Package com.opengamma.strata.pricer.fx

Class DiscountingFxNdfTradePricer

java.lang.Object

com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer

public class DiscountingFxNdfTradePricer
extends Object

Pricer for FX non-deliverable forward (NDF) trades.

This provides the ability to price an ResolvedFxNdfTrade. The product is priced using forward curves for the currency pair.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingFxNdfTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingFxNdfTradePricer(DiscountingFxNdfProductPricer productPricer)	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(ResolvedFxNdfTrade trade, RatesProvider provider)	Calculates the currency exposure by discounting each payment in its own currency.
CurrencyAmount	currentCash(ResolvedFxNdfTrade trade, RatesProvider provider)	Calculates the current cash of the trade.
FxRate	forwardFxRate(ResolvedFxNdfTrade trade, RatesProvider provider)	Calculates the forward exchange rate.
CurrencyAmount	presentValue(ResolvedFxNdfTrade trade, RatesProvider provider)	Calculates the present value of the trade.
PointSensitivities	presentValueSensitivity(ResolvedFxNdfTrade trade, RatesProvider provider)	Calculates the present value curve sensitivity of the trade.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingFxNdfTradePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFxNdfTradePricer

public DiscountingFxNdfTradePricer(DiscountingFxNdfProductPricer productPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedFxNdf

Method Detail

presentValue

public CurrencyAmount presentValue(ResolvedFxNdfTrade trade,
                                   RatesProvider provider)

Calculates the present value of the trade.

The present value of the trade is the value on the valuation date. The present value is returned in the settlement currency.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the present value of the trade in the settlement currency

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedFxNdfTrade trade,
                                                  RatesProvider provider)

Calculates the present value curve sensitivity of the trade.

The present value sensitivity of the trade is the sensitivity of the present value to the underlying curves.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the point sensitivity of the present value

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxNdfTrade trade,
                                            RatesProvider provider)

Calculates the currency exposure by discounting each payment in its own currency.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the currency exposure

currentCash

public CurrencyAmount currentCash(ResolvedFxNdfTrade trade,
                                  RatesProvider provider)

Calculates the current cash of the trade.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the current cash of the trade in the settlement currency

forwardFxRate

public FxRate forwardFxRate(ResolvedFxNdfTrade trade,
                            RatesProvider provider)

Calculates the forward exchange rate.

Parameters:

trade - the trade

provider - the rates provider

Returns:

the forward rate