com.opengamma.strata.measure.fx

Class FxSingleTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<FxSingleTrade>

public class FxSingleTradeCalculationFunction
extends Object
implements CalculationFunction<FxSingleTrade>

Perform calculations on a single FxSingleTrade for each of a set of scenarios.

This uses the standard discounting calculation method. An instance of RatesMarketDataLookup must be specified. The supported built-in measures are:

• Present value
• PV01 calibrated sum
• PV01 calibrated bucketed
• PV01 market quote sum
• PV01 market quote bucketed
• Par spread
• Currency exposure
• Current cash
• Resolved trade
• Forward FX rate

The "natural" currency is the base currency of the market convention pair of the two trade currencies.

Constructor Summary

Constructors

Constructor and Description
FxSingleTradeCalculationFunction() Creates an instance.

Method Summary

Modifier and Type	Method and Description
Map<Measure,Result<?>>	calculate(FxSingleTrade trade, Set<Measure> measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData)
Optional<String>	identifier(FxSingleTrade target)
Currency	naturalCurrency(FxSingleTrade trade, ReferenceData refData)
FunctionRequirements	requirements(FxSingleTrade trade, Set<Measure> measures, CalculationParameters parameters, ReferenceData refData)
Set<Measure>	supportedMeasures()
Class<FxSingleTrade>	targetType()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FxSingleTradeCalculationFunction

public FxSingleTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<FxSingleTrade> targetType()

Specified by:

targetType in interface CalculationFunction<FxSingleTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<FxSingleTrade>

identifier

public Optional<String> identifier(FxSingleTrade target)

Specified by:

identifier in interface CalculationFunction<FxSingleTrade>

naturalCurrency

public Currency naturalCurrency(FxSingleTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<FxSingleTrade>

requirements

public FunctionRequirements requirements(FxSingleTrade trade,
                                         Set<Measure> measures,
                                         CalculationParameters parameters,
                                         ReferenceData refData)

Specified by:

requirements in interface CalculationFunction<FxSingleTrade>

calculate

public Map<Measure,Result<?>> calculate(FxSingleTrade trade,
                                        Set<Measure> measures,
                                        CalculationParameters parameters,
                                        ScenarioMarketData scenarioMarketData,
                                        ReferenceData refData)

Specified by:

calculate in interface CalculationFunction<FxSingleTrade>