Class DiscountFxForwardRates

    • Method Detail

      • of

        public static DiscountFxForwardRates of​(CurrencyPair currencyPair,
                                                FxRateProvider fxRateProvider,
                                                DiscountFactors baseCurrencyFactors,
                                                DiscountFactors counterCurrencyFactors)
        Obtains an instance based on two discount factors, one for each currency.

        The instance is based on the discount factors for each currency.

        Parameters:
        currencyPair - the currency pair
        fxRateProvider - the provider of FX rates
        baseCurrencyFactors - the discount factors in the base currency of the index
        counterCurrencyFactors - the discount factors in the counter currency of the index
        Returns:
        the rates instance
      • findData

        public <T> java.util.Optional<T> findData​(MarketDataName<T> name)
        Description copied from interface: MarketDataView
        Finds the market data with the specified name.

        This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

        Specified by:
        findData in interface MarketDataView
        Type Parameters:
        T - the type of the market data value
        Parameters:
        name - the name to find
        Returns:
        the market data value, empty if not found
      • getParameterCount

        public int getParameterCount()
        Description copied from interface: ParameterizedData
        Gets the number of parameters.

        This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

        Specified by:
        getParameterCount in interface ParameterizedData
        Returns:
        the number of parameters
      • getParameter

        public double getParameter​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the value of the parameter at the specified index.
        Specified by:
        getParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the value of the parameter
      • getParameterMetadata

        public ParameterMetadata getParameterMetadata​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the metadata of the parameter at the specified index.

        If there is no specific parameter metadata, an empty instance will be returned.

        Specified by:
        getParameterMetadata in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the metadata of the parameter
      • withParameter

        public DiscountFxForwardRates withParameter​(int parameterIndex,
                                                    double newValue)
        Description copied from interface: ParameterizedData
        Returns a copy of the data with the value at the specified index altered.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withParameter in interface FxForwardRates
        Specified by:
        withParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        newValue - the new value for the specified parameter
        Returns:
        a parameterized data instance based on this with the specified parameter altered
      • withPerturbation

        public DiscountFxForwardRates withPerturbation​(ParameterPerturbation perturbation)
        Description copied from interface: ParameterizedData
        Returns a perturbed copy of the data.

        The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withPerturbation in interface FxForwardRates
        Specified by:
        withPerturbation in interface ParameterizedData
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • rate

        public double rate​(Currency baseCurrency,
                           java.time.LocalDate referenceDate)
        Description copied from interface: FxForwardRates
        Gets the forward rate at the specified payment date.

        The exchange rate of the currency pair varies over time. This method obtains the estimated rate for the payment date.

        This method specifies which of the two currencies in the currency pair is to be treated as the base currency for the purposes of the returned rate. If the specified base currency equals the base currency of the currency pair, then the rate is simply returned. If the specified base currency equals the counter currency of the currency pair, then the inverse rate is returned. As such, an amount in the specified base currency can be directly multiplied by the returned FX rate to perform FX conversion.

        To convert an amount in the specified base currency to the other currency, multiply it by the returned FX rate.

        Specified by:
        rate in interface FxForwardRates
        Parameters:
        baseCurrency - the base currency that the rate should be expressed against
        referenceDate - the date to query the rate for
        Returns:
        the forward rate of the currency pair
      • ratePointSensitivity

        public PointSensitivityBuilder ratePointSensitivity​(Currency baseCurrency,
                                                            java.time.LocalDate referenceDate)
        Description copied from interface: FxForwardRates
        Calculates the point sensitivity of the forward rate at the specified payment date.

        This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of FxForwardRates.rate(Currency, LocalDate).

        Specified by:
        ratePointSensitivity in interface FxForwardRates
        Parameters:
        baseCurrency - the base currency that the rate should be expressed against
        referenceDate - the date to find the sensitivity for
        Returns:
        the point sensitivity of the rate
      • rateFxSpotSensitivity

        public double rateFxSpotSensitivity​(Currency baseCurrency,
                                            java.time.LocalDate referenceDate)
        Description copied from interface: FxForwardRates
        Calculates the sensitivity of the forward rate to the current FX rate.

        This returns the sensitivity to the current FX rate that was used to determine the FX forward rate. The sensitivity refers to the result of FxForwardRates.rate(Currency, LocalDate).

        Specified by:
        rateFxSpotSensitivity in interface FxForwardRates
        Parameters:
        baseCurrency - the base currency that the rate should be expressed against
        referenceDate - the date to find the sensitivity for
        Returns:
        the sensitivity of the FX forward rate to the current FX rate
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(FxForwardSensitivity pointSensitivity)
        Description copied from interface: FxForwardRates
        Calculates the currency exposure from the point sensitivity.

        This is used to convert a single point sensitivity to currency exposure.

        Specified by:
        currencyExposure in interface FxForwardRates
        Parameters:
        pointSensitivity - the point sensitivity to convert
        Returns:
        the currency exposure
      • withDiscountFactors

        public DiscountFxForwardRates withDiscountFactors​(DiscountFactors baseCurrencyFactors,
                                                          DiscountFactors counterCurrencyFactors)
        Returns a new instance with different discount factors.
        Parameters:
        baseCurrencyFactors - the new base currency discount factors
        counterCurrencyFactors - the new counter currency discount factors
        Returns:
        the new instance
      • getCurrencyPair

        public CurrencyPair getCurrencyPair()
        Gets the currency pair that the rates are for.
        Specified by:
        getCurrencyPair in interface FxForwardRates
        Returns:
        the value of the property, not null
      • getFxRateProvider

        public FxRateProvider getFxRateProvider()
        Gets the provider of FX rates.
        Returns:
        the value of the property, not null
      • getBaseCurrencyDiscountFactors

        public DiscountFactors getBaseCurrencyDiscountFactors()
        Gets the discount factors for the base currency of the currency pair.
        Returns:
        the value of the property, not null
      • getCounterCurrencyDiscountFactors

        public DiscountFactors getCounterCurrencyDiscountFactors()
        Gets the discount factors for the counter currency of the currency pair.
        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object