コード例 #1
0
 // 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());
 }
コード例 #2
0
 //-------------------------------------------------------------------------
 // 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)));
        }
コード例 #4
0
        //-------------------------------------------------------------------------
        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));
        }