Package com.opengamma.strata.product.fx

Class FxSwap

java.lang.Object

com.opengamma.strata.product.fx.FxSwap

All Implemented Interfaces:

Resolvable<ResolvedFxSwap>, FxProduct, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FxSwap
extends Object
implements FxProduct, Resolvable<ResolvedFxSwap>, org.joda.beans.ImmutableBean, Serializable

An FX swap.

An FX swap is a financial instrument that represents the exchange of an equivalent amount in two different currencies between counterparties on two different dates.

The two exchanges are based on the same currency pair, with the two payment flows in the opposite directions.

For example, an FX swap might represent the payment of USD 1,000 and the receipt of EUR 932 on one date, and the payment of EUR 941 and the receipt of USD 1,000 at a later date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
CurrencyPair	getCurrencyPair()	Gets the currency pair in conventional order.
FxSingle	getFarLeg()	Gets the foreign exchange transaction at the later date.
FxSingle	getNearLeg()	Gets the foreign exchange transaction at the earlier date.
int	hashCode()
static FxSwap.Meta	meta()	The meta-bean for FxSwap.
FxSwap.Meta	metaBean()
static FxSwap	of(CurrencyAmount amount, FxRate nearRate, LocalDate nearDate, FxRate farRate, LocalDate farDate)	Creates an FxSwap using two FX rates, near and far, specifying a date adjustment.
static FxSwap	of(CurrencyAmount amount, FxRate nearRate, LocalDate nearDate, FxRate farRate, LocalDate farDate, BusinessDayAdjustment paymentDateAdjustment)	Creates an FxSwap using two FX rates, near and far, specifying a date adjustment.
static FxSwap	of(FxSingle nearLeg, FxSingle farLeg)	Creates an FxSwap from two transactions.
static FxSwap	ofForwardPoints(CurrencyAmount amount, FxRate nearRate, double decimalForwardPoints, LocalDate nearDate, LocalDate farDate)	Creates an FxSwap using decimal forward points.
static FxSwap	ofForwardPoints(CurrencyAmount amount, FxRate nearRate, double decimalForwardPoints, LocalDate nearDate, LocalDate farDate, BusinessDayAdjustment paymentDateAdjustment)	Creates an FxSwap using decimal forward points, specifying a date adjustment.
ResolvedFxSwap	resolve(ReferenceData refData)	Resolves this object using the specified reference data.
String	toString()

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.product.fx.FxProduct

allCurrencies, isCrossCurrency

Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies

Method Detail

of

public static FxSwap of(FxSingle nearLeg,
                        FxSingle farLeg)

Creates an FxSwap from two transactions.

The transactions must be passed in with value dates in the correct order. The currency pair of each leg must match and have amounts flowing in opposite directions.

Parameters:

nearLeg - the earlier leg

farLeg - the later leg

Returns:

the FX swap

of

public static FxSwap of(CurrencyAmount amount,
                        FxRate nearRate,
                        LocalDate nearDate,
                        FxRate farRate,
                        LocalDate farDate)

Creates an FxSwap using two FX rates, near and far, specifying a date adjustment.

The FX rate at the near date is specified as nearRate. The FX rate at the far date is specified as farRate. The FX rates must have the same currency pair.

The two currencies are specified by the FX rates. The amount must be specified using one of the currencies of the near FX rate. The near date must be before the far date. Conventions will be used to determine the base and counter currency.

Parameters:

amount - the amount being exchanged, positive if being received in the near leg, negative if being paid

nearRate - the near FX rate

farRate - the far FX rate

nearDate - the near value date

farDate - the far value date

Returns:

the FX swap

Throws:

IllegalArgumentException - if the FX rate and amount do not have a currency in common, or if the FX rate currencies differ

of

public static FxSwap of(CurrencyAmount amount,
                        FxRate nearRate,
                        LocalDate nearDate,
                        FxRate farRate,
                        LocalDate farDate,
                        BusinessDayAdjustment paymentDateAdjustment)

Creates an FxSwap using two FX rates, near and far, specifying a date adjustment.

The FX rate at the near date is specified as nearRate. The FX rate at the far date is specified as farRate. The FX rates must have the same currency pair.

The two currencies are specified by the FX rates. The amount must be specified using one of the currencies of the near FX rate. The near date must be before the far date. Conventions will be used to determine the base and counter currency.

Parameters:

amount - the amount being exchanged, positive if being received in the near leg, negative if being paid

nearRate - the near FX rate

farRate - the far FX rate

nearDate - the near value date

farDate - the far value date

paymentDateAdjustment - the adjustment to apply to the payment dates

Returns:

the FX swap

Throws:

IllegalArgumentException - if the FX rate and amount do not have a currency in common, or if the FX rate currencies differ

ofForwardPoints

public static FxSwap ofForwardPoints(CurrencyAmount amount,
                                     FxRate nearRate,
                                     double decimalForwardPoints,
                                     LocalDate nearDate,
                                     LocalDate farDate)

Creates an FxSwap using decimal forward points.

The FX rate at the near date is specified as nearRate. The FX rate at the far date is equal to nearRate + forwardPoints. Thus "FX forward spread" might be a better name for the concept.

The two currencies are specified by the near FX rate. The amount must be specified using one of the currencies of the near FX rate. The near date must be before the far date. Conventions will be used to determine the base and counter currency.

Parameters:

amount - the amount being exchanged, positive if being received in the near leg, negative if being paid

nearRate - the near FX rate

decimalForwardPoints - the decimal forward points, where the far FX rate is (nearRate + forwardPoints)

nearDate - the near value date

farDate - the far value date

Returns:

the FX swap

Throws:

IllegalArgumentException - if the FX rate and amount do not have a currency in common

ofForwardPoints

public static FxSwap ofForwardPoints(CurrencyAmount amount,
                                     FxRate nearRate,
                                     double decimalForwardPoints,
                                     LocalDate nearDate,
                                     LocalDate farDate,
                                     BusinessDayAdjustment paymentDateAdjustment)

Creates an FxSwap using decimal forward points, specifying a date adjustment.

The FX rate at the near date is specified as nearRate. The FX rate at the far date is equal to nearRate + forwardPoints Thus "FX forward spread" might be a better name for the concept.

The two currencies are specified by the near FX rate. The amount must be specified using one of the currencies of the near FX rate. The near date must be before the far date. Conventions will be used to determine the base and counter currency.

Parameters:

amount - the amount being exchanged, positive if being received in the near leg, negative if being paid

nearRate - the near FX rate

decimalForwardPoints - the decimal forward points, where the far FX rate is (nearRate + forwardPoints)

nearDate - the near value date

farDate - the far value date

paymentDateAdjustment - the adjustment to apply to the payment dates

Returns:

the FX swap

Throws:

IllegalArgumentException - if the FX rate and amount do not have a currency in common

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair in conventional order.

Specified by:

getCurrencyPair in interface FxProduct

Returns:

the currency pair

resolve

public ResolvedFxSwap resolve(ReferenceData refData)

Description copied from interface: Resolvable

Resolves this object using the specified reference data.

This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

Specified by:

resolve in interface Resolvable<ResolvedFxSwap>

Parameters:

refData - the reference data to use when resolving

Returns:

the resolved instance

meta

public static FxSwap.Meta meta()

The meta-bean for FxSwap.

Returns:

the meta-bean, not null

metaBean

public FxSwap.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getNearLeg

public FxSingle getNearLeg()

Gets the foreign exchange transaction at the earlier date.

This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be before that of the far leg.

Returns:

the value of the property, not null

getFarLeg

public FxSingle getFarLeg()

Gets the foreign exchange transaction at the later date.

This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be after that of the near leg.

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