Package org.drip.product.fx

Class ForeignCollateralizedDomesticForward

java.lang.Object

org.drip.product.fx.ForeignCollateralizedDomesticForward

public class ForeignCollateralizedDomesticForward
extends java.lang.Object

ForeignCollateralizedDomesticForward contains the Foreign Currency Collateralized Domestic Payout FX forward product contract details.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses
• Package = FX Forwards, Cross Currency Swaps

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ForeignCollateralizedDomesticForward(CurrencyPair cp, double dblForexForwardStrike, JulianDate dtMaturity)	Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity dates

Method Summary

Modifier and Type	Method	Description
CurrencyPair	getCcyPair()	Retrieve the Currency Pair
JulianDate	getMaturityDate()	Retrieve the Maturity Date
java.util.Set<java.lang.String>	getMeasureNames()	Retrieve the Measure Names
java.lang.String	getPrimaryCode()	Set the Primary Code
java.lang.String[]	getSecondaryCode()	Retrieve the Array of Secondary Codes
void	setPrimaryCode(java.lang.String strCode)	Set the Primary Code
CaseInsensitiveTreeMap<java.lang.Double>	value(ValuationParams valParams, CreditPricerParams pricerParams, CurveSurfaceQuoteContainer csqs, ValuationCustomizationParams quotingParams)	Value the Product

Methods inherited from class java.lang.Object

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

Constructor Details

ForeignCollateralizedDomesticForward

public ForeignCollateralizedDomesticForward(CurrencyPair cp,
double dblForexForwardStrike,
JulianDate dtMaturity)
                                     throws java.lang.Exception

Create an ForeignCollateralizedDomesticForward from the currency pair, the strike, and the maturity dates

Parameters:

cp - Currency Pair

dblForexForwardStrike - Forex Forward Strike

dtMaturity - Maturity Date

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Details

getPrimaryCode

public java.lang.String getPrimaryCode()

Set the Primary Code

Returns:

The Primary Code

setPrimaryCode

public void setPrimaryCode(java.lang.String strCode)

Set the Primary Code

Parameters:

strCode - The Primary Code

getSecondaryCode

public java.lang.String[] getSecondaryCode()

Retrieve the Array of Secondary Codes

Returns:

The Array of Secondary Codes

getMaturityDate

public JulianDate getMaturityDate()

Retrieve the Maturity Date

Returns:

The Maturity Date

getCcyPair

public CurrencyPair getCcyPair()

Retrieve the Currency Pair

Returns:

The Currency Pair

value

public CaseInsensitiveTreeMap<java.lang.Double> value(ValuationParams valParams,
CreditPricerParams pricerParams,
CurveSurfaceQuoteContainer csqs,
ValuationCustomizationParams quotingParams)

Value the Product

Parameters:

valParams - Valuation Parameters

pricerParams - Pricer Parameters

csqs - Curve Surface Container Parameters

quotingParams - Valuation Customization Parameters

Returns:

The Computed Product Map

getMeasureNames

public java.util.Set<java.lang.String> getMeasureNames()

Retrieve the Measure Names

Returns:

Set of Measure Names