Package | Description |
---|---|
org.drip.analytics.definition | |
org.drip.product.creator | |
org.drip.product.definition | |
org.drip.product.fx | |
org.drip.state.creator | |
org.drip.state.curve |
Modifier and Type | Method and Description |
---|---|
abstract CurrencyPair |
FXForwardCurve.currencyPair()
Return the CurrencyPair
|
abstract CurrencyPair |
FXBasisCurve.currencyPair()
Return the currency pair instance
|
Modifier and Type | Method and Description |
---|---|
static FXForward |
FXForwardBuilder.CreateFXForward(CurrencyPair ccyPair,
JulianDate dtEffective,
JulianDate dtMaturity)
Create the FXForward object from Currency Pair, effective date, and maturity.
|
static FXForward |
FXForwardBuilder.CreateFXForward(CurrencyPair ccyPair,
JulianDate dtEffective,
java.lang.String strTenor)
Create the FXForward object from Currency Pair, effective date, and tenor.
|
static FXSpot |
FXSpotBuilder.CreateFXSpot(JulianDate dtSpot,
CurrencyPair ccyPair)
Create the FX spot object from the spot date and the currency pair.
|
Modifier and Type | Method and Description |
---|---|
abstract CurrencyPair |
FXSpot.getCcyPair()
Get the currency pair
|
abstract CurrencyPair |
FXForward.getCcyPair()
Get the Currency Pair
|
Modifier and Type | Method and Description |
---|---|
CurrencyPair |
FXSpotContract.getCcyPair() |
CurrencyPair |
FXForwardContract.getCcyPair() |
Constructor and Description |
---|
FXForwardContract(CurrencyPair ccyPair,
JulianDate dtEffective,
JulianDate dtMaturity)
Create an FXForwardContract from the currency pair, the effective and the maturity dates
|
FXSpotContract(JulianDate dtSpot,
CurrencyPair ccyPair)
Constructor: Create the FX spot object from the spot date and the currency pair.
|
Modifier and Type | Method and Description |
---|---|
static FXBasisCurve |
FXBasisCurveBuilder.CreateFXBasisCurve(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXBasis,
boolean bIsFXBasisBootstrapped)
Construct an FXBasis instance from the currency pair, FX Spot, and FX basis parameters
|
static FXForwardCurve |
FXForwardCurveBuilder.CreateFXForwardCurve(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
Create an FXForwardCurve from the CurrencyPair, FX Spot, and the FX Forward parameters
|
Modifier and Type | Method and Description |
---|---|
CurrencyPair |
DerivedFXForward.currencyPair() |
CurrencyPair |
DerivedFXBasis.currencyPair() |
Constructor and Description |
---|
DerivedFXBasis(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXBasis,
boolean bIsFXBasisBootstrapped)
Construct an DerivedFXBasis instance from the currency pair, FX Spot, and FX basis parameters
|
DerivedFXForward(CurrencyPair cp,
JulianDate dtSpot,
double dblFXSpot,
double[] adblDate,
double[] adblFXFwd,
boolean[] abIsPIP)
DerivedFXForward from the CurrencyPair, FX Spot, and the FX Forward parameters
|