Interface FxForwardRates

    • Method Detail

      • getCurrencyPair

        CurrencyPair getCurrencyPair()
        Gets the currency pair.

        The the currency pair that the forward rates are for.

        Returns:
        the currency pair
      • getValuationDate

        java.time.LocalDate getValuationDate()
        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
      • withParameter

        FxForwardRates 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 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

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

        double rate​(Currency baseCurrency,
                    java.time.LocalDate referenceDate)
        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.

        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
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • ratePointSensitivity

        PointSensitivityBuilder ratePointSensitivity​(Currency baseCurrency,
                                                     java.time.LocalDate referenceDate)
        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 rate(Currency, LocalDate).

        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
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • rateFxSpotSensitivity

        double rateFxSpotSensitivity​(Currency baseCurrency,
                                     java.time.LocalDate referenceDate)
        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 rate(Currency, LocalDate).

        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
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • parameterSensitivity

        CurrencyParameterSensitivities parameterSensitivity​(FxForwardSensitivity pointSensitivity)
        Calculates the parameter sensitivity from the point sensitivity.

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

        Parameters:
        pointSensitivity - the point sensitivity to convert
        Returns:
        the parameter sensitivity
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated
      • currencyExposure

        MultiCurrencyAmount currencyExposure​(FxForwardSensitivity pointSensitivity)
        Calculates the currency exposure from the point sensitivity.

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

        Parameters:
        pointSensitivity - the point sensitivity to convert
        Returns:
        the currency exposure
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated