FX Forward and FX Spot

An FX Forward is a financial instrument that represents the exchange of an equivalent amount in two different currencies between counterparties on a specific date in the future. An FX spot is a similar instrument where the payment date is the spot date. These two instruments are referred to as FX Single by Strata.

For example, an FX Single might represent the payment of USD 1,000 and the receipt of EUR 932 on a specific date.

Key classes

An FX Single is represented in Strata using the FxSingle class. The FxSingle class stores details of the product that was agreed. The trade details are stored in FxSingleTrade class.

An FxSingle can be created as follows:

FxSingle fx = FxSingle.of(CurrencyAmount.of(Currency.USD, 1000),
                          FxRate.of(EUR, USD, 1.115),
                          LocalDate.of(2015, 6, 15));
Tip: The strata-loader project provides the ability to load an FX Single from FpML.

Risk measures

The strata-measure module provides high-level risk measures for FX Singles. The main entry point is FxSingleTradeCalculations.

The following measures are available:

  • present value, and associated sensitivity
  • par spread
  • currency exposure
  • current cash
  • forward FX rate, and associated point/spot sensitivity

These measures are also available using the calculation API.

The strata-pricer module provides lower-level pricing support for FX Singles:

  • DiscountingFxSingleTradePricer, see Javadoc.
  • DiscountingFxSingleProductPricer, see Javadoc.

Product model

The following table summarizes the fields on FxSingle that can be used to control the product. For more detail on the meaning of each field, see the Javadoc;

Property name Description Required/Optional
baseCurrencyAmount The amount in the base currency Required
counterCurrencyAmount The amount in the counter currency Required
paymentDate The payment date Required