Package com.opengamma.strata.pricer.fx

Class DiscountFxForwardRates

java.lang.Object

com.opengamma.strata.pricer.fx.DiscountFxForwardRates

All Implemented Interfaces:

MarketDataView, ParameterizedData, FxForwardRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DiscountFxForwardRates
extends Object
implements FxForwardRates, org.joda.beans.ImmutableBean, Serializable

Provides access to discount factors for currencies.

This provides discount factors for a single currency pair.

This implementation is based on two underlying DiscountFactors objects, one for each currency, and an FxRateProvider.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	DiscountFxForwardRates.Meta	The meta-bean for DiscountFxForwardRates.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(FxForwardSensitivity pointSensitivity)	Calculates the currency exposure from the point sensitivity.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
DiscountFactors	getBaseCurrencyDiscountFactors()	Gets the discount factors for the base currency of the currency pair.
DiscountFactors	getCounterCurrencyDiscountFactors()	Gets the discount factors for the counter currency of the currency pair.
CurrencyPair	getCurrencyPair()	Gets the currency pair that the rates are for.
FxRateProvider	getFxRateProvider()	Gets the provider of FX rates.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
LocalDate	getValuationDate()	Gets the valuation date.
int	hashCode()
static DiscountFxForwardRates.Meta	meta()	The meta-bean for DiscountFxForwardRates.
DiscountFxForwardRates.Meta	metaBean()
static DiscountFxForwardRates	of(CurrencyPair currencyPair, FxRateProvider fxRateProvider, DiscountFactors baseCurrencyFactors, DiscountFactors counterCurrencyFactors)	Obtains an instance based on two discount factors, one for each currency.
CurrencyParameterSensitivities	parameterSensitivity(FxForwardSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	rate(Currency baseCurrency, LocalDate referenceDate)	Gets the forward rate at the specified payment date.
double	rateFxSpotSensitivity(Currency baseCurrency, LocalDate referenceDate)	Calculates the sensitivity of the forward rate to the current FX rate.
PointSensitivityBuilder	ratePointSensitivity(Currency baseCurrency, LocalDate referenceDate)	Calculates the point sensitivity of the forward rate at the specified payment date.
String	toString()
DiscountFxForwardRates	withDiscountFactors(DiscountFactors baseCurrencyFactors, DiscountFactors counterCurrencyFactors)	Returns a new instance with different discount factors.
DiscountFxForwardRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
DiscountFxForwardRates	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

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.param.ParameterizedData

findParameterIndex

Method Detail

of

public static DiscountFxForwardRates of(CurrencyPair currencyPair,
                                        FxRateProvider fxRateProvider,
                                        DiscountFactors baseCurrencyFactors,
                                        DiscountFactors counterCurrencyFactors)

Obtains an instance based on two discount factors, one for each currency.

The instance is based on the discount factors for each currency.

Parameters:

currencyPair - the currency pair

fxRateProvider - the provider of FX rates

baseCurrencyFactors - the discount factors in the base currency of the index

counterCurrencyFactors - the discount factors in the counter currency of the index

Returns:

the rates instance

getValuationDate

public LocalDate getValuationDate()

Description copied from interface: FxForwardRates

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Specified by:

getValuationDate in interface FxForwardRates

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: MarketDataView

Finds the market data with the specified name.

This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

Specified by:

findData in interface MarketDataView

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the metadata of the parameter at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Specified by:

getParameterMetadata in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the metadata of the parameter

withParameter

public DiscountFxForwardRates withParameter(int parameterIndex,
                                            double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface FxForwardRates

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

public DiscountFxForwardRates withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface FxForwardRates

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

rate

public double rate(Currency baseCurrency,
                   LocalDate referenceDate)

Description copied from interface: FxForwardRates

Gets the forward rate at the specified payment date.

The exchange rate of the currency pair varies over time. This method obtains the estimated rate for the payment date.

This method specifies which of the two currencies in the currency pair is to be treated as the base currency for the purposes of the returned rate. If the specified base currency equals the base currency of the currency pair, then the rate is simply returned. If the specified base currency equals the counter currency of the currency pair, then the inverse rate is returned. As such, an amount in the specified base currency can be directly multiplied by the returned FX rate to perform FX conversion.

To convert an amount in the specified base currency to the other currency, multiply it by the returned FX rate.

Specified by:

rate in interface FxForwardRates

Parameters:

baseCurrency - the base currency that the rate should be expressed against

referenceDate - the date to query the rate for

Returns:

the forward rate of the currency pair

ratePointSensitivity

public PointSensitivityBuilder ratePointSensitivity(Currency baseCurrency,
                                                    LocalDate referenceDate)

Description copied from interface: FxForwardRates

Calculates the point sensitivity of the forward rate at the specified payment date.

This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of FxForwardRates.rate(Currency, LocalDate).

Specified by:

ratePointSensitivity in interface FxForwardRates

Parameters:

baseCurrency - the base currency that the rate should be expressed against

referenceDate - the date to find the sensitivity for

Returns:

the point sensitivity of the rate

rateFxSpotSensitivity

public double rateFxSpotSensitivity(Currency baseCurrency,
                                    LocalDate referenceDate)

Description copied from interface: FxForwardRates

Calculates the sensitivity of the forward rate to the current FX rate.

This returns the sensitivity to the current FX rate that was used to determine the FX forward rate. The sensitivity refers to the result of FxForwardRates.rate(Currency, LocalDate).

Specified by:

rateFxSpotSensitivity in interface FxForwardRates

Parameters:

baseCurrency - the base currency that the rate should be expressed against

referenceDate - the date to find the sensitivity for

Returns:

the sensitivity of the FX forward rate to the current FX rate

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(FxForwardSensitivity pointSensitivity)

Description copied from interface: FxForwardRates

Calculates the parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to parameter sensitivity.

Specified by:

parameterSensitivity in interface FxForwardRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

currencyExposure

public MultiCurrencyAmount currencyExposure(FxForwardSensitivity pointSensitivity)

Description copied from interface: FxForwardRates

Calculates the currency exposure from the point sensitivity.

This is used to convert a single point sensitivity to currency exposure.

Specified by:

currencyExposure in interface FxForwardRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the currency exposure

withDiscountFactors

public DiscountFxForwardRates withDiscountFactors(DiscountFactors baseCurrencyFactors,
                                                  DiscountFactors counterCurrencyFactors)

Returns a new instance with different discount factors.

Parameters:

baseCurrencyFactors - the new base currency discount factors

counterCurrencyFactors - the new counter currency discount factors

Returns:

the new instance

meta

public static DiscountFxForwardRates.Meta meta()

The meta-bean for DiscountFxForwardRates.

Returns:

the meta-bean, not null

metaBean

public DiscountFxForwardRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair that the rates are for.

Specified by:

getCurrencyPair in interface FxForwardRates

Returns:

the value of the property, not null

getFxRateProvider

public FxRateProvider getFxRateProvider()

Gets the provider of FX rates.

Returns:

the value of the property, not null

getBaseCurrencyDiscountFactors

public DiscountFactors getBaseCurrencyDiscountFactors()

Gets the discount factors for the base currency of the currency pair.

Returns:

the value of the property, not null

getCounterCurrencyDiscountFactors

public DiscountFactors getCounterCurrencyDiscountFactors()

Gets the discount factors for the counter currency of the currency pair.

Returns:

the 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