Package com.opengamma.strata.data

Class MarketDataFxRateProvider

java.lang.Object

com.opengamma.strata.data.MarketDataFxRateProvider

All Implemented Interfaces:

FxRateProvider, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class MarketDataFxRateProvider
extends Object
implements FxRateProvider, org.joda.beans.ImmutableBean, Serializable

Provides FX rates from market data.

This decorates an instance of MarketData to provide FX rates.

The FX rates provided are obtained via a triangulation process. To find the FX rate for the currency pair AAA/BBB:

1. If the rate AAA/BBB is available, return it
2. Find the triangulation currency of AAA (TTA), try to return rate from AAA/TTA and TTA/BBB
3. Find the triangulation currency of BBB (TTB), try to return rate from AAA/TTB and TTB/BBB
4. Find the triangulation currency of AAA (TTA) and BBB (TTB), try to return rate from AAA/TTA, TTA/TTB and TTB/BBB

The triangulation currency can also be specified, which is useful if all FX rates are supplied relative to a currency other than USD.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
double	fxRate(Currency baseCurrency, Currency counterCurrency)	Gets the FX rate for the specified currency pair.
ObservableSource	getFxRatesSource()	Gets the source of market data for FX rates.
MarketData	getMarketData()	Gets the market data that provides the FX rates.
Optional<Currency>	getTriangulationCurrency()	Gets the triangulation currency to use.
int	hashCode()
static org.joda.beans.TypedMetaBean<MarketDataFxRateProvider>	meta()	The meta-bean for MarketDataFxRateProvider.
org.joda.beans.TypedMetaBean<MarketDataFxRateProvider>	metaBean()
static MarketDataFxRateProvider	of(MarketData marketData)	Obtains an instance which takes FX rates from the market data.
static MarketDataFxRateProvider	of(MarketData marketData, ObservableSource fxRatesSource)	Obtains an instance which takes FX rates from the market data, specifying the source of FX rates.
static MarketDataFxRateProvider	of(MarketData marketData, ObservableSource fxRatesSource, Currency triangulationCurrency)	Obtains an instance which takes FX rates from the market data, specifying the source of FX rates.
String	toString()

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.basics.currency.FxRateProvider

convert, convert, fxRate

Method Detail

of

public static MarketDataFxRateProvider of(MarketData marketData)

Obtains an instance which takes FX rates from the market data.

Parameters:

marketData - market data used for looking up FX rates

Returns:

the provider

of

public static MarketDataFxRateProvider of(MarketData marketData,
                                          ObservableSource fxRatesSource)

Obtains an instance which takes FX rates from the market data, specifying the source of FX rates.

The source of FX rates is rarely needed, as most applications only need one set of FX rates.

Parameters:

marketData - market data used for looking up FX rates

fxRatesSource - the source of market data for FX rates

Returns:

the provider

of

public static MarketDataFxRateProvider of(MarketData marketData,
                                          ObservableSource fxRatesSource,
                                          Currency triangulationCurrency)

Obtains an instance which takes FX rates from the market data, specifying the source of FX rates.

The source of FX rates is rarely needed, as most applications only need one set of FX rates.

Parameters:

marketData - market data used for looking up FX rates

fxRatesSource - the source of market data for FX rates

triangulationCurrency - the triangulation currency to use

Returns:

the provider

fxRate

public double fxRate(Currency baseCurrency,
                     Currency counterCurrency)

Description copied from interface: FxRateProvider

Gets the FX rate for the specified currency pair.

The rate returned is the rate from the base currency to the counter currency as defined by this formula: (1 * baseCurrency = fxRate * counterCurrency).

Specified by:

fxRate in interface FxRateProvider

Parameters:

baseCurrency - the base currency, to convert from

counterCurrency - the counter currency, to convert to

Returns:

the FX rate for the currency pair

meta

public static org.joda.beans.TypedMetaBean<MarketDataFxRateProvider> meta()

The meta-bean for MarketDataFxRateProvider.

Returns:

the meta-bean, not null

metaBean

public org.joda.beans.TypedMetaBean<MarketDataFxRateProvider> metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMarketData

public MarketData getMarketData()

Gets the market data that provides the FX rates.

Returns:

the value of the property, not null

getFxRatesSource

public ObservableSource getFxRatesSource()

Gets the source of market data for FX rates.

Returns:

the value of the property, not null

getTriangulationCurrency

public Optional<Currency> getTriangulationCurrency()

Gets the triangulation currency to use.

If specified, this currency is used to triangulate FX rates in preference to the standard approach. This would be useful if all FX rates are supplied relative to a currency other than USD.

Returns:

the optional 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