public abstract class FXBasisCurve extends Serializer implements Curve
NULL_SER_STRING, VERSION
Constructor and Description |
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FXBasisCurve() |
Modifier and Type | Method and Description |
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abstract CurrencyPair |
currencyPair()
Return the currency pair instance
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abstract double[] |
fxForward(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom,
boolean bFwdAsPIP)
Return the array of full FX Forwards
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abstract double |
fxSpot()
Get the FX Spot
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abstract boolean |
isBasisBootstrapped()
Return if the inputs are for bootstrapped FX basis
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abstract JulianDate |
spotDate()
Returns the Spot Date
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
calibComp, currency, epoch, manifestMeasure, name, setCCIS
customTweakManifestMeasure, customTweakQuantificationMetric, lsmm, parallelShiftManifestMeasure, parallelShiftQuantificationMetric, shiftManifestMeasure
public abstract JulianDate spotDate()
public abstract double fxSpot()
public abstract CurrencyPair currencyPair()
public abstract boolean isBasisBootstrapped()
public abstract double[] fxForward(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom, boolean bFwdAsPIP)
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve NumeratorbBasisOnDenom
- True if the basis is on the denominatorbFwdAsPIP
- True if the FX Forwards are to represented as PIP