Package com.opengamma.strata.pricer.impl.swap

Class DiscountingFxResetNotionalExchangePricer

java.lang.Object

com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer

All Implemented Interfaces:

SwapPaymentEventPricer<FxResetNotionalExchange>

public class DiscountingFxResetNotionalExchangePricer
extends Object
implements SwapPaymentEventPricer<FxResetNotionalExchange>

Pricer implementation for the exchange of FX reset notionals.

The FX reset notional exchange is priced by discounting the value of the exchange. The value of the exchange is calculated by performing an FX conversion on the amount.

Field Summary

Fields

Modifier and Type	Field	Description
static DiscountingFxResetNotionalExchangePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
DiscountingFxResetNotionalExchangePricer()	Creates an instance.

Method Summary

Modifier and Type	Method	Description
MultiCurrencyAmount	currencyExposure(FxResetNotionalExchange event, RatesProvider provider)	Calculates the currency exposure of a single payment event.
double	currentCash(FxResetNotionalExchange event, RatesProvider provider)	Calculates the current cash of a single payment event.
void	explainPresentValue(FxResetNotionalExchange event, RatesProvider provider, ExplainMapBuilder builder)	Explains the present value of a single payment event.
double	forecastValue(FxResetNotionalExchange event, RatesProvider provider)	Calculates the forecast value of a single payment event.
PointSensitivityBuilder	forecastValueSensitivity(FxResetNotionalExchange event, RatesProvider provider)	Calculates the forecast value sensitivity of a single payment event.
double	presentValue(FxResetNotionalExchange event, RatesProvider provider)	Calculates the present value of a single payment event.
PointSensitivityBuilder	presentValueSensitivity(FxResetNotionalExchange event, RatesProvider provider)	Calculates the present value sensitivity of a single payment event.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingFxResetNotionalExchangePricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFxResetNotionalExchangePricer

public DiscountingFxResetNotionalExchangePricer()

Creates an instance.

Method Detail

presentValue

public double presentValue(FxResetNotionalExchange event,
                           RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the present value of a single payment event.

The amount is expressed in the currency of the event. This returns the value of the event with discounting.

The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

Specified by:

presentValue in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the present value of the event

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(FxResetNotionalExchange event,
                                                       RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the present value sensitivity of a single payment event.

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

Specified by:

presentValueSensitivity in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the present value curve sensitivity of the event

forecastValue

public double forecastValue(FxResetNotionalExchange event,
                            RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the forecast value of a single payment event.

The amount is expressed in the currency of the event. This returns the value of the event without discounting.

The payment date of the event should not be in the past. The result of this method for payment dates in the past is undefined.

Specified by:

forecastValue in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the forecast value of the event

forecastValueSensitivity

public PointSensitivityBuilder forecastValueSensitivity(FxResetNotionalExchange event,
                                                        RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the forecast value sensitivity of a single payment event.

The forecast value sensitivity of the event is the sensitivity of the forecast value to the underlying curves.

Specified by:

forecastValueSensitivity in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the forecast value curve sensitivity of the event

explainPresentValue

public void explainPresentValue(FxResetNotionalExchange event,
                                RatesProvider provider,
                                ExplainMapBuilder builder)

Description copied from interface: SwapPaymentEventPricer

Explains the present value of a single payment event.

This adds information to the ExplainMapBuilder to aid understanding of the calculation.

Specified by:

explainPresentValue in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

builder - the builder to populate

currencyExposure

public MultiCurrencyAmount currencyExposure(FxResetNotionalExchange event,
                                            RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the currency exposure of a single payment event.

Specified by:

currencyExposure in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the currency exposure

currentCash

public double currentCash(FxResetNotionalExchange event,
                          RatesProvider provider)

Description copied from interface: SwapPaymentEventPricer

Calculates the current cash of a single payment event.

Specified by:

currentCash in interface SwapPaymentEventPricer<FxResetNotionalExchange>

Parameters:

event - the event

provider - the rates provider

Returns:

the current cash