public class DiscountingFxNdfProductPricer extends Object
This provides the ability to price an ResolvedFxNdf
.
The product is priced using forward curves for the currency pair.
Modifier and Type | Field and Description |
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static DiscountingFxNdfProductPricer |
DEFAULT
Default implementation.
|
Constructor and Description |
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DiscountingFxNdfProductPricer()
Creates an instance.
|
Modifier and Type | Method and Description |
---|---|
MultiCurrencyAmount |
currencyExposure(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency.
|
CurrencyAmount |
currentCash(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the current cash of the NDF product.
|
FxRate |
forwardFxRate(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the forward exchange rate.
|
CurrencyAmount |
presentValue(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the present value of the NDF product.
|
PointSensitivities |
presentValueSensitivity(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the present value curve sensitivity of the NDF product.
|
public static final DiscountingFxNdfProductPricer DEFAULT
public DiscountingFxNdfProductPricer()
public CurrencyAmount presentValue(ResolvedFxNdf ndf, RatesProvider provider)
The present value of the product is the value on the valuation date. The present value is returned in the settlement currency.
ndf
- the productprovider
- the rates providerpublic PointSensitivities presentValueSensitivity(ResolvedFxNdf ndf, RatesProvider provider)
The present value sensitivity of the product is the sensitivity of the present value to the underlying curves.
ndf
- the productprovider
- the rates providerpublic MultiCurrencyAmount currencyExposure(ResolvedFxNdf ndf, RatesProvider provider)
ndf
- the productprovider
- the rates providerpublic CurrencyAmount currentCash(ResolvedFxNdf ndf, RatesProvider provider)
ndf
- the productprovider
- the rates providerpublic FxRate forwardFxRate(ResolvedFxNdf ndf, RatesProvider provider)
ndf
- the productprovider
- the rates providerCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.