public abstract class FXForwardCurve extends Serializer implements Curve
NULL_SER_STRING, VERSION
Constructor and Description |
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FXForwardCurve() |
Modifier and Type | Method and Description |
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abstract double[] |
bootstrapBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the basis to the discount curve inputs
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abstract DiscountCurve |
bootstrapBasisDC(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Bootstrap the discount curve from the discount curve inputs
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abstract double[] |
calcImpliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
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abstract double |
calcImpliedRate(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblDate,
boolean bBasisOnDenom)
Calculate the rate implied by the discount curve inputs to a specified date
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abstract CurrencyPair |
getCurrencyPair()
Returns the CurrencyPair
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abstract double[] |
getFullBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculates the set of full basis given the input discount curves
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abstract double |
getFXSpot()
Returns the FX Spot
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abstract JulianDate |
getSpotDate()
Returns the Spot Date
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
buildInterpolator, bumpNodeValue, createParallelShiftedCurve, createTweakedCurve, displayString, getCalibComponents, getCompMeasures, getCompQuotes, getName, getNodeDate, getQuote, getStartDate, initializeCalibrationRun, numCalibNodes, setFlatValue, setNodeValue
public abstract CurrencyPair getCurrencyPair()
public abstract JulianDate getSpotDate()
public abstract double getFXSpot()
public abstract double[] getFullBasis(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic abstract double[] bootstrapBasis(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic abstract DiscountCurve bootstrapBasisDC(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic abstract double[] calcImpliedNodeRates(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, boolean bBasisOnDenom)
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatorbBasisOnDenom
- True if the basis is calculated on the denominator discount curvepublic abstract double calcImpliedRate(ValuationParams valParam, DiscountCurve dcNum, DiscountCurve dcDenom, double dblDate, boolean bBasisOnDenom) throws java.lang.Exception
valParam
- ValuationParamsdcNum
- Discount Curve NumeratordcDenom
- Discount Curve DenominatordblDate
- Date to which the implied rate is soughtbBasisOnDenom
- True if the implied rate is calculated on the denominator discount curvejava.lang.Exception
- Thrown if the implied rate cannot be calculated