Package org.drip.product.calib

Class FXForwardQuoteSet

java.lang.Object

org.drip.product.calib.ProductQuoteSet

org.drip.product.calib.FXForwardQuoteSet

public class FXForwardQuoteSet
extends ProductQuoteSet

FXForwardQuoteSet extends the ProductQuoteSet by implementing the Calibration Parameters for the FX Forward Component. Currently it exposes the Outright and the PIP Fields.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = Curve/Surface Calibration Quote Sets

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
FXForwardQuoteSet(LatentStateSpecification[] aLSS)	FXForwardQuoteSet Constructor

Method Summary

Modifier and Type	Method	Description
boolean	containsOutright()	Indicate if the Terminal FX Forward Outright Field exists
boolean	containsPIP()	Indicate if the Terminal FX Forward PIP Field exists
double	outright()	Retrieve the Terminal FX Forward Outright
double	pip()	Retrieve the Terminal FX Forward PIP
boolean	setOutright(double dblFXForwardOutright)	Set the Terminal FX Forward Outright
boolean	setPIP(double dblFXForwardPIP)	Set the Terminal FX Forward PIP

Methods inherited from class org.drip.product.calib.ProductQuoteSet

contains, contains, containsLatentStateQuantificationMetric, containsLatentStateType, fields, forwardLabel, fundingLabel, fxLabel, get, govvieLabel, lss, set, volatilityLabel

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

FXForwardQuoteSet

public FXForwardQuoteSet(LatentStateSpecification[] aLSS)
                  throws java.lang.Exception

FXForwardQuoteSet Constructor

Parameters:

aLSS - Array of Latent State Specification

Throws:

java.lang.Exception - Thrown if Inputs are invalid

Method Details

setOutright

public boolean setOutright(double dblFXForwardOutright)

Set the Terminal FX Forward Outright

Parameters:

dblFXForwardOutright - The Terminal FX Forward Outright

Returns:

TRUE - The Terminal FX Forward Outright successfully set

containsOutright

public boolean containsOutright()

Indicate if the Terminal FX Forward Outright Field exists

Returns:

TRUE - Terminal FX Forward Outright Field Exists

outright

public double outright()
                throws java.lang.Exception

Retrieve the Terminal FX Forward Outright

Returns:

Terminal FX Forward Outright Basis

Throws:

java.lang.Exception - Thrown if the Terminal FX Forward Outright Field does not exist

setPIP

public boolean setPIP(double dblFXForwardPIP)

Set the Terminal FX Forward PIP

Parameters:

dblFXForwardPIP - The Terminal FX Forward PIP

Returns:

TRUE - The Terminal FX Forward PIP successfully set

containsPIP

public boolean containsPIP()

Indicate if the Terminal FX Forward PIP Field exists

Returns:

TRUE - Terminal FX Forward PIP Field Exists

pip

public double pip()
           throws java.lang.Exception

Retrieve the Terminal FX Forward PIP

Returns:

Terminal FX Forward PIP Basis

Throws:

java.lang.Exception - Thrown if the Terminal FX Forward PIP Field does not exist