com.opengamma.strata.measure.fx

Class FxSwapTradeCalculationFunction

java.lang.Object

com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

All Implemented Interfaces:

CalculationFunction<FxSwapTrade>

public class FxSwapTradeCalculationFunction
extends Object
implements CalculationFunction<FxSwapTrade>

Perform calculations on a single FxSwapTrade 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 near leg currencies.

Constructor Summary

Constructors

Constructor and Description
FxSwapTradeCalculationFunction() Creates an instance.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

FxSwapTradeCalculationFunction

public FxSwapTradeCalculationFunction()

Creates an instance.

Method Detail

targetType

public Class<FxSwapTrade> targetType()

Specified by:

targetType in interface CalculationFunction<FxSwapTrade>

supportedMeasures

public Set<Measure> supportedMeasures()

Specified by:

supportedMeasures in interface CalculationFunction<FxSwapTrade>

identifier

public Optional<String> identifier(FxSwapTrade target)

Specified by:

identifier in interface CalculationFunction<FxSwapTrade>

naturalCurrency

public Currency naturalCurrency(FxSwapTrade trade,
                                ReferenceData refData)

Specified by:

naturalCurrency in interface CalculationFunction<FxSwapTrade>

requirements

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

Specified by:

requirements in interface CalculationFunction<FxSwapTrade>

calculate

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

Specified by:

calculate in interface CalculationFunction<FxSwapTrade>