## Class FxForwardSensitivity

• java.lang.Object
• com.opengamma.strata.pricer.fx.FxForwardSensitivity
• All Implemented Interfaces:
FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, java.io.Serializable, Bean, ImmutableBean

public final class FxForwardSensitivity
extends java.lang.Object
implements PointSensitivity, PointSensitivityBuilder, ImmutableBean, java.io.Serializable
Point sensitivity to a forward rate of an FX rate for a currency pair.

Holds the sensitivity to the curves associated with CurrencyPair at a reference date.

Serialized Form
• ### Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  FxForwardSensitivity.Meta
The meta-bean for FxForwardSensitivity.
• ### Method Summary

All Methods
Modifier and Type Method Description
MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Builds the point sensitivity, adding to the specified mutable instance.
FxForwardSensitivity cloned()
Clones the point sensitivity builder.
int compareKey​(PointSensitivity other)
Compares the key of two sensitivities, excluding the point sensitivity value.
FxForwardSensitivity convertedTo​(Currency resultCurrency, FxRateProvider rateProvider)
Converts this instance to an equivalent amount in the specified currency.
boolean equals​(java.lang.Object obj)
Currency getCurrency()
Gets the currency of the sensitivity.
CurrencyPair getCurrencyPair()
Gets the currency pair for which the sensitivity is computed.
Currency getReferenceCounterCurrency()
Gets the currency counter to the reference currency.
Currency getReferenceCurrency()
Gets the reference currency.
java.time.LocalDate getReferenceDate()
Gets the date to query the rate for.
double getSensitivity()
Gets the value of the sensitivity.
int hashCode()
FxForwardSensitivity mapSensitivity​(java.util.function.DoubleUnaryOperator operator)
Returns an instance with the specified operation applied to the sensitivities in this builder.
static FxForwardSensitivity.Meta meta()
The meta-bean for FxForwardSensitivity.
FxForwardSensitivity.Meta metaBean()
FxForwardSensitivity multipliedBy​(double factor)
Multiplies the sensitivities in this builder by the specified factor.
FxForwardSensitivity normalize()
Normalizes the point sensitivities by sorting and merging.
static FxForwardSensitivity of​(CurrencyPair currencyPair, Currency referenceCurrency, java.time.LocalDate referenceDate, double sensitivity)
Obtains an instance from currency pair, reference currency, reference date and sensitivity value.
static FxForwardSensitivity of​(CurrencyPair currencyPair, Currency referenceCurrency, java.time.LocalDate referenceDate, Currency sensitivityCurrency, double sensitivity)
Obtains an instance from currency pair, reference currency, reference date sensitivity currency and sensitivity value.
java.lang.String toString()
FxForwardSensitivity withCurrency​(Currency currency)
Returns an instance with the specified sensitivity currency set.
FxForwardSensitivity withSensitivity​(double sensitivity)
Returns an instance with the new point sensitivity value.
• ### 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.sensitivity.PointSensitivityBuilder

build, combinedWith
• ### Method Detail

• #### of

public static FxForwardSensitivity of​(CurrencyPair currencyPair,
Currency referenceCurrency,
java.time.LocalDate referenceDate,
double sensitivity)
Obtains an instance from currency pair, reference currency, reference date and sensitivity value.

The sensitivity currency is defaulted to be a currency of the currency pair that is not the reference currency.

Parameters:
currencyPair - the currency pair
referenceCurrency - the reference currency
referenceDate - the reference date
sensitivity - the value of the sensitivity
Returns:
the point sensitivity object
• #### of

public static FxForwardSensitivity of​(CurrencyPair currencyPair,
Currency referenceCurrency,
java.time.LocalDate referenceDate,
Currency sensitivityCurrency,
double sensitivity)
Obtains an instance from currency pair, reference currency, reference date sensitivity currency and sensitivity value.
Parameters:
currencyPair - the currency pair
referenceCurrency - the reference currency
referenceDate - the reference date
sensitivityCurrency - the currency of the sensitivity
sensitivity - the value of the sensitivity
Returns:
the point sensitivity object
• #### getReferenceCounterCurrency

public Currency getReferenceCounterCurrency()
Gets the currency counter to the reference currency.

The currency pair contains two currencies. One is the reference currency. This method returns the other.

Returns:
the counter currency
• #### withCurrency

public FxForwardSensitivity withCurrency​(Currency currency)
Description copied from interface: PointSensitivity
Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:
withCurrency in interface PointSensitivity
Specified by:
withCurrency in interface PointSensitivityBuilder
Parameters:
currency - the new currency
Returns:
an instance based on this sensitivity with the specified currency
• #### withSensitivity

public FxForwardSensitivity withSensitivity​(double sensitivity)
Description copied from interface: PointSensitivity
Returns an instance with the new point sensitivity value.
Specified by:
withSensitivity in interface PointSensitivity
Parameters:
sensitivity - the new sensitivity
Returns:
an instance based on this sensitivity with the specified sensitivity
• #### compareKey

public int compareKey​(PointSensitivity other)
Description copied from interface: PointSensitivity
Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:
compareKey in interface PointSensitivity
Parameters:
other - the other sensitivity
Returns:
positive if greater, zero if equal, negative if less
• #### convertedTo

public FxForwardSensitivity convertedTo​(Currency resultCurrency,
FxRateProvider rateProvider)
Description copied from interface: PointSensitivity
Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:
convertedTo in interface FxConvertible<PointSensitivity>
Specified by:
convertedTo in interface PointSensitivity
Parameters:
resultCurrency - the currency of the result
rateProvider - the provider of FX rates
Returns:
the converted instance, which should be expressed in the specified currency
• #### multipliedBy

public FxForwardSensitivity multipliedBy​(double factor)
Description copied from interface: PointSensitivityBuilder
Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
multipliedBy in interface PointSensitivityBuilder
Parameters:
factor - the multiplicative factor
Returns:
the resulting builder, replacing this builder
• #### mapSensitivity

public FxForwardSensitivity mapSensitivity​(java.util.function.DoubleUnaryOperator operator)
Description copied from interface: PointSensitivityBuilder
Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);


Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
mapSensitivity in interface PointSensitivityBuilder
Parameters:
operator - the operator to be applied to the sensitivities
Returns:
the resulting builder, replacing this builder
• #### normalize

public FxForwardSensitivity normalize()
Description copied from interface: PointSensitivityBuilder
Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:
normalize in interface PointSensitivityBuilder
Returns:
the resulting builder, replacing this builder
• #### buildInto

public MutablePointSensitivities buildInto​(MutablePointSensitivities combination)
Description copied from interface: PointSensitivityBuilder
Builds the point sensitivity, adding to the specified mutable instance.
Specified by:
buildInto in interface PointSensitivityBuilder
Parameters:
combination - the combination object to add to
Returns:
the specified mutable point sensitivities instance is returned, for method chaining
• #### cloned

public FxForwardSensitivity cloned()
Description copied from interface: PointSensitivityBuilder
Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:
cloned in interface PointSensitivityBuilder
Returns:
the built combined sensitivity
• #### meta

public static FxForwardSensitivity.Meta meta()
The meta-bean for FxForwardSensitivity.
Returns:
the meta-bean, not null
• #### metaBean

public FxForwardSensitivity.Meta metaBean()
Specified by:
metaBean in interface Bean
• #### getCurrencyPair

public CurrencyPair getCurrencyPair()
Gets the currency pair for which the sensitivity is computed.
Returns:
the value of the property, not null
• #### getReferenceCurrency

public Currency getReferenceCurrency()
Gets the reference currency.

This is the base currency of the FX conversion that occurs using the currency pair. The reference currency must be one of the two currencies of the currency pair.

Returns:
the value of the property, not null
• #### getReferenceDate

public java.time.LocalDate getReferenceDate()
Gets the date to query the rate for.
Returns:
the value of the property, not null
• #### getCurrency

public Currency getCurrency()
Gets the currency of the sensitivity.
Specified by:
getCurrency in interface PointSensitivity
Returns:
the value of the property, not null
• #### getSensitivity

public double getSensitivity()
Gets the value of the sensitivity. This is the amount that is converted from the base currency to the counter currency.
Specified by:
getSensitivity in interface PointSensitivity
Returns:
the value of the property
• #### 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