Class DiscountingFxNdfProductPricer


  • public class DiscountingFxNdfProductPricer
    extends java.lang.Object
    Pricer for FX non-deliverable forward (NDF) products.

    This provides the ability to price an ResolvedFxNdf. The product is priced using forward curves for the currency pair.

    • Constructor Detail

      • DiscountingFxNdfProductPricer

        public DiscountingFxNdfProductPricer()
        Creates an instance.
    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedFxNdf ndf,
                                           RatesProvider provider)
        Calculates the present value of the NDF product.

        The present value of the product is the value on the valuation date. The present value is returned in the settlement currency.

        Parameters:
        ndf - the product
        provider - the rates provider
        Returns:
        the present value of the product in the settlement currency
      • presentValueSensitivity

        public PointSensitivities presentValueSensitivity​(ResolvedFxNdf ndf,
                                                          RatesProvider provider)
        Calculates the present value curve sensitivity of the NDF product.

        The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.

        Parameters:
        ndf - the product
        provider - the rates provider
        Returns:
        the point sensitivity of the present value
      • currencyExposure

        public MultiCurrencyAmount currencyExposure​(ResolvedFxNdf ndf,
                                                    RatesProvider provider)
        Calculates the currency exposure by discounting each payment in its own currency.
        Parameters:
        ndf - the product
        provider - the rates provider
        Returns:
        the currency exposure
      • currentCash

        public CurrencyAmount currentCash​(ResolvedFxNdf ndf,
                                          RatesProvider provider)
        Calculates the current cash of the NDF product.
        Parameters:
        ndf - the product
        provider - the rates provider
        Returns:
        the current cash of the product in the settlement currency
      • forwardFxRate

        public FxRate forwardFxRate​(ResolvedFxNdf ndf,
                                    RatesProvider provider)
        Calculates the forward exchange rate.
        Parameters:
        ndf - the product
        provider - the rates provider
        Returns:
        the forward rate