com.opengamma.strata.data.scenario

Interface ScenarioFxRateProvider

public interface ScenarioFxRateProvider

A provider of FX rates for scenarios.

This provides the ability to obtain a set of FX rates, one for each scenario. The interface does not mandate when the rate applies, however it typically represents the current rate.

This is the multi-scenario version of FxRateProvider.

Implementations do not have to be immutable, but calls to the methods must be thread-safe.

Method Summary

Modifier and Type	Method and Description
default double	convert(double amount, Currency fromCurrency, Currency toCurrency, int scenarioIndex) Converts an amount in a currency to an amount in a different currency using a rate from this provider.
default double	fxRate(Currency baseCurrency, Currency counterCurrency, int scenarioIndex) Gets the FX rate for the specified currency pair and scenario index.
FxRateProvider	fxRateProvider(int scenarioIndex) Gets the FX rate provider for the specified scenario index.
int	getScenarioCount() Gets the number of scenarios.
static ScenarioFxRateProvider	of(ScenarioMarketData marketData) Returns a scenario FX rate provider which takes its data from the provided market data.
static ScenarioFxRateProvider	of(ScenarioMarketData marketData, ObservableSource source) Returns a scenario FX rate provider which takes its data from the provided market data.

Method Detail

of

static ScenarioFxRateProvider of(ScenarioMarketData marketData)

Returns a scenario FX rate provider which takes its data from the provided market data.

Parameters:

marketData - market data containing FX rates

Returns:

a scenario FX rate provider which takes its data from the provided market data

of

static ScenarioFxRateProvider of(ScenarioMarketData marketData,
                                 ObservableSource source)

Returns a scenario FX rate provider which takes its data from the provided market data.

Parameters:

marketData - market data containing FX rates

source - the source of the FX rates

Returns:

a scenario FX rate provider which takes its data from the provided market data

getScenarioCount

int getScenarioCount()

Gets the number of scenarios.

Returns:

the number of scenarios

convert

default double convert(double amount,
                       Currency fromCurrency,
                       Currency toCurrency,
                       int scenarioIndex)

Converts an amount in a currency to an amount in a different currency using a rate from this provider.

Parameters:

amount - an amount in fromCurrency

fromCurrency - the currency of the amount

toCurrency - the currency into which the amount should be converted

scenarioIndex - the scenario index

Returns:

the amount converted into toCurrency

Throws:

IllegalArgumentException - if either of the currencies aren't included in the currency pair of this rate

fxRate

default double fxRate(Currency baseCurrency,
                      Currency counterCurrency,
                      int scenarioIndex)

Gets the FX rate for the specified currency pair and scenario index.

The rate returned is the rate from the base currency to the counter currency as defined by this formula: (1 * baseCurrency = fxRate * counterCurrency). This will return 1 if the two input currencies are the same.

Parameters:

baseCurrency - the base currency, to convert from

counterCurrency - the counter currency, to convert to

scenarioIndex - the scenario index

Returns:

the FX rate for the currency pair

Throws:

RuntimeException - if no FX rate could be found

fxRateProvider

FxRateProvider fxRateProvider(int scenarioIndex)

Gets the FX rate provider for the specified scenario index.

Parameters:

scenarioIndex - the scenario index

Returns:

the FX rate for the currency pair

Throws:

RuntimeException - if no FX rate could be found