Create overnight future option market data and lookup in strata (#2577)

* Created OvernightFutureOptionVolatilitiesId

* Created  overnight variants of index market data classes

* checkstyle fix

---------

Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com>

modules/measure/src/main/java/com/opengamma/strata/measure/index/DefaultOvernightFutureOptionMarketData.java

@@ -0,0 +1,171 @@
+/*
+ * Copyright (C) 2023 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.measure.index;
+
+import java.io.Serializable;
+import java.lang.invoke.MethodHandles;
+
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.TypedMetaBean;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableConstructor;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.light.LightMetaBean;
+
+import com.opengamma.strata.basics.index.OvernightIndex;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.data.MarketData;
+import com.opengamma.strata.pricer.index.OvernightFutureOptionVolatilities;
+
+/**
+ * The default market data for Overnight future options.
+ * <p>
+ * This uses a {@link OvernightFutureOptionMarketDataLookup} to provide a view on {@link MarketData}.
+ */
+@BeanDefinition(style = "light")
+final class DefaultOvernightFutureOptionMarketData implements OvernightFutureOptionMarketData, ImmutableBean, Serializable {
+
+  /**
+   * The lookup.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final OvernightFutureOptionMarketDataLookup lookup;
+  /**
+   * The market data.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final MarketData marketData;
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance based on a lookup and market data.
+   * <p>
+   * The lookup knows how to obtain the volatilities from the market data.
+   * This might involve accessing a surface or a cube.
+   *
+   * @param lookup  the lookup
+   * @param marketData  the market data
+   * @return the rates market view
+   */
+  public static DefaultOvernightFutureOptionMarketData of(
+      OvernightFutureOptionMarketDataLookup lookup,
+      MarketData marketData) {
+
+    return new DefaultOvernightFutureOptionMarketData(lookup, marketData);
+  }
+
+  @ImmutableConstructor
+  private DefaultOvernightFutureOptionMarketData(
+      OvernightFutureOptionMarketDataLookup lookup,
+      MarketData marketData) {
+
+    this.lookup = ArgChecker.notNull(lookup, "lookup");
+    this.marketData = ArgChecker.notNull(marketData, "marketData");
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public OvernightFutureOptionMarketData withMarketData(MarketData marketData) {
+    return DefaultOvernightFutureOptionMarketData.of(lookup, marketData);
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public OvernightFutureOptionVolatilities volatilities(OvernightIndex index) {
+    return lookup.volatilities(index, marketData);
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code DefaultOvernightFutureOptionMarketData}.
+   */
+  private static final TypedMetaBean<DefaultOvernightFutureOptionMarketData> META_BEAN =
+      LightMetaBean.of(
+          DefaultOvernightFutureOptionMarketData.class,
+          MethodHandles.lookup(),
+          new String[] {
+              "lookup",
+              "marketData"},
+          new Object[0]);
+
+  /**
+   * The meta-bean for {@code DefaultOvernightFutureOptionMarketData}.
+   * @return the meta-bean, not null
+   */
+  public static TypedMetaBean<DefaultOvernightFutureOptionMarketData> meta() {
+    return META_BEAN;
+  }
+
+  static {
+    MetaBean.register(META_BEAN);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  @Override
+  public TypedMetaBean<DefaultOvernightFutureOptionMarketData> metaBean() {
+    return META_BEAN;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the lookup.
+   * @return the value of the property, not null
+   */
+  @Override
+  public OvernightFutureOptionMarketDataLookup getLookup() {
+    return lookup;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the market data.
+   * @return the value of the property, not null
+   */
+  @Override
+  public MarketData getMarketData() {
+    return marketData;
+  }
+
+  //-----------------------------------------------------------------------
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      DefaultOvernightFutureOptionMarketData other = (DefaultOvernightFutureOptionMarketData) obj;
+      return JodaBeanUtils.equal(lookup, other.lookup) &&
+          JodaBeanUtils.equal(marketData, other.marketData);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(lookup);
+    hash = hash * 31 + JodaBeanUtils.hashCode(marketData);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(96);
+    buf.append("DefaultOvernightFutureOptionMarketData{");
+    buf.append("lookup").append('=').append(JodaBeanUtils.toString(lookup)).append(',').append(' ');
+    buf.append("marketData").append('=').append(JodaBeanUtils.toString(marketData));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}

modules/measure/src/main/java/com/opengamma/strata/measure/index/DefaultOvernightFutureOptionMarketDataLookup.java

@@ -0,0 +1,203 @@
+/*
+ * Copyright (C) 2023 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.measure.index;
+
+import java.io.Serializable;
+import java.lang.invoke.MethodHandles;
+import java.util.HashSet;
+import java.util.Map;
+import java.util.Set;
+
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.TypedMetaBean;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.light.LightMetaBean;
+
+import com.google.common.collect.ImmutableMap;
+import com.google.common.collect.ImmutableSet;
+import com.opengamma.strata.basics.index.Index;
+import com.opengamma.strata.basics.index.OvernightIndex;
+import com.opengamma.strata.calc.CalculationRules;
+import com.opengamma.strata.calc.runner.CalculationParameter;
+import com.opengamma.strata.calc.runner.FunctionRequirements;
+import com.opengamma.strata.collect.Messages;
+import com.opengamma.strata.data.MarketData;
+import com.opengamma.strata.data.MarketDataId;
+import com.opengamma.strata.data.MarketDataNotFoundException;
+import com.opengamma.strata.data.scenario.ScenarioMarketData;
+import com.opengamma.strata.pricer.index.OvernightFutureOptionVolatilities;
+import com.opengamma.strata.pricer.index.OvernightFutureOptionVolatilitiesId;
+
+/**
+ * The Overnight future option lookup, used to select volatilities for pricing.
+ * <p>
+ * This provides Overnight future option volatilities by index.
+ * <p>
+ * The lookup implements {@link CalculationParameter} and is used by passing it
+ * as an argument to {@link CalculationRules}. It provides the link between the
+ * data that the function needs and the data that is available in {@link ScenarioMarketData}.
+ */
+@BeanDefinition(style = "light")
+final class DefaultOvernightFutureOptionMarketDataLookup
+    implements OvernightFutureOptionMarketDataLookup, ImmutableBean, Serializable {
+
+  /**
+   * The volatility identifiers, keyed by index.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final ImmutableMap<OvernightIndex, OvernightFutureOptionVolatilitiesId> volatilityIds;
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance based on a single mapping from index to volatility identifier.
+   * <p>
+   * The lookup provides volatilities for the specified index.
+   *
+   * @param index  the Overnight index
+   * @param volatilityId  the volatility identifier
+   * @return the Overnight future option lookup containing the specified mapping
+   */
+  public static DefaultOvernightFutureOptionMarketDataLookup of(OvernightIndex index, OvernightFutureOptionVolatilitiesId volatilityId) {
+    return new DefaultOvernightFutureOptionMarketDataLookup(ImmutableMap.of(index, volatilityId));
+  }
+
+  /**
+   * Obtains an instance based on a map of volatility identifiers.
+   * <p>
+   * The map is used to specify the appropriate volatilities to use for each index.
+   *
+   * @param volatilityIds  the volatility identifiers, keyed by index
+   * @return the Overnight future option lookup containing the specified volatilities
+   */
+  public static DefaultOvernightFutureOptionMarketDataLookup of(Map<OvernightIndex, OvernightFutureOptionVolatilitiesId> volatilityIds) {
+    return new DefaultOvernightFutureOptionMarketDataLookup(volatilityIds);
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public ImmutableSet<OvernightIndex> getVolatilityIndices() {
+    return volatilityIds.keySet();
+  }
+
+  @Override
+  public ImmutableSet<MarketDataId<?>> getVolatilityIds(OvernightIndex index) {
+    OvernightFutureOptionVolatilitiesId id = volatilityIds.get(index);
+    if (id == null) {
+      throw new IllegalArgumentException(msgIndexNotFound(index));
+    }
+    return ImmutableSet.of(id);
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public FunctionRequirements requirements(Set<OvernightIndex> indices) {
+    Set<OvernightFutureOptionVolatilitiesId> volIds = new HashSet<>();
+    for (Index index : indices) {
+      if (!volatilityIds.keySet().contains(index)) {
+        throw new IllegalArgumentException(msgIndexNotFound(index));
+      }
+      volIds.add(volatilityIds.get(index));
+    }
+    return FunctionRequirements.builder().valueRequirements(volIds).build();
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public OvernightFutureOptionVolatilities volatilities(OvernightIndex index, MarketData marketData) {
+    OvernightFutureOptionVolatilitiesId volatilityId = volatilityIds.get(index);
+    if (volatilityId == null) {
+      throw new MarketDataNotFoundException(msgIndexNotFound(index));
+    }
+    return marketData.getValue(volatilityId);
+  }
+
+  //-------------------------------------------------------------------------
+  private String msgIndexNotFound(Index index) {
+    return Messages.format("OvernightFutureOption lookup has no volatilities defined for index '{}'", index);
+  }
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code DefaultOvernightFutureOptionMarketDataLookup}.
+   */
+  private static final TypedMetaBean<DefaultOvernightFutureOptionMarketDataLookup> META_BEAN =
+      LightMetaBean.of(
+          DefaultOvernightFutureOptionMarketDataLookup.class,
+          MethodHandles.lookup(),
+          new String[] {
+              "volatilityIds"},
+          ImmutableMap.of());
+
+  /**
+   * The meta-bean for {@code DefaultOvernightFutureOptionMarketDataLookup}.
+   * @return the meta-bean, not null
+   */
+  public static TypedMetaBean<DefaultOvernightFutureOptionMarketDataLookup> meta() {
+    return META_BEAN;
+  }
+
+  static {
+    MetaBean.register(META_BEAN);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  private DefaultOvernightFutureOptionMarketDataLookup(
+      Map<OvernightIndex, OvernightFutureOptionVolatilitiesId> volatilityIds) {
+    JodaBeanUtils.notNull(volatilityIds, "volatilityIds");
+    this.volatilityIds = ImmutableMap.copyOf(volatilityIds);
+  }
+
+  @Override
+  public TypedMetaBean<DefaultOvernightFutureOptionMarketDataLookup> metaBean() {
+    return META_BEAN;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the volatility identifiers, keyed by index.
+   * @return the value of the property, not null
+   */
+  public ImmutableMap<OvernightIndex, OvernightFutureOptionVolatilitiesId> getVolatilityIds() {
+    return volatilityIds;
+  }
+
+  //-----------------------------------------------------------------------
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      DefaultOvernightFutureOptionMarketDataLookup other = (DefaultOvernightFutureOptionMarketDataLookup) obj;
+      return JodaBeanUtils.equal(volatilityIds, other.volatilityIds);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(volatilityIds);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(64);
+    buf.append("DefaultOvernightFutureOptionMarketDataLookup{");
+    buf.append("volatilityIds").append('=').append(JodaBeanUtils.toString(volatilityIds));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}