Package com.opengamma.strata.pricer.fx

Class ForwardFxIndexRates

java.lang.Object

com.opengamma.strata.pricer.fx.ForwardFxIndexRates

All Implemented Interfaces:

MarketDataView, ParameterizedData, FxIndexRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ForwardFxIndexRates
extends Object
implements FxIndexRates, org.joda.beans.ImmutableBean, Serializable

Provides access to rates for an FX index.

This provides rates for a single currency pair FX index.

This implementation is based on an underlying FxForwardRates instance.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ForwardFxIndexRates.Meta	The meta-bean for ForwardFxIndexRates.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(FxIndexSensitivity pointSensitivity)	Calculates the currency exposure from the point sensitivity.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
LocalDateDoubleTimeSeries	getFixings()	Gets the time-series of fixings, defaulted to an empty time-series.
FxForwardRates	getFxForwardRates()	Gets the underlying FX forward rates.
FxIndex	getIndex()	Gets the index that the rates are for.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
LocalDate	getValuationDate()	Gets the valuation date.
int	hashCode()
static ForwardFxIndexRates.Meta	meta()	The meta-bean for ForwardFxIndexRates.
ForwardFxIndexRates.Meta	metaBean()
static ForwardFxIndexRates	of(FxIndex index, FxForwardRates fxForwardRates)	Obtains an instance based on discount factors with no historic fixings.
static ForwardFxIndexRates	of(FxIndex index, FxForwardRates fxForwardRates, LocalDateDoubleTimeSeries fixings)	Obtains an instance based on discount factors and historic fixings.
CurrencyParameterSensitivities	parameterSensitivity(FxIndexSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	rate(FxIndexObservation observation, Currency baseCurrency)	Gets the historic or forward rate at the specified fixing date.
PointSensitivityBuilder	ratePointSensitivity(FxIndexObservation observation, Currency baseCurrency)	Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
String	toString()
ForwardFxIndexRates	withFxForwardRates(FxForwardRates fxForwardRates)	Returns a new instance with different FX forward rates.
ForwardFxIndexRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
ForwardFxIndexRates	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex

Method Detail

of

public static ForwardFxIndexRates of(FxIndex index,
                                     FxForwardRates fxForwardRates)

Obtains an instance based on discount factors with no historic fixings.

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

Parameters:

index - the index

fxForwardRates - the underlying forward FX rates

Returns:

the rates instance

of

public static ForwardFxIndexRates of(FxIndex index,
                                     FxForwardRates fxForwardRates,
                                     LocalDateDoubleTimeSeries fixings)

Obtains an instance based on discount factors and historic fixings.

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

Parameters:

index - the index

fxForwardRates - the underlying forward FX rates

fixings - the time-series of fixings

Returns:

the rates instance

getValuationDate

public LocalDate getValuationDate()

Description copied from interface: MarketDataView

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

findData

public <T> 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 ForwardFxIndexRates 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 FxIndexRates

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 ForwardFxIndexRates 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 FxIndexRates

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(FxIndexObservation observation,
                   Currency baseCurrency)

Description copied from interface: FxIndexRates

Gets the historic or forward rate at the specified fixing date.

The rate of the FX index varies over time. This method obtains the actual or estimated rate for the fixing date.

This retrieves the actual rate if the fixing date is before the valuation date, or the estimated rate if the fixing date is after the valuation date. If the fixing date equals the valuation date, then the best available rate is returned.

The index defines the conversion rate for a specific currency pair. This method specifies which of the two currencies in the index 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 index, then the rate is simply returned. If the specified base currency equals the counter currency of the index, 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 FxIndexRates

Parameters:

observation - the rate observation, including the fixing date

baseCurrency - the base currency that the rate should be expressed against

Returns:

the rate of the index, either historic or forward

ratePointSensitivity

public PointSensitivityBuilder ratePointSensitivity(FxIndexObservation observation,
                                                    Currency baseCurrency)

Description copied from interface: FxIndexRates

Calculates the point sensitivity of the historic or forward rate at the specified fixing date.

This returns a sensitivity instance referring to the points that were queried in the market data. If a time-series was used, then there is no sensitivity. The sensitivity refers to the result of FxIndexRates.rate(FxIndexObservation, Currency).

Specified by:

ratePointSensitivity in interface FxIndexRates

Parameters:

observation - the rate observation, including the fixing date

baseCurrency - the base currency that the rate should be expressed against

Returns:

the point sensitivity of the rate

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(FxIndexSensitivity pointSensitivity)

Description copied from interface: FxIndexRates

Calculates the parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to parameter sensitivity.

Specified by:

parameterSensitivity in interface FxIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(FxIndexSensitivity pointSensitivity)

Description copied from interface: FxIndexRates

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 FxIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the currency exposure

withFxForwardRates

public ForwardFxIndexRates withFxForwardRates(FxForwardRates fxForwardRates)

Returns a new instance with different FX forward rates.

Parameters:

fxForwardRates - the new FX forward rates

Returns:

the new instance

meta

public static ForwardFxIndexRates.Meta meta()

The meta-bean for ForwardFxIndexRates.

Returns:

the meta-bean, not null

metaBean

public ForwardFxIndexRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public FxIndex getIndex()

Gets the index that the rates are for.

Specified by:

getIndex in interface FxIndexRates

Returns:

the value of the property, not null

getFxForwardRates

public FxForwardRates getFxForwardRates()

Gets the underlying FX forward rates.

Specified by:

getFxForwardRates in interface FxIndexRates

Returns:

the value of the property, not null

getFixings

public LocalDateDoubleTimeSeries getFixings()

Gets the time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.

Specified by:

getFixings in interface FxIndexRates

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object