// -------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(
BulletPaymentTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ReferenceData refData) {
// extract data from product
BulletPayment product = trade.getProduct();
Currency currency = product.getCurrency();
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
return ratesLookup.requirements(currency);
}
// -------------------------------------------------------------------------
@Override
public Map<Measure, Result<?>> calculate(
BulletPaymentTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ScenarioMarketData scenarioMarketData,
ReferenceData refData) {
// resolve the trade once for all measures and all scenarios
ResolvedBulletPaymentTrade resolved = trade.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
RatesScenarioMarketData marketData = ratesLookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
Map<Measure, Result<?>> results = new HashMap<>();
for (Measure measure : measures) {
results.put(measure, calculate(measure, resolved, marketData));
}
return results;
}