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Provide curve metadata when curve needs no market data #2788

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6 changes: 5 additions & 1 deletion ...re/src/main/java/com/opengamma/strata/measure/rate/RatesCurveGroupMarketDataFunction.java
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,7 @@
import java.util.Map;

import com.google.common.collect.ImmutableList;
import com.google.common.collect.ImmutableMap;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.calc.marketdata.MarketDataConfig;
import com.opengamma.strata.calc.marketdata.MarketDataFunction;
Expand All @@ -29,6 +30,7 @@
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.market.curve.CurveDefinition;
import com.opengamma.strata.market.curve.CurveGroupName;
import com.opengamma.strata.market.curve.DefaultCurveMetadata;
import com.opengamma.strata.market.curve.RatesCurveGroup;
import com.opengamma.strata.market.curve.RatesCurveGroupDefinition;
import com.opengamma.strata.market.curve.RatesCurveGroupId;
Expand Down Expand Up @@ -326,7 +328,9 @@ private MarketDataBox<RatesCurveInputs> curveInputs(
RatesCurveInputsId curveInputsId = RatesCurveInputsId.of(groupName, curveDefn.getName(), obsSource);
return marketData.getValue(curveInputsId);
} else {
return MarketDataBox.ofSingleValue(RatesCurveInputs.builder().build());
// Empty market-data map still requires non-null curve metadata (#2743).
return MarketDataBox.ofSingleValue(
RatesCurveInputs.of(ImmutableMap.of(), DefaultCurveMetadata.of(curveDefn.getName())));
}
}

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35 changes: 35 additions & 0 deletions ...rc/test/java/com/opengamma/strata/measure/rate/RatesCurveGroupMarketDataFunctionTest.java
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Original file line number Diff line number Diff line change
Expand Up @@ -365,6 +365,41 @@ public void duplicateInputDataKeys() {
.withMessageMatching(msg);
}

/**
* Curve definitions with no market-data requirements must not build RatesCurveInputs
* via an empty builder (curveMetadata is required). See #2743.
*/
@Test
public void curveDefinitionWithoutMarketDataNodes() {
CurveGroupName groupName = CurveGroupName.of("Curve Group");
CurveName curveName = CurveName.of("Empty Curve");
InterpolatedNodalCurveDefinition curveDefn = InterpolatedNodalCurveDefinition.builder()
.name(curveName)
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.ZERO_RATE)
.dayCount(ACT_360)
.interpolator(CurveInterpolators.LINEAR)
.extrapolatorLeft(CurveExtrapolators.FLAT)
.extrapolatorRight(CurveExtrapolators.FLAT)
.build();
RatesCurveGroupDefinition groupDefn = RatesCurveGroupDefinition.builder()
.name(groupName)
.addDiscountCurve(curveDefn, Currency.USD)
.build();

RatesCurveGroupMarketDataFunction function = new RatesCurveGroupMarketDataFunction();
LocalDate valuationDate = date(2011, 3, 8);
ScenarioMarketData inputMarketData = ImmutableScenarioMarketData.builder(valuationDate).build();

// Must not fail with "curveMetadata must not be null" when resolving empty inputs.
// Calibration of a zero-node curve may still fail for other reasons.
try {
function.buildCurveGroup(groupDefn, CALIBRATOR, inputMarketData, REF_DATA, ObservableSource.NONE);
} catch (RuntimeException ex) {
assertThat(ex.getMessage()).doesNotContain("curveMetadata");
}
}

//-----------------------------------------------------------------------------------------------------------

private void checkFraPvIsZero(
Expand Down