefinition;
+import com.opengamma.strata.market.curve.RatesCurveGroupEntry;
 import com.opengamma.strata.market.observable.IndexQuoteId;
 import com.opengamma.strata.measure.curve.TestMarketDataMap;
 import com.opengamma.strata.pricer.SimpleDiscountFactors;
@@ -146,6 +151,35 @@ public void test_of_curveGroup() {
     assertThrowsIllegalArg(() -> test.getForwardMarketDataIds(GBP_LIBOR_3M));
   }
 
+  public void test_of_curveGroupDefinition_and_observableSource() {
+    RatesCurveGroupEntry entry1 = RatesCurveGroupEntry.builder()
+        .curveName(CURVE_ID_DSC.getCurveName())
+        .discountCurrencies(USD)
+        .build();
+
+    RatesCurveGroupEntry entry2 = RatesCurveGroupEntry.builder()
+        .curveName(CURVE_ID_FWD.getCurveName())
+        .indices(USD_LIBOR_3M)
+        .build();
+
+    List<RatesCurveGroupEntry> entries = ImmutableList.of(entry1, entry2);
+    CurveGroupName groupName = CURVE_ID_DSC.getCurveGroupName();
+    RatesCurveGroupDefinition groupDefinition = RatesCurveGroupDefinition.of(groupName, entries, ImmutableList.of());
+
+    // The lookup should contain curve IDs with the non-default ObservableSource
+    CurveId dscId = CurveId.of(CURVE_ID_DSC.getCurveGroupName(), CURVE_ID_DSC.getCurveName(), OBS_SOURCE);
+    CurveId fwdId = CurveId.of(CURVE_ID_FWD.getCurveGroupName(), CURVE_ID_FWD.getCurveName(), OBS_SOURCE);
+
+    RatesMarketDataLookup test = RatesMarketDataLookup.of(groupDefinition, OBS_SOURCE, FxRateLookup.ofRates());
+    assertEquals(test.queryType(), RatesMarketDataLookup.class);
+    assertEquals(test.getDiscountCurrencies(), ImmutableSet.of(USD));
+    assertEquals(test.getDiscountMarketDataIds(USD), ImmutableSet.of(dscId));
+    assertEquals(test.getForwardIndices(), ImmutableSet.of(USD_LIBOR_3M));
+    assertEquals(test.getForwardMarketDataIds(USD_LIBOR_3M), ImmutableSet.of(fwdId));
+    assertThrowsIllegalArg(() -> test.getDiscountMarketDataIds(GBP));
+    assertThrowsIllegalArg(() -> test.getForwardMarketDataIds(GBP_LIBOR_3M));
+  }
+
   //-------------------------------------------------------------------------
   public void test_marketDataView() {
     ImmutableMap<Currency, CurveId> discounts = ImmutableMap.of(USD, CURVE_ID_DSC);
@@ -243,7 +277,7 @@ public void coverage() {
     ImmutableMap<Currency, CurveId> discounts2 = ImmutableMap.of(GBP, CURVE_ID_DSC);
     ImmutableMap<Index, CurveId> forwards2 = ImmutableMap.of(GBP_LIBOR_3M, CURVE_ID_FWD);
     DefaultRatesMarketDataLookup test2 =
-        DefaultRatesMarketDataLookup.of(discounts2, forwards2, OBS_SOURCE, FxRateLookup.ofRates(EUR));
+        DefaultRatesMarketDataLookup.of(discounts2, forwards2, ObservableSource.NONE, FxRateLookup.ofRates(EUR));
     coverBeanEquals(test, test2);
 
     // related coverage