Package com.opengamma.strata.measure.fx

Class FxSwapTradeCalculations

java.lang.Object

com.opengamma.strata.measure.fx.FxSwapTradeCalculations

public class FxSwapTradeCalculations
extends Object

Calculates pricing and risk measures for FX swap trades.

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

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

Field Summary

Fields

Modifier and Type	Field	Description
static FxSwapTradeCalculations	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
FxSwapTradeCalculations(DiscountingFxSwapTradePricer tradePricer)	Creates an instance.

Method Summary

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

Default implementation.

Constructor Detail

FxSwapTradeCalculations

public FxSwapTradeCalculations(DiscountingFxSwapTradePricer tradePricer)

Creates an instance.

In most cases, applications should use the DEFAULT instance.

Parameters:

tradePricer - the pricer for ResolvedFxSwapTrade

Method Detail

presentValue

public MultiCurrencyScenarioArray presentValue(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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(ResolvedFxSwapTrade 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