com.opengamma.strata.measure.fx

Class FxNdfTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<FxNdfTrade>

public class FxNdfTradeCalculationFunction
extends Object
implements CalculationFunction<FxNdfTrade>

Perform calculations on a single FxNdfTrade 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
• Currency exposure
• Current cash
• Resolved trade
• Forward FX rate

The "natural" currency is the settlement currency of the trade.

Constructor Summary

Constructors

Constructor and Description
FxNdfTradeCalculationFunction() Creates an instance.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

FxNdfTradeCalculationFunction

public FxNdfTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<FxNdfTrade> targetType()

Specified by:

targetType in interface CalculationFunction<FxNdfTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<FxNdfTrade>

identifier

public Optional<String> identifier(FxNdfTrade target)

Specified by:

identifier in interface CalculationFunction<FxNdfTrade>

naturalCurrency

public Currency naturalCurrency(FxNdfTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<FxNdfTrade>

requirements

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

Specified by:

requirements in interface CalculationFunction<FxNdfTrade>

calculate

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

Specified by:

calculate in interface CalculationFunction<FxNdfTrade>