Class DiscountingFxNdfTradePricer


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

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

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(ResolvedFxNdfTrade trade,
                                           RatesProvider provider)
        Calculates the present value of the trade.

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

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

        public PointSensitivities presentValueSensitivity​(ResolvedFxNdfTrade trade,
                                                          RatesProvider provider)
        Calculates the present value curve sensitivity of the trade.

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

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

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

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

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