com.opengamma.strata.pricer.fx

Class DiscountingFxSingleProductPricer

java.lang.Object

com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer

public class DiscountingFxSingleProductPricer
extends Object

Pricer for foreign exchange transaction products.

This provides the ability to price an ResolvedFxSingle.

Field Summary

Fields

Modifier and Type	Field and Description
static DiscountingFxSingleProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
DiscountingFxSingleProductPricer(DiscountingPaymentPricer paymentPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
MultiCurrencyAmount	currencyExposure(ResolvedFxSingle product, RatesProvider provider) Calculates the currency exposure by discounting each payment in its own currency.
MultiCurrencyAmount	currentCash(ResolvedFxSingle fx, LocalDate valuationDate) Calculates the current cash.
FxRate	forwardFxRate(ResolvedFxSingle fx, RatesProvider provider) Calculates the forward exchange rate.
PointSensitivityBuilder	forwardFxRatePointSensitivity(ResolvedFxSingle fx, RatesProvider provider) Calculates the forward exchange rate point sensitivity.
double	forwardFxRateSpotSensitivity(ResolvedFxSingle fx, RatesProvider provider) Calculates the sensitivity of the forward exchange rate to the spot rate.
double	parSpread(ResolvedFxSingle fx, RatesProvider provider) Calculates the par spread.
MultiCurrencyAmount	presentValue(ResolvedFxSingle fx, RatesProvider provider) Calculates the present value of the FX product by discounting each payment in its own currency.
PointSensitivities	presentValueSensitivity(ResolvedFxSingle fx, RatesProvider provider) Calculates the present value curve sensitivity of the FX product.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final DiscountingFxSingleProductPricer DEFAULT

Default implementation.

Constructor Detail

DiscountingFxSingleProductPricer

public DiscountingFxSingleProductPricer(DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

paymentPricer - the pricer for Payment

Method Detail

presentValue

public MultiCurrencyAmount presentValue(ResolvedFxSingle fx,
                                        RatesProvider provider)

Calculates the present value of the FX product by discounting each payment in its own currency.

Parameters:

fx - the product

provider - the rates provider

Returns:

the present value in the two natural currencies

presentValueSensitivity

public PointSensitivities presentValueSensitivity(ResolvedFxSingle fx,
                                                  RatesProvider provider)

Calculates the present value curve sensitivity of the FX product.

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

Parameters:

fx - the product

provider - the rates provider

Returns:

the point sensitivity of the present value

parSpread

public double parSpread(ResolvedFxSingle fx,
                        RatesProvider provider)

Calculates the par spread.

This is the spread that should be added to the FX points to have a zero value.

Parameters:

fx - the product

provider - the rates provider

Returns:

the spread

currencyExposure

public MultiCurrencyAmount currencyExposure(ResolvedFxSingle product,
                                            RatesProvider provider)

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

Parameters:

product - the product

provider - the rates provider

Returns:

the currency exposure

currentCash

public MultiCurrencyAmount currentCash(ResolvedFxSingle fx,
                                       LocalDate valuationDate)

Calculates the current cash.

Parameters:

fx - the product

valuationDate - the valuation date

Returns:

the current cash

forwardFxRate

public FxRate forwardFxRate(ResolvedFxSingle fx,
                            RatesProvider provider)

Calculates the forward exchange rate.

Parameters:

fx - the product

provider - the rates provider

Returns:

the forward rate

forwardFxRatePointSensitivity

public PointSensitivityBuilder forwardFxRatePointSensitivity(ResolvedFxSingle fx,
                                                             RatesProvider provider)

Calculates the forward exchange rate point sensitivity.

The returned value is based on the direction of the FX product.

Parameters:

fx - the product

provider - the rates provider

Returns:

the point sensitivity

forwardFxRateSpotSensitivity

public double forwardFxRateSpotSensitivity(ResolvedFxSingle fx,
                                           RatesProvider provider)

Calculates the sensitivity of the forward exchange rate to the spot rate.

The returned value is based on the direction of the FX product.

Parameters:

fx - the product

provider - the rates provider

Returns:

the sensitivity to spot