com.opengamma.strata.pricer.fx

Class FxIndexSensitivity

java.lang.Object

com.opengamma.strata.pricer.fx.FxIndexSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FxIndexSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to a forward rate of an FX rate for an FX index.

Holds the sensitivity to the FxIndex curve at a fixing date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
FxIndexSensitivity	cloned()
int	compareKey(PointSensitivity other)
FxIndexSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
FxIndex	getIndex() Gets the FX index that the sensitivity refers to.
FxIndexObservation	getObservation() Gets the FX rate observation.
Currency	getReferenceCurrency() Gets the reference currency.
double	getSensitivity() Gets the value of the sensitivity.
int	hashCode()
FxIndexSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static FxIndexSensitivity.Meta	meta() The meta-bean for FxIndexSensitivity.
FxIndexSensitivity.Meta	metaBean()
FxIndexSensitivity	multipliedBy(double factor)
FxIndexSensitivity	normalize()
static FxIndexSensitivity	of(FxIndexObservation observation, Currency referenceCurrency, Currency sensitivityCurrency, double sensitivity) Obtains an instance from the observation, reference currency and sensitivity value, specifying the currency of the value.
static FxIndexSensitivity	of(FxIndexObservation observation, Currency referenceCurrency, double sensitivity) Obtains an instance from the observation, reference currency and sensitivity value.
FxForwardSensitivity	toFxForwardSensitivity() Converts this sensitivity to an FxForwardSensitivity.
String	toString()
FxIndexSensitivity	withCurrency(Currency currency)
FxIndexSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static FxIndexSensitivity of(FxIndexObservation observation,
                                    Currency referenceCurrency,
                                    double sensitivity)

Obtains an instance from the observation, reference currency and sensitivity value.

The sensitivity currency is defaulted to be the counter currency of queried currency pair.

Parameters:

observation - the rate observation, including the fixing date

referenceCurrency - the reference currency

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static FxIndexSensitivity of(FxIndexObservation observation,
                                    Currency referenceCurrency,
                                    Currency sensitivityCurrency,
                                    double sensitivity)

Obtains an instance from the observation, reference currency and sensitivity value, specifying the currency of the value.

Parameters:

observation - the rate observation, including the fixing date

referenceCurrency - the reference currency

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

toFxForwardSensitivity

public FxForwardSensitivity toFxForwardSensitivity()

Converts this sensitivity to an FxForwardSensitivity.

The time series, fixing date and FX index are lost by this conversion. Instead, maturity date and currency pair are contained in FxForwardSensitivity.

Returns:

the FX forward sensitivity

getIndex

public FxIndex getIndex()

Gets the FX index that the sensitivity refers to.

Returns:

the FX index

withCurrency

public FxIndexSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public FxIndexSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public FxIndexSensitivity convertedTo(Currency resultCurrency,
                                      FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public FxIndexSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public FxIndexSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public FxIndexSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public FxIndexSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static FxIndexSensitivity.Meta meta()

The meta-bean for FxIndexSensitivity.

Returns:

the meta-bean, not null

metaBean

public FxIndexSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getObservation

public FxIndexObservation getObservation()

Gets the FX rate observation.

This includes the index and fixing date.

Returns:

the value of the property, not null

getReferenceCurrency

public Currency getReferenceCurrency()

Gets the reference currency.

This is the base currency of the FX conversion that occurs using the index. The reference currency must be one of the two currencies of the index.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

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