/// <summary>
/// Calculates the sensitivity of the forward exchange rate to the spot rate.
/// <para>
/// The returned value is based on the direction of the FX product.
///
/// </para>
/// </summary>
/// <param name="fx"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the sensitivity to spot </returns>
public virtual double forwardFxRateSpotSensitivity(ResolvedFxSingle fx, RatesProvider provider)
{
FxForwardRates fxForwardRates = provider.fxForwardRates(fx.CurrencyPair);
double forwardRateSpotSensitivity = fxForwardRates.rateFxSpotSensitivity(fx.ReceiveCurrencyAmount.Currency, fx.PaymentDate);
return(forwardRateSpotSensitivity);
}
//-------------------------------------------------------------------------
public FxIndexRates fxIndexRates(FxIndex index)
{
LocalDateDoubleTimeSeries fixings = timeSeries(index);
FxForwardRates fxForwardRates = this.fxForwardRates(index.CurrencyPair);
return(ForwardFxIndexRates.of(index, fxForwardRates, fixings));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the forward exchange rate.
/// </summary>
/// <param name="fx"> the product </param>
/// <param name="provider"> the rates provider </param>
/// <returns> the forward rate </returns>
public virtual FxRate forwardFxRate(ResolvedFxSingle fx, RatesProvider provider)
{
FxForwardRates fxForwardRates = provider.fxForwardRates(fx.CurrencyPair);
Payment basePayment = fx.BaseCurrencyPayment;
Payment counterPayment = fx.CounterCurrencyPayment;
double forwardRate = fxForwardRates.rate(basePayment.Currency, fx.PaymentDate);
return(FxRate.of(basePayment.Currency, counterPayment.Currency, forwardRate));
}
private ForwardFxIndexRates(FxIndex index, FxForwardRates fxForwardRates, LocalDateDoubleTimeSeries fixings)
{
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(fxForwardRates, "fxForwardRates");
JodaBeanUtils.notNull(fixings, "fixings");
this.index = index;
this.fxForwardRates = fxForwardRates;
this.fixings = fixings;
validate();
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 100346066: // index
this.index = (FxIndex)newValue;
break;
case -1002932800: // fxForwardRates
this.fxForwardRates = (FxForwardRates)newValue;
break;
case -843784602: // fixings
this.fixings = (LocalDateDoubleTimeSeries)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Obtains an instance based on discount factors and historic fixings.
/// <para>
/// The instance is based on the discount factors for each currency.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="fxForwardRates"> the underlying forward FX rates </param>
/// <param name="fixings"> the time-series of fixings </param>
/// <returns> the rates instance </returns>
public static ForwardFxIndexRates of(FxIndex index, FxForwardRates fxForwardRates, LocalDateDoubleTimeSeries fixings)
{
return(new ForwardFxIndexRates(index, fxForwardRates, fixings));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance based on discount factors with no historic fixings.
/// <para>
/// The instance is based on the discount factors for each currency.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="fxForwardRates"> the underlying forward FX rates </param>
/// <returns> the rates instance </returns>
public static ForwardFxIndexRates of(FxIndex index, FxForwardRates fxForwardRates)
{
return(of(index, fxForwardRates, LocalDateDoubleTimeSeries.empty()));
}
//-------------------------------------------------------------------------
/// <summary>
/// Returns a new instance with different FX forward rates.
/// </summary>
/// <param name="fxForwardRates"> the new FX forward rates </param>
/// <returns> the new instance </returns>
public ForwardFxIndexRates withFxForwardRates(FxForwardRates fxForwardRates)
{
return(new ForwardFxIndexRates(index, fxForwardRates, fixings));
}
