public abstract class FXForward extends Serializer
NULL_SER_STRING, VERSION
Constructor and Description |
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FXForward() |
Modifier and Type | Method and Description |
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abstract double |
calcDCBasis(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
double dblMarketFXFwdPrice,
boolean bBasisOnDenom)
Calculates the basis to either the numerator or the denominator discount curve
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abstract CurrencyPair |
getCcyPair()
Get the Currency Pair
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abstract JulianDate |
getEffectiveDate()
Gets the Effective Date
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abstract JulianDate |
getMaturityDate()
Gets the Maturity Date
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abstract java.lang.String |
getPrimaryCode()
Gets the primary code
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abstract java.lang.String[] |
getSecondaryCode()
Gets the array of secondary code
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abstract double |
implyFXForward(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot,
boolean bFwdAsPIP)
Imply the FX Forward
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abstract void |
setPrimaryCode(java.lang.String strCode)
Sets the primary code
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abstract java.util.Map<java.lang.String,java.lang.Double> |
value(ValuationParams valParams,
DiscountCurve dcNum,
DiscountCurve dcDenom,
double dblFXSpot)
Calculation of the full set of measures of FXForward
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deserialize, getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter, getFieldDelimiter, getObjectTrailer, serialize
public abstract java.lang.String getPrimaryCode()
public abstract void setPrimaryCode(java.lang.String strCode)
strCode
- Primary Code Stringpublic abstract java.lang.String[] getSecondaryCode()
public abstract JulianDate getEffectiveDate()
public abstract JulianDate getMaturityDate()
public abstract CurrencyPair getCcyPair()
public abstract double implyFXForward(ValuationParams valParams, DiscountCurve dcNum, DiscountCurve dcDenom, double dblFXSpot, boolean bFwdAsPIP) throws java.lang.Exception
valParams
- Valuation ParametersdcNum
- Discount Curve for the numeratordcDenom
- Discount Curve for the denominatordblFXSpot
- FXSpotbFwdAsPIP
- Calculate FXFwd as a PIPjava.lang.Exception
- Thrown if inputs are invalidpublic abstract double calcDCBasis(ValuationParams valParams, DiscountCurve dcNum, DiscountCurve dcDenom, double dblFXSpot, double dblMarketFXFwdPrice, boolean bBasisOnDenom) throws java.lang.Exception
valParams
- ValuationParamsdcNum
- Discount Curve for the numeratordcDenom
- Discount Curve for the denominatordblFXSpot
- FXSpotdblMarketFXFwdPrice
- FXForward Market ValuebBasisOnDenom
- Boolean indicating whether the basis is applied on the denominator (true) or
denominatorjava.lang.Exception
- Thrown if inputs are invalidpublic abstract java.util.Map<java.lang.String,java.lang.Double> value(ValuationParams valParams, DiscountCurve dcNum, DiscountCurve dcDenom, double dblFXSpot)
valParams
- ValuationParamsdcNum
- Discount Curve for the numeratordcDenom
- Discount Curve for the denominatordblFXSpot
- FXSpot