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 CurrencyPair |
currencyPair()
Return the CurrencyPair
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abstract double |
fxSpot()
Return the FX Spot
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abstract double[] |
impliedNodeRates(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the rates implied by the discount curve inputs
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abstract double |
rate(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 JulianDate |
spotDate()
Return the Spot Date
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abstract double[] |
zeroBasis(ValuationParams valParam,
DiscountCurve dcNum,
DiscountCurve dcDenom,
boolean bBasisOnDenom)
Calculate the set of Zero basis given the input discount curves
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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 double[] zeroBasis(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[] impliedNodeRates(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 rate(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