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

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(FxForwardSensitivity pointSensitivity) Calculates the currency exposure from the point sensitivity.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> 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)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
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)
DiscountFxForwardRates	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

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 MarketDataView

Specified by:

getValuationDate in interface FxForwardRates

Returns:

the valuation date

findData

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

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

withParameter

public DiscountFxForwardRates withParameter(int parameterIndex,
                                            double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface FxForwardRates

withPerturbation

public DiscountFxForwardRates withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface FxForwardRates

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