Package com.opengamma.strata.measure.fx

Class FxSingleTradeCalculations

java.lang.Object

com.opengamma.strata.measure.fx.FxSingleTradeCalculations

public class FxSingleTradeCalculations
extends Object

Calculates pricing and risk measures for single FX trades.

This provides a high-level entry point for FX pricing and risk measures.

Each method takes a ResolvedFxSingleTrade, whereas application code will typically work with FxSingleTrade. Call FxSingleTrade::resolve(ReferenceData) to convert FxSingleTrade to ResolvedFxSingleTrade.

Field Summary

Fields

Modifier and Type	Field	Description
static FxSingleTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FxSingleTradeCalculations(DiscountingFxSingleTradePricer tradePricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyScenarioArray	currencyExposure(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates currency exposure across one or more scenarios.
MultiCurrencyAmount	currencyExposure(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates currency exposure for a single set of market data.
MultiCurrencyScenarioArray	currentCash(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates current cash across one or more scenarios.
MultiCurrencyAmount	currentCash(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates current cash for a single set of market data.
ScenarioArray<FxRate>	forwardFxRate(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates the forward FX rate across one or more scenarios.
FxRate	forwardFxRate(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates the forward FX rate for a single set of market data.
DoubleScenarioArray	parSpread(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates par spread across one or more scenarios.
double	parSpread(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates par spread for a single set of market data.
MultiCurrencyScenarioArray	presentValue(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value across one or more scenarios.
MultiCurrencyAmount	presentValue(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01CalibratedBucketed(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01CalibratedBucketed(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01CalibratedSum(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01CalibratedSum(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities>	pv01MarketQuoteBucketed(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities	pv01MarketQuoteBucketed(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray	pv01MarketQuoteSum(ResolvedFxSingleTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)	Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount	pv01MarketQuoteSum(ResolvedFxSingleTrade trade, RatesProvider ratesProvider)	Calculates present value sensitivity for a single set of market data.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final FxSingleTradeCalculations DEFAULT

Default implementation.

Constructor Detail

FxSingleTradeCalculations

public FxSingleTradeCalculations(DiscountingFxSingleTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedFxSingleTrade

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedFxSingleTrade trade,
                                               RatesMarketDataLookup lookup,
                                               ScenarioMarketData marketData)

Calculates present value across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value, one entry per scenario

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxSingleTrade trade,
                                        RatesProvider ratesProvider)

Calculates present value for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value

pv01CalibratedSum

public MultiCurrencyScenarioArray pv01CalibratedSum(ResolvedFxSingleTrade trade,
                                                    RatesMarketDataLookup lookup,
                                                    ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedSum

public MultiCurrencyAmount pv01CalibratedSum(ResolvedFxSingleTrade trade,
                                             RatesProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01CalibratedBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01CalibratedBucketed(ResolvedFxSingleTrade trade,
                                                                            RatesMarketDataLookup lookup,
                                                                            ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01CalibratedBucketed

public CurrencyParameterSensitivities pv01CalibratedBucketed(ResolvedFxSingleTrade trade,
                                                             RatesProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the calibrated curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteSum

public MultiCurrencyScenarioArray pv01MarketQuoteSum(ResolvedFxSingleTrade trade,
                                                     RatesMarketDataLookup lookup,
                                                     ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteSum

public MultiCurrencyAmount pv01MarketQuoteSum(ResolvedFxSingleTrade trade,
                                              RatesProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is the sum of the sensitivities of all affected curves.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

pv01MarketQuoteBucketed

public ScenarioArray<CurrencyParameterSensitivities> pv01MarketQuoteBucketed(ResolvedFxSingleTrade trade,
                                                                             RatesMarketDataLookup lookup,
                                                                             ScenarioMarketData marketData)

Calculates present value sensitivity across one or more scenarios.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the present value sensitivity, one entry per scenario

pv01MarketQuoteBucketed

public CurrencyParameterSensitivities pv01MarketQuoteBucketed(ResolvedFxSingleTrade trade,
                                                              RatesProvider ratesProvider)

Calculates present value sensitivity for a single set of market data.

This is the sensitivity of present value to a one basis point shift in the market quotes used to calibrate the curves. The result is provided for each affected curve and currency, bucketed by curve node.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the present value sensitivity

parSpread

public DoubleScenarioArray parSpread(ResolvedFxSingleTrade trade,
                                     RatesMarketDataLookup lookup,
                                     ScenarioMarketData marketData)

Calculates par spread across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the par spread, one entry per scenario

parSpread

public double parSpread(ResolvedFxSingleTrade trade,
                        RatesProvider ratesProvider)

Calculates par spread for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the par spread

currencyExposure

public MultiCurrencyScenarioArray currencyExposure(ResolvedFxSingleTrade trade,
                                                   RatesMarketDataLookup lookup,
                                                   ScenarioMarketData marketData)

Calculates currency exposure across one or more scenarios.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the currency exposure, one entry per scenario

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxSingleTrade trade,
                                            RatesProvider ratesProvider)

Calculates currency exposure for a single set of market data.

The currency risk, expressed as the equivalent amount in each currency.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the currency exposure

currentCash

public MultiCurrencyScenarioArray currentCash(ResolvedFxSingleTrade trade,
                                              RatesMarketDataLookup lookup,
                                              ScenarioMarketData marketData)

Calculates current cash across one or more scenarios.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the current cash, one entry per scenario

currentCash

public MultiCurrencyAmount currentCash(ResolvedFxSingleTrade trade,
                                       RatesProvider ratesProvider)

Calculates current cash for a single set of market data.

The sum of all cash flows paid on the valuation date.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the current cash

forwardFxRate

public ScenarioArray<FxRate> forwardFxRate(ResolvedFxSingleTrade trade,
                                           RatesMarketDataLookup lookup,
                                           ScenarioMarketData marketData)

Calculates the forward FX rate across one or more scenarios.

Parameters:

trade - the trade

lookup - the lookup used to query the market data

marketData - the market data

Returns:

the current cash, one entry per scenario

forwardFxRate

public FxRate forwardFxRate(ResolvedFxSingleTrade trade,
                            RatesProvider ratesProvider)

Calculates the forward FX rate for a single set of market data.

Parameters:

trade - the trade

ratesProvider - the market data

Returns:

the current cash