// resolve the FX rate sensitivity from the FX reset
private PointSensitivityBuilder fxRateSensitivity(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
if (paymentPeriod.FxReset.Present)
{
FxReset fxReset = paymentPeriod.FxReset.get();
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
return(rates.ratePointSensitivity(fxReset.Observation, fxReset.ReferenceCurrency));
}
return(PointSensitivityBuilder.none());
}
//-------------------------------------------------------------------------
// resolve the FX rate from the FX reset, returning an FX rate of 1 if not applicable
private double fxRate(RatePaymentPeriod paymentPeriod, RatesProvider provider)
{
// inefficient to use Optional.orElse because double primitive type would be boxed
if (paymentPeriod.FxReset.Present)
{
FxReset fxReset = paymentPeriod.FxReset.get();
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
return(rates.rate(fxReset.Observation, fxReset.ReferenceCurrency));
}
else
{
return(1d);
}
}
//-------------------------------------------------------------------------
public virtual MultiCurrencyAmount currencyExposure(FxResetNotionalExchange @event, RatesProvider provider)
{
LocalDate fixingDate = @event.Observation.FixingDate;
FxIndexRates rates = provider.fxIndexRates(@event.Observation.Index);
double df = provider.discountFactor(@event.Currency, @event.PaymentDate);
if (!fixingDate.isAfter(provider.ValuationDate) && rates.Fixings.get(fixingDate).HasValue)
{
double fxRate = rates.rate(@event.Observation, @event.ReferenceCurrency);
return(MultiCurrencyAmount.of(CurrencyAmount.of(@event.Currency, @event.Notional * df * fxRate)));
}
LocalDate maturityDate = @event.Observation.MaturityDate;
double fxRateSpotSensitivity = rates.FxForwardRates.rateFxSpotSensitivity(@event.ReferenceCurrency, maturityDate);
return(MultiCurrencyAmount.of(CurrencyAmount.of(@event.ReferenceCurrency, @event.Notional * df * fxRateSpotSensitivity)));
}
//-------------------------------------------------------------------------
public virtual MultiCurrencyAmount currencyExposure(RatePaymentPeriod period, RatesProvider provider)
{
double df = provider.discountFactor(period.Currency, period.PaymentDate);
if (period.FxReset.Present)
{
FxReset fxReset = period.FxReset.get();
LocalDate fixingDate = fxReset.Observation.FixingDate;
FxIndexRates rates = provider.fxIndexRates(fxReset.Observation.Index);
if (!fixingDate.isAfter(provider.ValuationDate) && rates.Fixings.get(fixingDate).HasValue)
{
double fxRate = rates.rate(fxReset.Observation, fxReset.ReferenceCurrency);
return(MultiCurrencyAmount.of(period.Currency, accrualWithNotional(period, period.Notional * fxRate * df, provider)));
}
double fxRateSpotSensitivity = rates.FxForwardRates.rateFxSpotSensitivity(fxReset.ReferenceCurrency, fxReset.Observation.MaturityDate);
return(MultiCurrencyAmount.of(fxReset.ReferenceCurrency, accrualWithNotional(period, period.Notional * fxRateSpotSensitivity * df, provider)));
}
return(MultiCurrencyAmount.of(period.Currency, accrualWithNotional(period, period.Notional * df, provider)));
}
public virtual PointSensitivityBuilder forecastValueSensitivity(FxResetNotionalExchange @event, RatesProvider provider)
{
FxIndexRates rates = provider.fxIndexRates(@event.Observation.Index);
return(rates.ratePointSensitivity(@event.Observation, @event.ReferenceCurrency).multipliedBy(@event.Notional));
}
// obtains the FX rate
private double fxRate(FxResetNotionalExchange @event, RatesProvider provider)
{
FxIndexRates rates = provider.fxIndexRates(@event.Observation.Index);
return(rates.rate(@event.Observation, @event.ReferenceCurrency));
}
